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Details about Y. K. Tse

E-mail:
Homepage:http://www.mysmu.edu/faculty/yktse/yktsehp.htm
Phone:+65 6822 0257
Postal address:School of Economics and Social Sciences, Singapore Management University, 469 Bukit Timah Road, Singapore 259756
Workplace:School of Economics, Singapore Management University, (more information at EDIRC)

Access statistics for papers by Y. K. Tse.

Last updated 2008-08-08. Update your information in the RePEc Author Service.

Short-id: pts1


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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 Downloads View citations (9)

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
  2. Exchange-Rate Systems and Interest-Rate Behaviour: The Experience of Hong Kong and Singapore
    Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Social Sciences, Economic Growth Centre Downloads
    See also Journal Article Exchange-rate systems and interest-rate behaviour: The experience of Hong Kong and Singapore, International Review of Economics & Finance, Elsevier (2006) Downloads View citations (3) (2006)

2004

  1. Modeling Firm-Size Distribution Using Box-Cox Heteroscedastic Regression
    Working Papers, Singapore Management University, School of Economics Downloads
    See also Journal Article Modelling firm-size distribution using Box-Cox heteroscedastic regression, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2006) Downloads (2006)
  2. Robust Tests of Market Efficiency using Statistical Arbitrage
    Working Papers, Singapore Management University, School of Economics Downloads
  3. Tests of Functional Form and Heteroscedasticity
    Econometric Society 2004 Far Eastern Meetings, Econometric Society Downloads
    Also in Econometric Society 2004 Australasian Meetings, Econometric Society (2004) Downloads
  4. Transaction-Data Analysis of Marked Durations and Their Implications for Market Microstructure
    Working Papers, Singapore Management University, School of Economics Downloads View citations (4)

2003

  1. 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 Downloads View citations (40)
  2. 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 Downloads

2002

  1. Estimation of Hyperbolic Diffusion Using MCMC Method
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (12)

2000

  1. A Multivariate GARCH Model with Time-Varying Correlations
    Econometrics, University Library of Munich, Germany Downloads View citations (12)
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) Downloads View citations (39)
    Econometrics, University Library of Munich, Germany (2000) Downloads View citations (12)

Journal Articles

2008

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

2007

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

2006

  1. A survey on physical delivery versus cash settlement in futures contracts
    International Review of Economics & Finance, 2006, 15, (1), 15-29 Downloads View citations (8)
  2. An empirical examination of IPO underpricing in the Chinese A-share market
    China Economic Review, 2006, 17, (4), 363-382 Downloads View citations (31)
  3. Exchange-rate systems and interest-rate behaviour: The experience of Hong Kong and Singapore
    International Review of Economics & Finance, 2006, 15, (2), 212-227 Downloads View citations (3)
    See also Working Paper Exchange-Rate Systems and Interest-Rate Behaviour: The Experience of Hong Kong and Singapore, Economic Growth Centre Working Paper Series (2005) Downloads (2005)
  4. Functional form and spatial dependence in dynamic panels
    Economics Letters, 2006, 91, (1), 138-145 Downloads View citations (19)
  5. Modelling firm-size distribution using Box-Cox heteroscedastic regression
    Journal of Applied Econometrics, 2006, 21, (5), 641-653 Downloads
    See also Working Paper Modeling Firm-Size Distribution Using Box-Cox Heteroscedastic Regression, Working Papers (2004) Downloads (2004)

2005

  1. Effects of electronic trading on the Hang Seng Index futures market
    International Review of Economics & Finance, 2005, 14, (4), 415-425 Downloads View citations (13)

2004

  1. A small‐sample overlapping variance‐ratio test
    Journal of Time Series Analysis, 2004, 25, (1), 127-135 Downloads View citations (4)
  2. 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 Downloads View citations (8)

2003

  1. The impacts of Hong Kong's Currency Board reforms on the interbank market
    Journal of Banking & Finance, 2003, 27, (12), 2273-2296 Downloads View citations (10)

2002

  1. A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model with Time-Varying Correlations
    Journal of Business & Economic Statistics, 2002, 20, (3), 351-62 View citations (510)
  2. Physical delivery versus cash settlement: an empirical study on the feeder cattle contract
    Journal of Empirical Finance, 2002, 9, (4), 361-371 Downloads View citations (5)
  3. Residual-based diagnostics for conditional heteroscedasticity models
    Econometrics Journal, 2002, 5, (2), 358-374 View citations (47)

2001

  1. Hedging downside risk: futures vs. options
    International Review of Economics & Finance, 2001, 10, (2), 159-169 Downloads View citations (17)

2000

  1. A test for constant correlations in a multivariate GARCH model
    Journal of Econometrics, 2000, 98, (1), 107-127 Downloads View citations (229)

1998

  1. The conditional heteroscedasticity of the yen-dollar exchange rate
    Journal of Applied Econometrics, 1998, 13, (1), 49-55 Downloads View citations (208)

1997

  1. Conditional volatility in foreign exchange rates: Evidence from the Malaysian ringgit and Singapore dollar
    Pacific-Basin Finance Journal, 1997, 5, (3), 345-356 Downloads View citations (24)
  2. The cointegration of Asian currencies revisited
    Japan and the World Economy, 1997, 9, (1), 109-114 Downloads View citations (19)

1995

  1. Some international evidence on the stochastic behavior of interest rates
    Journal of International Money and Finance, 1995, 14, (5), 721-738 Downloads View citations (23)

1991

  1. Stock returns volatility in the Tokyo stock exchange
    Japan and the World Economy, 1991, 3, (3), 285-298 Downloads View citations (24)
  2. Term Structure of Interest Rates in the Singapore Asian Dollar Market
    Journal of Applied Econometrics, 1991, 6, (2), 143-52 Downloads View citations (23)

1989

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

1987

  1. A Diagnostic Test for the Multinomial Logit Model
    Journal of Business & Economic Statistics, 1987, 5, (2), 283-86 View citations (24)
  2. A note on Sargan densities
    Journal of Econometrics, 1987, 34, (3), 349-354 Downloads View citations (2)

1985

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

1984

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

1983

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

1982

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