Anthony S Tay : Citation Profile


Are you Anthony S Tay?

Singapore Management University

8

H index

6

i10 index

1072

Citations

RESEARCH PRODUCTION:

6

Articles

21

Papers

RESEARCH ACTIVITY:

   12 years (1997 - 2009). See details.
   Cites by year: 89
   Journals where Anthony S Tay has often published
   Relations with other researchers
   Recent citing documents: 73.    Total self citations: 7 (0.65 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pta22
   Updated: 2020-09-14    RAS profile: 2010-03-16    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Anthony S Tay.

Is cited by:

Swanson, Norman (37)

Diebold, Francis (35)

Clements, Michael (33)

Ravazzolo, Francesco (26)

Mitchell, James (21)

Rossi, Barbara (19)

Bollerslev, Tim (15)

Sarno, Lucio (15)

Vahey, Shaun (15)

Pesaran, M (14)

Perote, Javier (14)

Cites to:

Diebold, Francis (22)

Christoffersen, Peter (16)

Harvey, Campbell (11)

Bollerslev, Tim (6)

Bekaert, Geert (6)

Perez Quiros, Gabriel (6)

Jondeau, Eric (6)

Rockinger, Michael (6)

Timmermann, Allan (5)

Engle, Robert (5)

Kaminsky, Graciela (5)

Main data


Where Anthony S Tay has published?


Working Papers Series with more than one paper published# docs
Working Papers / Singapore Management University, School of Economics5
Econometric Society World Congress 2000 Contributed Papers / Econometric Society2

Recent works citing Anthony S Tay (2020 and 2019)


YearTitle of citing document
2019Spectral backtests of forecast distributions with application to risk management. (2019). Gordy, Michael ; McNeil, Alexander J ; Lok, Hsiao Yen . In: Papers. RePEc:arx:papers:1708.01489.

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2020Density Forecasts in Panel Data Models: A Semiparametric Bayesian Perspective. (2018). Liu, Laura. In: Papers. RePEc:arx:papers:1805.04178.

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2020Quantitative portfolio selection: using density forecasting to find consistent portfolios. (2019). Beasley, John ; Adcock, C J ; Meade, N. In: Papers. RePEc:arx:papers:1908.08442.

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2020Equity Premium Puzzle or Faulty Economic Modelling?. (2019). Rachev, Svetlozar T ; Fabozzi, Frank J ; Stoyanov, Stoyan V ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:1909.13019.

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2020The Murphy Decomposition and the Calibration-Resolution Principle: A New Perspective on Forecast Evaluation. (2020). Pohle, Marc-Oliver. In: Papers. RePEc:arx:papers:2005.01835.

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2020Horseshoe Prior Bayesian Quantile Regression. (2020). Kohns, David ; Szendrei, Tibor. In: Papers. RePEc:arx:papers:2006.07655.

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2020Estimation of time-varying kernel densities and chronology of the impact of COVID-19 on financial markets. (2020). Klein, Jules ; Garcin, Matthieu ; Laaribi, Sana. In: Papers. RePEc:arx:papers:2007.09043.

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2020Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics. (2020). Garcin, Matthieu ; Ammy-Driss, Ayoub. In: Papers. RePEc:arx:papers:2007.10727.

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2020Tile test for back-testing risk evaluation. (2020). Zumbach, Gilles. In: Papers. RePEc:arx:papers:2007.12431.

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2020Testing error distribution by kernelized Stein discrepancy in multivariate time series models. (2020). Li, Dong ; Gong, Huan ; Zhu, KE ; Luo, Donghang. In: Papers. RePEc:arx:papers:2008.00747.

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2019From fixed-event to fixed-horizon density forecasts: obtaining measures of multi-horizon uncertainty from survey density forecasts. (2019). Sekhposyan, Tatevik ; Rossi, Barbara ; Ganics, Gergely. In: Working Papers. RePEc:bde:wpaper:1947.

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2020Asymmetry in the conditional distribution of euro-area inflation. (2020). Tagliabracci, Alex. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1270_20.

