Y. K. Tse : Citation Profile

Are you Y. K. Tse?

Singapore Management University

15

H index

17

i10 index

1272

Citations

RESEARCH PRODUCTION:

31

Articles

14

Papers

RESEARCH ACTIVITY:

   26 years (1982 - 2008). See details.
   Cites by year: 48
   Journals where Y. K. Tse has often published
   Relations with other researchers
   Recent citing documents: 103.    Total self citations: 8 (0.63 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pts1
   Updated: 2023-05-27    RAS profile: 2008-08-08    
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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 Y. K. Tse.

Is cited by:

Teräsvirta, Timo (29)

Silvennoinen, Annastiina (20)

Wong, Wing-Keung (18)

Lean, Hooi Hooi (18)

Degiannakis, Stavros (17)

Osborn, Denise (16)

Tsui, Albert (16)

Valls Pereira, Pedro (14)

Bauwens, Luc (12)

Miller, Stephen (10)

Chkili, Walid (10)

Cites to:

Bollerslev, Tim (20)

Engle, Robert (18)

Diebold, Francis (8)

Klemperer, Paul (8)

Baillie, Richard (6)

Baltagi, Badi (5)

Mankiw, N. Gregory (5)

Campbell, John (5)

MacKinnon, James (5)

Ritter, Jay (4)

Wooldridge, Jeffrey (4)

Main data

Where Y. K. Tse has published?

Journals with more than one article published# docs
International Review of Economics & Finance5
Economics Letters4
Journal of Business & Economic Statistics4
Journal of Econometrics3
Journal of Applied Econometrics3
Econometrics Journal2
Japan and the World Economy2

Working Papers Series with more than one paper published# docs
Working Papers / Singapore Management University, School of Economics5
Econometrics / University Library of Munich, Germany2
Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics2

Recent works citing Y. K. Tse (2022 and 2021)

YearTitle of citing document
2021Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model. (2021). Terasvirta, Timo ; Silvennoinen, Annastiina ; Hall, Anthony D. In: CREATES Research Papers. RePEc:aah:create:2021-13.

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2022A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model. (2022). Teräsvirta, Timo ; Wade, Glen ; Terasvirta, Timo ; Silvennoinen, Annastiina ; Jakobsen, Johan Stax ; Kang, Jian. In: CREATES Research Papers. RePEc:aah:create:2022-01.

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2023Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances. (2016). Catania, Leopoldo ; Billé, Anna Gloria. In: Papers. RePEc:arx:papers:1602.02542.

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2023Dynamic Adaptive Mixture Models. (2016). Catania, Leopoldo. In: Papers. RePEc:arx:papers:1603.01308.

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2022High-Dimensional Sparse Multivariate Stochastic Volatility Models. (2022). Asai, Manabu ; Poignard, Benjamin. In: Papers. RePEc:arx:papers:2201.08584.

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2022Evaluating conditional covariance estimates via a new targeting approach and a networks-based analysis. (2022). Drago, Carlo ; Scozzari, Andrea. In: Papers. RePEc:arx:papers:2202.02197.

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2022Neural Generalised AutoRegressive Conditional Heteroskedasticity. (2022). Yin, Zexuan ; Barucca, Paolo. In: Papers. RePEc:arx:papers:2202.11285.

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2022Variational Heteroscedastic Volatility Model. (2022). Barucca, Paolo ; Yin, Zexuan. In: Papers. RePEc:arx:papers:2204.05806.

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2021The Impact of International Crude Oil Prices on Energy Stock Prices - Evidence From China. (2021). Jiang, Mengting ; Kong, Dongmin. In: Energy RESEARCH LETTERS. RePEc:ayb:jrnerl:49.

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2021Volatile market condition, institutional constraints, and IPO anomaly: evidence from the Chinese market. (2021). Zhang, Luxiu ; Liu, Desheng. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:1:p:1239-1275.

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2022The Low?carbon Equity Market: A New Alternative for Investment Diversification?. (2022). Ludovina, Maria Fernanda ; Lozano, Maria Belen ; de Sousa, Vitor Manuel. In: Global Policy. RePEc:bla:glopol:v:13:y:2022:i:1:p:34-47.

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2021The effects of the national agricultural input voucher scheme (NAIVS) on sustainable intensification of maize production in Tanzania. (2021). Mason, Nicole M ; Kim, Jongwoo ; Wu, Felicia ; Mather, David. In: Journal of Agricultural Economics. RePEc:bla:jageco:v:72:y:2021:i:3:p:857-877.

