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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
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Estimation of time-varying adjusted probability of informed trading and probability of symmetric order-flow shock
Preve, Daniel; Tse, Yiu Kuen - In: Journal of applied econometrics 28 (2013) 7, pp. 1138-1152
Persistent link: https://www.econbiz.de/10010351081
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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
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Improving money’s worth ratio calculations : the case of Singapore’s pension annuities
Fong, Joelle H.; Lemaire, Jean; Tse, Yiu Kuen - In: Asia-Pacific journal of risk and insurance : APJRI 8 (2014) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10010393646
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Generalized LM tests for functional form and heteroscedasticity
Yang, Zhenlin; Tse, Yiu Kuen - In: The econometrics journal 11 (2008) 2, pp. 349-376
Persistent link: https://www.econbiz.de/10003750838
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Market segmentation and information values of earnings announcements : some empirical evidence from an event study on the Chinese stock market
Gao, Yuan; Tse, Yiu Kuen - In: International review of economics & finance : IREF 13 (2004) 4, pp. 455-474
Persistent link: https://www.econbiz.de/10002222930
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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
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A test for constant correlations in a multivariate GARCH model
Tse, Yiu Kuen - In: Journal of econometrics 98 (2000) 1, pp. 107-127
Persistent link: https://www.econbiz.de/10001497684
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Modelling firm-size distribution using Box-Cox heteroscedastic regression
Yang, Z. L.; Tse, Yiu Kuen - In: Journal of applied econometrics 21 (2006) 5, pp. 641-653
Persistent link: https://www.econbiz.de/10003360461
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Estimation of hyperbolic diffusion using MCMC method
Tse, Yiu Kuen; Zhang, Xibin; Yu, Jun - 2002
Persistent link: https://www.econbiz.de/10001722409