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2019Identifying and Estimating the Effects of Unconventional Monetary Policy in the Data: How to Do It and What Have We Learned?. (2019). Rossi, Barbara. In: Working Papers. RePEc:bge:wpaper:1081.

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2020From Fixed-Event to Fixed-Horizon Density Forecasts: Obtaining Measures of Multi-Horizon Uncertainty from Survey Density Forecasts. (2020). Sekhposyan, Tatevik ; Rossi, Barbara ; Ganics, Gergely. In: Working Papers. RePEc:bge:wpaper:1142.

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2019Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them. (2019). Rossi, Barbara. In: Working Papers. RePEc:bge:wpaper:1162.

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2020Information asymmetry and leverage adjustments: a semiparametric varying‐coefficient approach. (2020). Kumbhakar, Subal ; Zhao, Shunan ; Jin, Man. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:183:y:2020:i:2:p:581-605.

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2019Density Forecasting. (2019). Ravazzolo, Francesco ; Casarin, Roberto ; Bassetti, Federico. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps59.

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2020Macroeconomics, Nonlinearities, and the Business Cycle. (2020). Reif, Magnus. In: ifo Beiträge zur Wirtschaftsforschung. RePEc:ces:ifobei:87.

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2020Back testing fan charts of activity and inflation: the Chilean case. (2020). Gatty, Andres ; Fornero, Jorge. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:881.

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2020From Fixed-event to Fixed-horizon Density Forecasts: Obtaining Measures of Multi-horizon Uncertainty from Survey Density Forecasts. (2020). Sekhposyan, Tatevik ; Rossi, Barbara ; Ganics, Gergely. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14267.

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2020Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them. (2020). Rossi, Barbara. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14472.

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2019Forecasting Volatility in Cryptocurrency Markets. (2019). Bekiros, Stelios ; Segnon, Mawuli. In: CQE Working Papers. RePEc:cqe:wpaper:7919.

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2019Prediction regions for interval-valued time series. (2019). Gonzalez-Rivera, Gloria ; Luo, Yun ; Ortega, Esther Ruiz. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:29054.

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2019Forecasting crude oil prices with DSGE models. (2019). Rubaszek, Michał. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2019_024.

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2020Exchange rate predictive densities and currency risks: A quantile regression approach. (2020). Joseph, Niango Ange. In: EconomiX Working Papers. RePEc:drm:wpaper:2020-16.

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2020Density forecast combinations: the real-time dimension. (2020). Warne, Anders ; McAdam, Peter. In: Working Paper Series. RePEc:ecb:ecbwps:20202378.

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2019The combination of interval forecasts in tourism. (2019). Liu, Anyu ; Zhou, Menglin ; Wu, Doris Chenguang. In: Annals of Tourism Research. RePEc:eee:anture:v:75:y:2019:i:c:p:363-378.

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2019Density tourism demand forecasting revisited. (2019). Liu, Chang ; Wen, Long ; Song, Haiyan. In: Annals of Tourism Research. RePEc:eee:anture:v:75:y:2019:i:c:p:379-392.

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2019Does a financial accelerator improve forecasts during financial crises? Evidence from Japan with prediction-pooling methods. (2019). Iiboshi, Hirokuni ; Nakamura, Daisuke ; Matsumae, Tatsuyoshi ; Hasumi, Ryo. In: Journal of Asian Economics. RePEc:eee:asieco:v:60:y:2019:i:c:p:45-68.

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2019Functional Ross recovery: Theoretical results and empirical tests. (2019). Maurer, Raimond ; Dillschneider, Yannick. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:108:y:2019:i:c:s0165188919301496.

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2019Are financial returns really predictable out-of-sample?: Evidence from a new bootstrap test. (2019). Pan, Zhiyuan ; Bu, Ruijun ; Liu, LI ; Xu, Yuhua. In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:124-135.

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2019Extreme dependence and risk spillovers across north american equity markets. (2019). Warshaw, Evan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:237-251.

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2019A brief survey on the choice of parameters for: “Kernel density estimation for time series data”. (2019). Oneill, Robert ; Semeyutin, Artur. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818304376.