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2022Exponential High-Frequency-Based-Volatility (EHEAVY) Models. (2022). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2022/5.

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2021The Surprising Stability Between Gas Prices and Expected Inflation. (2021). Olson, Eric ; Devore, Sam. In: Economics Bulletin. RePEc:ebl:ecbull:eb-20-01277.

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2021Modelling and Forecasting Crude Oil Prices during COVID-19 Pandemic. (2021). Azhar, Rialdi ; Hendrawaty, Ernie ; Metalia, Mega ; Oktanti, Sari Indah ; Dwi, Fajrin Satria. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2021-02-20.

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2021Spillover across sovereign bond markets between the US and ASEAN4 economies. (2021). Nguyen, Huy Toan ; Yiu, Matthew S ; Tsang, Andrew. In: Journal of Asian Economics. RePEc:eee:asieco:v:76:y:2021:i:c:s1049007821000725.

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2021Evaluating multiplicative error models: A residual-based approach. (2021). Lu, Wanbo ; Ke, Rui ; Jia, Jing. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:153:y:2021:i:c:s0167947320301778.

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2021Fast multivariate empirical cumulative distribution function with connection to kernel density estimation. (2021). Warin, Xavier ; Langrene, Nicolas. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:162:y:2021:i:c:s0167947321001018.

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2022COVID-19 pandemic’s impact on intraday volatility spillover between oil, gold, and stock markets. (2022). Kang, Sanghoon ; Vo, Xuan Vinh ; Mensi, Walid. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:74:y:2022:i:c:p:702-715.

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2021Is gold a hedge or a safe-haven asset in the COVID–19 crisis?. (2021). Sensoy, Ahmet ; Lucey, Brian M ; Boubaker, Sabri ; Akhtaruzzaman, MD. In: Economic Modelling. RePEc:eee:ecmode:v:102:y:2021:i:c:s0264999321001772.

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2021Intersectoral systemic risk spillovers between energy and agriculture under the financial and COVID-19 crises. (2021). Chevallier, Julien ; Deng, Yuanyue ; Lin, Renda ; Zhu, BO ; Chen, Pingshe. In: Economic Modelling. RePEc:eee:ecmode:v:105:y:2021:i:c:s0264999321002406.

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2021Correlation regimes in international equity and bond returns. (2021). Martinez, Oscar ; Aslanidis, Nektarios. In: Economic Modelling. RePEc:eee:ecmode:v:97:y:2021:i:c:p:397-410.

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2021Preference for bid time in hybrid auctioned IPOs: Evidence from China. (2021). Ma, Xinru ; He, Jingbin ; Liao, Jingchi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000267.

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2021Valuation of options on the maximum of two prices with default risk under GARCH models. (2021). Wang, Xingchun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000541.

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2021Risk spillover from crude oil prices to GCC stock market returns: New evidence during the COVID-19 outbreak. (2021). Al-Fayoumi, Nedal ; Abuzayed, Bana. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821000978.

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2021How can investors build a better portfolio in small open economies? Evidence from Asia’s Four Little Dragons. (2021). Yoon, Seong-Min ; Li, Changhong ; Dong, Xiyong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001200.

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2021A residual-based test for multivariate GARCH models using transformed quadratic residuals. (2021). Tan, Changchun ; Jia, Jing ; Ke, Rui. In: Economics Letters. RePEc:eee:ecolet:v:206:y:2021:i:c:s016517652100255x.

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2021Spatial dynamic panel data models with correlated random effects. (2021). Yang, Zhenlin ; Li, Liyao. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:2:p:424-454.

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2022Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: Applications for financial risk management. (2022). , Amanda ; Thomas, . In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:151-167.

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2022Parsimony inducing priors for large scale state–space models. (2022). Tsay, Ruey S ; McCulloch, Robert E ; Lopes, Hedibert F. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:1:p:39-61.

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2022Multivariate time-series modeling with generative neural networks. (2022). Zhu, MU ; Prasad, Avinash ; Hofert, Marius. In: Econometrics and Statistics. RePEc:eee:ecosta:v:23:y:2022:i:c:p:147-164.

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2022Effects of monetary policy news on financial assets: Evidence from Brazil on a bivariate VAR-GARCH model (2006–17). (2022). de Melo, Andre ; Noronha, George Augusto ; de Carvalho, Osmani Teixeira ; da Silva, Tarciso Gouveia. In: Emerging Markets Review. RePEc:eee:ememar:v:52:y:2022:i:c:s1566014122000334.

