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A multivariate generalized autoregressive conditional heteroscedasticity model with time-varying correlations
Tse, Yiu Kuen; Tsui, Albert K. - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 3, pp. 351-362
Persistent link: https://www.econbiz.de/10001695276
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Forecasting the Nikkei Spot Index with fractional cointegartion
Lien, Da-hsiang Donald; Tse, Yiu Kuen - In: Journal of forecasting 18 (1999) 4, pp. 259-273
Persistent link: https://www.econbiz.de/10001434450
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Lead-lag relationship between spot index and futures price of the Nikkei Stock Average
Tse, Yiu Kuen - In: Journal of forecasting 14 (1995) 7, pp. 553-563
Persistent link: https://www.econbiz.de/10001192928
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Nonlinear dynamics of the Nikkei Stock Average Futures
Tse, Yiu Kuen - In: Financial engineering and the Japanese markets 2 (1995) 3, pp. 181-195
Persistent link: https://www.econbiz.de/10001203355
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Fractional cointegration and futures hedging
Lien, Donald; Tse, Yiu Kuen - In: The journal of futures markets 19 (1999) 4, pp. 457-474
Persistent link: https://www.econbiz.de/10001378245
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Selecting an index for a stock index futures contract : an analysis of the Singapore market
Tay, Anthony S. A. - In: Review of futures markets 10 (1993) 3, pp. 412-431
Persistent link: https://www.econbiz.de/10001143662