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The conditional heteroscedasticity of the yen-dollar exchange rate

Tse, Yiu Kuen - In: Journal of applied econometrics 13 (1998) 1, pp. 49-55

Persistent link: https://www.econbiz.de/10001237949

Direction-of-change forecasts based on conditional variance, skewness and kurtosis dynamics : international evidence

Christoffersen, Peter F.; Diebold, Francis X.; Mariano, … - 2007

Persistent link: https://www.econbiz.de/10003729191

Intraday periodicity adjustments of transaction duration and their effects on high-frequency volatility estimation

Tse, Yiu Kuen; Dong, Yingjie - In: Journal of empirical finance 28 (2014), pp. 352-361

Persistent link: https://www.econbiz.de/10011285621

Estimation of high-frequency volatility : an autoregressive conditional duration approach

Tse, Yiu Kuen; Yang, Thomas Tao - In: Journal of business & economic statistics : JBES ; a … 30 (2012) 4, pp. 533-545

Persistent link: https://www.econbiz.de/10009667044

Intraday Value-at-Risk : an asymmetric autoregressive conditional duration approach

Liu, Shouwei; Tse, Yiu Kuen - In: Journal of econometrics 189 (2015) 2, pp. 437-446

Persistent link: https://www.econbiz.de/10011504612

Stock volatility and impact of news : the case of four Asia-Pacific markets

Tse, Yiu Kuen - In: Advances in international banking and finance 2 (1996), pp. 115-137

Persistent link: https://www.econbiz.de/10001208777

Conditional volatility in foreign exchange rates : evidence from the alaysian ringgit and Singapore dollar

Tse, Yiu Kuen - In: Pacific-Basin finance journal 5 (1997) 3, pp. 345-356

Persistent link: https://www.econbiz.de/10001229128

Forecasting large covariance matrix with high-frequency data using factor approach for the correlation matrix

Dong, Yingjie; Tse, Yiu Kuen - In: Economics letters 195 (2020), pp. 1-4

Persistent link: https://www.econbiz.de/10012509995

On estimating market microstructure noise variance

Dong, Yingjie; Tse, Yiu Kuen - In: Economics letters 150 (2017), pp. 59-62

Persistent link: https://www.econbiz.de/10011762850

Business time sampling scheme with applications to testing semi-martingale hypothesis and estimating integrated volatility

Dong, Yingjie; Tse, Yiu Kuen - In: Econometrics : open access journal 5 (2017) 4, pp. 1-19

We propose a new method to implement the Business Time Sampling (BTS) scheme for high-frequency financial data. We compute a time-transformation (TT) function using the intraday integrated volatility estimated by a jump-robust method. The BTS transactions are obtained using the inverse of the TT...

Persistent link: https://www.econbiz.de/10011781945