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2019Alternative tests for correct specification of conditional predictive densities. (2019). Sekhposyan, Tatevik ; Rossi, Barbara. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:638-657.

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2019Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns. (2019). Walker, Patrick S ; Polak, Pawe ; Paolella, Marc S. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:2:p:493-515.

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2019Futures-based forecasts: How useful are they for oil price volatility forecasting?. (2019). Filis, George ; Degiannakis, Stavros ; Chatziantoniou, Ioannis. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:639-649.

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2020Managing volumetric risk of long-term power purchase agreements. (2020). Hansen, Rasmus Thrane ; Tranberg, BO ; Catania, Leopoldo. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303627.

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2019Quasi ex-ante inflation forecast uncertainty. (2019). Díaz, Carlos ; Charemza, Wojciech ; Makarova, Svetlana ; Diaz, Carlos. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:3:p:994-1007.

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2020Forecasting realized oil-price volatility: The role of financial stress and asymmetric loss. (2020). Pierdzioch, Christian ; GUPTA, RANGAN ; Gkillas, Konstantinos. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:104:y:2020:i:c:s0261560619300075.

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2019Inflation dynamics and adaptive expectations in an estimated DSGE model. (2019). Lansing, Kevin ; Iskrev, Nikolay ; Gelain, Paolo ; Mendicino, Caterina. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:59:y:2019:i:c:p:258-277.

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2019Optimism, pessimism, and short-term fluctuations. (2019). Grigoli, Francesco ; di Bella, Gabriel. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:60:y:2019:i:c:p:79-96.

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2019Point and density forecasts of oil returns: The role of geopolitical risks. (2019). Wong, Wing-Keung ; Plakandaras, Vasilios ; GUPTA, RANGAN. In: Resources Policy. RePEc:eee:jrpoli:v:62:y:2019:i:c:p:580-587.

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2019The power of sunspots: An experimental analysis. (2019). Llorente-Saguer, Aniol ; Heinemann, Frank ; Fehr, Dietmar. In: Journal of Monetary Economics. RePEc:eee:moneco:v:103:y:2019:i:c:p:123-136.

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2020Volatility and skewness spillover between stock index and stock index futures markets during a crash period: New evidence from China. (2020). Li, Steven ; Hou, Yang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:166-188.

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2019Threshold Stochastic Conditional Duration Model for Financial Transaction Data. (2019). Wirjanto, Tony S ; Kolkiewicz, Adam W ; Men, Zhongxian. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:88-:d:230954.

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2019Conditional Dependence between Oil Prices and Exchange Rates in BRICS Countries: An Application of the Copula-GARCH Model. (2019). Hamori, Shigeyuki ; He, Yijin. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:99-:d:238440.

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2020Estimation of time-varying kernel densities and chronology of the impact of COVID-19 on financial markets. (2020). Laaribi, Sana ; Klein, Jules ; Garcin, Matthieu. In: Working Papers. RePEc:hal:wpaper:hal-02901988.

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2020Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics. (2020). Garcin, Matthieu ; Ammy-Driss, Ayoub. In: Working Papers. RePEc:hal:wpaper:hal-02903655.

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2019Growth at Risk: Concept and Application in IMF Country Surveillance. (2019). Lafarguette, Romain ; Alter, Adrian ; Wang, Changchun ; Feng, Alan Xiaochen ; Jeasakul, Phakawa ; Elekdag, Selim ; Prasad, Ananthakrishnan. In: IMF Working Papers. RePEc:imf:imfwpa:19/36.

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2020Predicting Downside Risks to House Prices and Macro-Financial Stability. (2020). Shahid, Sohaib ; Valckx, Nico ; Katagiri, Mitsuru ; Deghi, Andrea. In: IMF Working Papers. RePEc:imf:imfwpa:20/11.

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2020Belief Elicitation with Multiple Point Predictions. (2019). Schmidt, Patrick ; Eyting, Markus . In: Working Papers. RePEc:jgu:wpaper:1818.

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2020Forecasting volatility in bitcoin market. (2020). Bekiros, Stelios ; Segnon, Mawuli. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:3:d:10.1007_s10436-020-00368-y.

