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Details about Philip L.H. Yu

E-mail:
Homepage:http://web.hku.hk/~plhyu
Workplace:The University of Hong Kong, Department of Statistics and Actuarial Science

Access statistics for papers by Philip L.H. Yu.

Last updated 2012-10-25. Update your information in the RePEc Author Service.

Short-id: pyu43


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Working Papers

2007

  1. Order Imbalance and the Dynamics of Index and Futures Prices
    Working Papers, Hong Kong Institute for Monetary Research Downloads View citations (8)

Journal Articles

2012

  1. Mixtures of weighted distance-based models for ranking data with applications in political studies
    Computational Statistics & Data Analysis, 2012, 56, (8), 2486-2500 Downloads View citations (5)
  2. Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity
    Computational Economics, 2012, 40, (1), 19-48 Downloads View citations (12)

2011

  1. A note on the binomial model with simplex constraints
    Computational Statistics & Data Analysis, 2011, 55, (12), 3381-3385 Downloads
  2. Basket trading under co-integration with the logistic mixture autoregressive model
    Quantitative Finance, 2011, 11, (9), 1407-1419 Downloads View citations (4)
  3. Modeling threshold conditional heteroscedasticity with regime-dependent skewness and kurtosis
    Computational Statistics & Data Analysis, 2011, 55, (9), 2590-2604 Downloads View citations (3)

2010

  1. A margin scheme that advises on when to change required margin
    European Journal of Operational Research, 2010, 207, (1), 524-530 Downloads View citations (5)
  2. Distance-based tree models for ranking data
    Computational Statistics & Data Analysis, 2010, 54, (6), 1672-1682 Downloads View citations (15)
  3. On Some Models for Value-At-Risk
    Econometric Reviews, 2010, 29, (5-6), 622-641 Downloads View citations (16)

2009

  1. A smoothed bootstrap test for independence based on mutual information
    Computational Statistics & Data Analysis, 2009, 53, (7), 2524-2536 Downloads
  2. On a dynamic mixture GARCH model
    Journal of Forecasting, 2009, 28, (3), 247-265 Downloads View citations (3)

2006

  1. Empirical analysis of GARCH models in value at risk estimation
    Journal of International Financial Markets, Institutions and Money, 2006, 16, (2), 180-197 Downloads View citations (59)
  2. Statistical Exploration from SARS
    The American Statistician, 2006, 60, 81-91 Downloads View citations (1)

2005

  1. Factor analysis for ranked data with application to a job selection attitude survey
    Journal of the Royal Statistical Society Series A, 2005, 168, (3), 583-597 Downloads View citations (3)

2003

  1. On the residual autocorrelation of the autoregressive conditional duration model
    Economics Letters, 2003, 79, (2), 169-175 Downloads View citations (8)

2002

  1. Estimation of the Common Mean of a Bivariate Normal Population
    Annals of the Institute of Statistical Mathematics, 2002, 54, (4), 861-878 Downloads View citations (2)

2000

  1. Bayesian analysis of order-statistics models for ranking data
    Psychometrika, 2000, 65, (3), 281-299 Downloads View citations (7)

1997

  1. How to predict election winners from a poll
    Journal of Applied Statistics, 1997, 24, (1), 11-24 Downloads View citations (2)

1996

  1. Likelihood ratio test for the spacing between two adjacent location parameters
    Statistics & Probability Letters, 1996, 26, (1), 43-49 Downloads
 
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