Details about Y. K. Tse

Access statistics for papers by Y. K. Tse.

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Short-id: pts1

Working Papers

2006

1. Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence
   PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations

2005

2. Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore
   Working Papers, Singapore Management University, School of Economics
3. Exchange-Rate Systems and Interest-Rate Behaviour: The Experience of Hong Kong and Singapore
   Economic Growth centre Working Paper Series, Nanyang Technolgical University, School of Humanities and Social Sciences, Economic Growth centre
   See also Journal Article in International Review of Economics & Finance (2006)

2004

4. Modeling Firm-Size Distribution Using Box-Cox Heteroscedastic Regression
   Working Papers, Singapore Management University, School of Economics
   See also Journal Article in Journal of Applied Econometrics (2006)
5. Robust Tests of Market Efficiency using Statistical Arbitrage
   Working Papers, Singapore Management University, School of Economics
6. Tests of Functional Form and Heteroscedasticity
   Econometric Society 2004 Far Eastern Meetings, Econometric Society
   Also in Econometric Society 2004 Australasian Meetings, Econometric Society (2004)
7. Transaction-Data Analysis of Marked Durations and Their Implications for Market Microstructure
   Working Papers, Singapore Management University, School of Economics View citations

2003

8. A Monte Carlo Investigation of Some Tests for Stochastic Dominance
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations
9. Expectations Formation and Forecasting of Vehicle Demand: An Empirical Study of the Vehicle Quota Auctions in Singapore
   Working Papers, Singapore Management University, School of Economics

2002

10. Estimation of Hyperbolic Diffusion Using MCMC Method
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations

2000

11. A Multivariate GARCH Model with Time-Varying Correlations
    Econometrics, EconWPA
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000)
    Econometrics, EconWPA (2000)

1989

12. ON THE ROBUSTNESS OF TESTS OF OUTLIERS AND FUNCTIONAL FORM
    Working Papers, Osaka - Institute of Social and Economic Research

Journal Articles

2008

1. Generalized LM tests for functional form and heteroscedasticity
   Econometrics Journal, 2008, 11, (2), 349-376

2007

2. A Corrected Plug-in Method for Quantile Interval Construction Through a Transformed Regression
   Journal of Business & Economic Statistics, 2007, 25, 356-376
3. Open vs. sealed-bid auctions: testing for revenue equivalence under Singapore's vehicle quota system
   Applied Economics, 2007, 39, (1), 125-134 View citations

2006

4. A survey on physical delivery versus cash settlement in futures contracts
   International Review of Economics & Finance, 2006, 15, (1), 15-29
5. An empirical examination of IPO underpricing in the Chinese A-share market
   China Economic Review, 2006, 17, (4), 363-382
6. Exchange-rate systems and interest-rate behaviour: The experience of Hong Kong and Singapore
   International Review of Economics & Finance, 2006, 15, (2), 212-227
   See also Working Paper (2005)
7. Functional form and spatial dependence in dynamic panels
   Economics Letters, 2006, 91, (1), 138-145
8. Modelling firm-size distribution using Box-Cox heteroscedastic regression
   Journal of Applied Econometrics, 2006, 21, (5), 641-653
   See also Working Paper (2004)

2005

9. Effects of electronic trading on the Hang Seng Index futures market
   International Review of Economics & Finance, 2005, 14, (4), 415-425 View citations

2004

10. A small-sample overlapping variance-ratio test
    Journal of Time Series Analysis, 2004, 25, (1), 127-135
11. Market segmentation and information values of earnings announcements: Some empirical evidence from an event study on the Chinese stock market
    International Review of Economics & Finance, 2004, 13, (4), 455-474

2003

12. The impacts of Hong Kong's Currency Board reforms on the interbank market
    Journal of Banking & Finance, 2003, 27, (12), 2273-2296 View citations

2002

13. A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model with Time-Varying Correlations
    Journal of Business & Economic Statistics, 2002, 20, (3), 351-62 View citations
14. Evaluating the Hedging Performance of the Constant-Correlation GARCH Model
    Applied Financial Economics, 2002, 12, (11), 791-98 View citations
15. Physical delivery versus cash settlement: an empirical study on the feeder cattle contract
    Journal of Empirical Finance, 2002, 9, (4), 361-371
16. Residual-based diagnostics for conditional heteroscedasticity models
    Econometrics Journal, 2002, 5, (2), 358-374 View citations
17. Some Recent Developments in Futures Hedging
    Journal of Economic Surveys, 2002, 16, (3), 357-96 View citations

2001

18. Hedging downside risk: futures vs. options
    International Review of Economics & Finance, 2001, 10, (2), 159-169

2000

19. A test for constant correlations in a multivariate GARCH model
    Journal of Econometrics, 2000, 98, (1), 107-127 View citations
20. Hedging Downside Risk with Futures Contracts
    Applied Financial Economics, 2000, 10, (2), 163-70 View citations

1998

21. A sequential testing procedure for outliers and structural change
    Econometric Reviews, 1998, 7, (1), 103-111
22. The conditional heteroscedasticity of the yen-dollar exchange rate
    Journal of Applied Econometrics, 1998, 13, (1), 49-55 View citations

1997

23. Conditional volatility in foreign exchange rates: Evidence from the Malaysian ringgit and Singapore dollar
    Pacific-Basin Finance Journal, 1997, 5, (3), 345-356 View citations
24. The cointegration of Asian currencies revisited
    Japan and the World Economy, 1997, 9, (1), 109-114 View citations

1995

25. Some international evidence on the stochastic behavior of interest rates
    Journal of International Money and Finance, 1995, 14, (5), 721-738 View citations

1991

26. Stock returns volatility in the Tokyo stock exchange
    Japan and the World Economy, 1991, 3, (3), 285-298 View citations
27. Term Structure of Interest Rates in the Singapore Asian Dollar Market
    Journal of Applied Econometrics, 1991, 6, (2), 143-52 View citations

1989

28. A Proportional Random Utility Approach to Qualitative Response Models
    Journal of Business & Economic Statistics, 1989, 7, (1), 61-65

1987

29. A Diagnostic Test for the Multinomial Logit Model
    Journal of Business & Economic Statistics, 1987, 5, (2), 283-86 View citations
30. A note on Sargan densities
    Journal of Econometrics, 1987, 34, (3), 349-354

1986

31. The Spot and Forward Exchange Rates: Some Empirical Evidence of Singapore
    Applied Economics, 1986, 18, (3), 319-31

1985

32. Some Modified Versions of Durbin's h-Statistic
    The Review of Economics and Statistics, 1985, 67, (3), 534-38

1984

33. Testing for linear and log-linear regressions with heteroscedasticity
    Economics Letters, 1984, 16, (1-2), 63-69
34. Testing linear and log-linear regressions with autocorrelated errors
    Economics Letters, 1984, 14, (4), 333-337

1983

35. On calculating the edgeworth approximate distribution of an econometric estimator or test statistic
    Economics Letters, 1983, 12, (1), 37-41

1982

36. Edgeworth approximations in first-order stochastic difference equations with exogenous variables
    Journal of Econometrics, 1982, 20, (2), 175-195