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2020How to survive and compete: the impact of information asymmetry on productivity. (2020). Kumbhakar, Subal C ; Tian, Huiting ; Jin, Man. In: Journal of Productivity Analysis. RePEc:kap:jproda:v:53:y:2020:i:1:d:10.1007_s11123-019-00562-9.

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2019An Econometric Model of International Long-run Growth Dynamics. (2019). Watson, Mark ; Stock, James ; Muller, Ulrich K. In: NBER Working Papers. RePEc:nbr:nberwo:26593.

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2019Nonparametric conditional density specification testing and quantile estimation; with application to S&P500 returns. (2019). Marsh, Patrick. In: Discussion Papers. RePEc:not:notgts:19/02.

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2019Dynamic discrete mixtures for high frequency prices. (2019). Santucci de Magistris, Paolo ; di Mari, Roberto ; Catania, Leopoldo. In: Discussion Papers. RePEc:not:notgts:19/05.

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2019Measuring Data Uncertainty: An Application using the Bank of Englands Fan Charts for Historical GDP Growth. (2019). Mitchell, James ; Galvão, Ana ; Galvao, Ana Beatriz. In: Economic Statistics Centre of Excellence (ESCoE) Discussion Papers. RePEc:nsr:escoed:escoe-dp-2019-08.

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2019Accuracy of real-time multi-model ensemble forecasts for seasonal influenza in the U.S.. (2019). Brooks, Logan C ; Kandula, Sasikiran ; Osthus, Dave ; Shaman, Jeffrey ; Ray, Evan L ; Rosenfeld, Roni ; Tushar, Abhinav ; Johansson, Michael A ; Yamana, Teresa K ; Biggerstaff, Matthew ; McGowan, Craig J ; Silva, Rebecca ; Reich, Nicholas G ; Moore, Evan ; Gibson, Graham Casey ; Crawford-Crudell, Willow. In: PLOS Computational Biology. RePEc:plo:pcbi00:1007486.

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2019Oil price volatility forecasts: What do investors need to know?. (2019). Filis, George ; Degiannakis, Stavros. In: MPRA Paper. RePEc:pra:mprapa:94445.

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2019Futures-based forecasts: How useful are they for oil price volatility forecasting?. (2019). Filis, George ; Degiannakis, Stavros ; Chatziantoniou, Ioannis. In: MPRA Paper. RePEc:pra:mprapa:96446.

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2019Spillovers in Higher-Order Moments of Bitcoin, Gold, and Oil. (2019). GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos ; Roubaud, David ; Bouri, Elie. In: Working Papers. RePEc:pre:wpaper:201965.

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2019Risk Aversion and the Predictability of Crude Oil Market Volatility: A Forecasting Experiment with Random Forests. (2019). Pierdzioch, Christian ; GUPTA, RANGAN ; Demirer, Riza ; Gkillas, Konstantinos. In: Working Papers. RePEc:pre:wpaper:201972.

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2019Conditional Term Structure of Inflation Forecast Uncertainty: The Copula Approach. (2019). Charemza, Wojciech ; Makarova, Svetlana ; Diaz, Carlos. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2019:i:1:p:5-18.

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2019Forecasting Turkish real GDP growth in a data-rich environment. (2019). En, Bahar ; Midili, Murat . In: Empirical Economics. RePEc:spr:empeco:v:56:y:2019:i:1:d:10.1007_s00181-017-1357-8.

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2020Aggregate density forecasting from disaggregate components using Bayesian VARs. (2020). Cobb, Marcus. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:1:d:10.1007_s00181-019-01720-6.

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2019Birnbaum–Saunders autoregressive conditional duration models applied to high-frequency financial data. (2019). Leo, Jeremias ; Saulo, Helton ; Aykroyd, Robert G ; Leiva, Victor. In: Statistical Papers. RePEc:spr:stpapr:v:60:y:2019:i:5:d:10.1007_s00362-017-0888-6.

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2019Backtesting Extreme Value Theory models of expected shortfall. (2019). Garcia-Jorcano, Laura ; Novales, Alfonso. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1924.

