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
Jump to Journal Articles
Working Papers
2006
- 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
- 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
- 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
- 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)
- Robust Tests of Market Efficiency using Statistical Arbitrage
Working Papers, Singapore Management University, School of Economics
- Tests of Functional Form and Heteroscedasticity
Econometric Society 2004 Far Eastern Meetings, Econometric Society 
Also in Econometric Society 2004 Australasian Meetings, Econometric Society (2004)
- Transaction-Data Analysis of Marked Durations and Their Implications for Market Microstructure
Working Papers, Singapore Management University, School of Economics View citations (4)
2003
- 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)
- 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
- 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
- A Multivariate GARCH Model with Time-Varying Correlations
Econometrics, University Library of Munich, Germany View citations (12)
Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations (39) Econometrics, University Library of Munich, Germany (2000) View citations (12)
Journal Articles
2008
- Generalized LM tests for functional form and heteroscedasticity
Econometrics Journal, 2008, 11, (2), 349-376 View citations (1)
2007
- 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)
- 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
- A survey on physical delivery versus cash settlement in futures contracts
International Review of Economics & Finance, 2006, 15, (1), 15-29 View citations (8)
- An empirical examination of IPO underpricing in the Chinese A-share market
China Economic Review, 2006, 17, (4), 363-382 View citations (31)
- 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)
- Functional form and spatial dependence in dynamic panels
Economics Letters, 2006, 91, (1), 138-145 View citations (19)
- 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
- 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
- A small‐sample overlapping variance‐ratio test
Journal of Time Series Analysis, 2004, 25, (1), 127-135 View citations (4)
- 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
- 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
- A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model with Time-Varying Correlations
Journal of Business & Economic Statistics, 2002, 20, (3), 351-62 View citations (510)
- 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)
- Residual-based diagnostics for conditional heteroscedasticity models
Econometrics Journal, 2002, 5, (2), 358-374 View citations (47)
2001
- Hedging downside risk: futures vs. options
International Review of Economics & Finance, 2001, 10, (2), 159-169 View citations (17)
2000
- A test for constant correlations in a multivariate GARCH model
Journal of Econometrics, 2000, 98, (1), 107-127 View citations (229)
1998
- The conditional heteroscedasticity of the yen-dollar exchange rate
Journal of Applied Econometrics, 1998, 13, (1), 49-55 View citations (208)
1997
- 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 (19)
1995
- 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
- Stock returns volatility in the Tokyo stock exchange
Japan and the World Economy, 1991, 3, (3), 285-298 View citations (24)
- Term Structure of Interest Rates in the Singapore Asian Dollar Market
Journal of Applied Econometrics, 1991, 6, (2), 143-52 View citations (23)
1989
- A Proportional Random Utility Approach to Qualitative Response Models
Journal of Business & Economic Statistics, 1989, 7, (1), 61-65 View citations (1)
1987
- A Diagnostic Test for the Multinomial Logit Model
Journal of Business & Economic Statistics, 1987, 5, (2), 283-86 View citations (24)
- A note on Sargan densities
Journal of Econometrics, 1987, 34, (3), 349-354 View citations (2)
1985
- Some Modified Versions of Durbin's h-Statistic
The Review of Economics and Statistics, 1985, 67, (3), 534-38
1984
- Testing for linear and log-linear regressions with heteroscedasticity
Economics Letters, 1984, 16, (1-2), 63-69 View citations (1)
- Testing linear and log-linear regressions with autocorrelated errors
Economics Letters, 1984, 14, (4), 333-337
1983
- On calculating the edgeworth approximate distribution of an econometric estimator or test statistic
Economics Letters, 1983, 12, (1), 37-41
1982
- Edgeworth approximations in first-order stochastic difference equations with exogenous variables
Journal of Econometrics, 1982, 20, (2), 175-195 View citations (2)
|
The links between different versions of a paper are constructed automatically by matching on the titles.
Please contact if a link is incorrect.
Use this form
to add links between versions where the titles do not match.
|