Details about Anthony S Tay

Access statistics for papers by Anthony S Tay.

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

Short-id: pta22

Working Papers

2008

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

2007

2. Financial Variables as Predictors of Real Output Growth
   Working Papers, Singapore Management University, School of Economics View citations (8)
3. Modeling Transaction Data of Trade Direction and Estimation of Probability of Informed Trading
   Working Papers, Singapore Management University, School of Economics

2006

4. 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 (9)

2005

5. 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

2004

6. 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
7. Transaction-Data Analysis of Marked Durations and Their Implications for Market Microstructure
   Working Papers, Singapore Management University, School of Economics View citations (4)

2000

8. Density Forecasting: A Survey
   Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (196)
9. Dynamic Regressions with Variables Observed at Different Frequencies
   Econometric Society World Congress 2000 Contributed Papers, Econometric Society

1998

10. 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 (15)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1997) View citations (42)
11. Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
    Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1998) View citations (2)
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1998) View citations (2)

1997

12. Evaluating Density Forecasts
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (75)
    Also in Working Papers, Federal Reserve Bank of Philadelphia (1997) View citations (11)
    CARESS Working Papres, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences View citations (18)
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1997) View citations (18)

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 View citations (20)

2007

2. 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 View citations (18)

2006

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

1999

5. 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 View citations (216)

1998

6. Evaluating Density Forecasts with Applications to Financial Risk Management
   International Economic Review, 1998, 39, (4), 863-83 View citations (826)