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2019From fixed-event to fixed-horizon density forecasts: Obtaining measures of multi-horizon uncertainty from survey density forecasts. (2019). Sekhposyan, Tatevik ; Ganics, Gergely ; Rossi, Barbara. In: Economics Working Papers. RePEc:upf:upfgen:1689.

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2019Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them. (2019). Rossi, Barbara. In: Economics Working Papers. RePEc:upf:upfgen:1711.

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2020Prediction regions for interval‐valued time series. (2020). Luo, Yun ; Gonzalezrivera, Gloria ; Ruiz, Esther. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:35:y:2020:i:4:p:373-390.

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2020Order‐invariant tests for proper calibration of multivariate density forecasts. (2020). Dovern, Jonas ; Manner, Hans. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:35:y:2020:i:4:p:440-456.

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2019Commodity Prices and Inflation Risk. (2019). Petrella, Ivan ; Garratt, Anthony. In: EMF Research Papers. RePEc:wrk:wrkemf:23.

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2019Measuring Data Uncertainty : An Application using the Bank of England’s “Fan Charts” for Historical GDP Growth. (2019). Mitchell, James ; Galvao, Ana Beatriz. In: EMF Research Papers. RePEc:wrk:wrkemf:24.

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Works by Anthony S Tay:


YearTitleTypeCited
2008Time-Varying Incentives in the Mutual Fund Industry In: CEPR Discussion Papers.
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2008Time-Varying Incentives in the Mutual Fund Industry.(2008) In: Working Papers.
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2004Global and Regional Sources of Risk in Equity Markets: Evidence from Factor Models with Time-Varying Conditional Skewness In: Econometric Society 2004 Far Eastern Meetings.
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2001Global and Regional Sources of Risk in Equity Markets: Evidence from Factor Models with Time-Varying Conditional Skewness.(2001) In: Departmental Working Papers.
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This paper has another version. Agregated cites: 4
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2000Density Forecasting: A Survey In: Econometric Society World Congress 2000 Contributed Papers.
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2000Dynamic Regressions with Variables Observed at Different Frequencies In: Econometric Society World Congress 2000 Contributed Papers.
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2007Global regional sources of risk in equity markets: Evidence from factor models with time-varying conditional skewness In: Journal of International Money and Finance.
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2006Non-fundamental expectations and economic fluctuations: Evidence from professional forecasts In: Journal of Macroeconomics.
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2003Non-Fundamental Expectations and Economic Fluctuations: Evidence from Professional Forecasts.(2003) In: Departmental Working Papers.
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1997Evaluating density forecasts In: Working Papers.
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1997Evaluating Density Forecasts.(1997) In: NBER Technical Working Papers.
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1997Evaluating Density Forecasts.(1997) In: CARESS Working Papres.
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1997Evaluating Density Forecasts.(1997) In: Center for Financial Institutions Working Papers.
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1998Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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1998Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange.(1998) In: NBER Working Papers.
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1998Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange.(1998) In: Center for Financial Institutions Working Papers.
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This paper has another version. Agregated cites: 3
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1998Evaluating Density Forecasts with Applications to Financial Risk Management. In: International Economic Review.
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1997Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters In: NBER Working Papers.
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1998Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters.(1998) In: Working Papers.
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2009Using High-Frequency Transaction Data to Estimate the Probability of Informed Trading In: Journal of Financial Econometrics.
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2006Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence In: PIER Working Paper Archive.
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2005Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore In: Working Papers.
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2004Transaction-Data Analysis of Marked Durations and Their Implications for Market Microstructure In: Working Papers.
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2007Modeling Transaction Data of Trade Direction and Estimation of Probability of Informed Trading In: Working Papers.
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2007Financial Variables as Predictors of Real Output Growth In: Working Papers.
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2006Intraday stock prices, volume, and duration: a nonparametric conditional density analysis In: Empirical Economics.
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1999Multivariate Density Forecast Evaluation And Calibration In Financial Risk Management: High-Frequency Returns On Foreign Exchange In: The Review of Economics and Statistics.
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article137

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