Details about Y. K. Tse

Access statistics for papers by Y. K. Tse.

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

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 (9)

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 Technological University, School of Social Sciences, Economic Growth Centre
   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) View citations (3) (2006)

2004

4. Modeling Firm-Size Distribution Using Box-Cox Heteroscedastic Regression
   Working Papers, Singapore Management University, School of Economics
   See also Journal Article Modelling firm-size distribution using Box-Cox heteroscedastic regression, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2006) (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 Australasian Meetings, Econometric Society
   Also in Econometric Society 2004 Far Eastern 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 (4)

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 (40)
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 (12)

2000

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

Journal Articles

2008

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

2007

2. A Corrected Plug-in Method for Quantile Interval Construction Through a Transformed Regression
   Journal of Business & Economic Statistics, 2007, 25, 356-376 View citations (3)
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 (1)

2006

4. A survey on physical delivery versus cash settlement in futures contracts
   International Review of Economics & Finance, 2006, 15, (1), 15-29 View citations (8)
5. An empirical examination of IPO underpricing in the Chinese A-share market
   China Economic Review, 2006, 17, (4), 363-382 View citations (31)
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 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) (2005)
7. Functional form and spatial dependence in dynamic panels
   Economics Letters, 2006, 91, (1), 138-145 View citations (19)
8. Modelling firm-size distribution using Box-Cox heteroscedastic regression
   Journal of Applied Econometrics, 2006, 21, (5), 641-653
   See also Working Paper Modeling Firm-Size Distribution Using Box-Cox Heteroscedastic Regression, Working Papers (2004) (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 (13)

2004

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

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 (10)

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 (511)
14. Physical delivery versus cash settlement: an empirical study on the feeder cattle contract
    Journal of Empirical Finance, 2002, 9, (4), 361-371 View citations (5)
15. Residual-based diagnostics for conditional heteroscedasticity models
    Econometrics Journal, 2002, 5, (2), 358-374 View citations (47)

2001

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

2000

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

1998

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

1997

19. 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)
20. The cointegration of Asian currencies revisited
    Japan and the World Economy, 1997, 9, (1), 109-114 View citations (19)

1995

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

1991

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

1989

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

1987

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

1985

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

1984

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

1983

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

1982

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