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Details about Anthony S Tay

E-mail:
Phone:(65) 6828-0850
Postal address:Singapore Management University School of Economics and Social Sciences 90 Stamford Road Singapore 178903
Workplace:School of Economics, Singapore Management University, (more information at EDIRC)

Access statistics for papers by Anthony S Tay.

Last updated 2010-03-16. Update your information in the RePEc Author Service.

Short-id: pta22


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Working Papers

2008

  1. Time-Varying Incentives in the Mutual Fund Industry
    Working Papers, Singapore Management University, School of Economics Downloads
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) Downloads

2007

  1. Financial Variables as Predictors of Real Output Growth
    Working Papers, Singapore Management University, School of Economics Downloads View citations (6)
  2. Modeling Transaction Data of Trade Direction and Estimation of Probability of Informed Trading
    Working Papers, Singapore Management University, School of Economics Downloads

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 Downloads View citations (7)

2005

  1. 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 Downloads

2004

  1. Global and Regional Sources of Risk in Equity Markets: Evidence from Factor Models with Time-Varying Conditional Skewness
    Econometric Society 2004 Far Eastern Meetings, Econometric Society Downloads
    Also in Departmental Working Papers, National University of Singapore, Department of Economics (2001) Downloads View citations (5)
  2. Transaction-Data Analysis of Marked Durations and Their Implications for Market Microstructure
    Working Papers, Singapore Management University, School of Economics Downloads View citations (3)

2003

  1. Non-Fundamental Expectations and Economic Fluctuations: Evidence from Professional Forecasts
    Departmental Working Papers, National University of Singapore, Department of Economics Downloads View citations (1)
    See also Journal Article in Journal of Macroeconomics (2006)

2000

  1. Density Forecasting: A Survey
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (149)
  2. Dynamic Regressions with Variables Observed at Different Frequencies
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads

1998

  1. Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters
    Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics View citations (6)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1997) Downloads View citations (39)
  2. Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania Downloads View citations (2)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1998) Downloads View citations (3)
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1998) Downloads View citations (2)

1997

  1. Evaluating Density Forecasts
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (47)
    Also in CARESS Working Papres, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences Downloads View citations (6)
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1997) Downloads View citations (4)
    Working Papers, Federal Reserve Bank of Philadelphia (1997) Downloads View citations (4)

Journal Articles

2009

  1. Using High-Frequency Transaction Data to Estimate the Probability of Informed Trading
    Journal of Financial Econometrics, 2009, 7, (3), 288-311 Downloads View citations (15)

2007

  1. Global regional sources of risk in equity markets: Evidence from factor models with time-varying conditional skewness
    Journal of International Money and Finance, 2007, 26, (3), 430-453 Downloads View citations (9)

2006

  1. Intraday stock prices, volume, and duration: a nonparametric conditional density analysis
    Empirical Economics, 2006, 30, (4), 827-842 Downloads View citations (2)
  2. Non-fundamental expectations and economic fluctuations: Evidence from professional forecasts
    Journal of Macroeconomics, 2006, 28, (2), 446-460 Downloads View citations (8)
    See also Working Paper (2003)

1999

  1. Multivariate Density Forecast Evaluation And Calibration In Financial Risk Management: High-Frequency Returns On Foreign Exchange
    The Review of Economics and Statistics, 1999, 81, (4), 661-673 Downloads View citations (137)

1998

  1. Evaluating Density Forecasts with Applications to Financial Risk Management
    International Economic Review, 1998, 39, (4), 863-83 View citations (632)
 
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