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2021An analysis of investor behaviour and information flows surrounding the negative WTI oil price futures event. (2021). Oxley, Les ; Corbet, Shaen ; Hu, Yang ; Hou, Yang. In: Energy Economics. RePEc:eee:eneeco:v:104:y:2021:i:c:s0140988321004576.

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2022Implications of clean energy, oil and emissions pricing for the GCC energy sector stock. (2022). Nasir, Muhammad Ali ; Chaudhuri, Kausik ; Alkathery, Mohammed A. In: Energy Economics. RePEc:eee:eneeco:v:112:y:2022:i:c:s014098832200278x.

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2021Coherence, extreme risk spillovers, and dynamic linkages between oil and China’s commodity futures markets. (2021). Zou, Huiwen ; Goh, Mark ; Cui, Jinxin. In: Energy. RePEc:eee:energy:v:225:y:2021:i:c:s0360544221004394.

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2021The influence of aviation disasters on engine manufacturers: An analysis of financial and reputational contagion risks. (2021). Sensoy, Ahmet ; Corbet, Shaen ; O'Connell, John F ; Akyildirim, Erdinc. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521920302738.

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2021Is China a source of financial contagion?. (2021). Abdel-Qader, Waleed ; Akhtaruzzaman, MD ; Shams, Syed ; Hammami, Helmi. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319310402.

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2021Financial contagion during COVID–19 crisis. (2021). Sensoy, Ahmet ; Akhtaruzzaman, MD ; Boubaker, Sabri. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320305754.

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2021Futures market and the contagion effect of COVID-19 syndrome. (2021). Banerjee, Ameet Kumar. In: Finance Research Letters. RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321000994.

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2022Dynamic comparison of portfolio risk: Clean vs dirty energy. (2022). Salvador, Manuel ; Miguel, Jesus ; Lample, Luis ; Gargallo, Pilar. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612322002112.

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2022COVID-19?s impact on the spillover effect across the Chinese and U.S. stock markets. (2022). Mao, Jiaying ; Zhang, Yongmin. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322000137.

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2022Modeling and forecasting firm-specific volatility: The role of asymmetry and long-memory. (2022). Gonzalez-Pla, Francisco ; Lovreta, Lidija. In: Finance Research Letters. RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322001933.

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2022Regime-switching angular correlation diversification. (2022). Lee, Hsiang-Tai. In: Finance Research Letters. RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004330.

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2023Property rights and access to equity capital in China. (2023). Boulton, Thomas J. In: Global Finance Journal. RePEc:eee:glofin:v:55:y:2023:i:c:s1044028322000990.

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2022Forecasting: theory and practice. (2022). Shang, Han Lin ; Rubaszek, Michał ; Martinez, Andrew ; Grossi, Luigi ; Franses, Philip Hans ; Fiszeder, Piotr ; Clements, Michael ; Castle, Jennifer ; Carnevale, Claudio ; Kolassa, Stephan ; Thorarinsdottir, Thordis ; Guo, Xiaojia ; Reade, James J ; Petropoulos, Fotios ; Nikolopoulos, Konstantinos ; Koehler, Anne B ; Thomakos, Dimitrios ; Browell, Jethro ; Rapach, David E ; Modis, Theodore ; Kang, Yanfei ; Tashman, Len ; Boylan, John E ; Gunter, Ulrich ; Ramos, Patricia ; Ellison, Joanne ; Meeran, Sheik ; Richmond, Victor ; Talagala, Thiyanga S ; Bijak, Jakub ; Guidolin, Massimo ; Pinson, Pierre ; Dokumentov, Alexander ; Jeon, Jooyoung ; Bessa, Ricardo J ; Pedregal, Diego J ; de Baets, Shari ; Ziel, Florian ; Syntetos, Aris A ; Bergmeir, Christoph
2021Return signal momentum. (2021). Thomakos, Dimitrios ; Liu, Jiadong ; Papailias, Fotis. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:124:y:2021:i:c:s0378426621000212.

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2021A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs. (2021). Walker, Patrick S ; Polak, Pawe ; Paolella, Marc S. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:125:y:2021:i:c:s0378426621000042.

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2022Competition and manipulation in derivative contract markets. (2022). Zhang, Anthony Lee. In: Journal of Financial Economics. RePEc:eee:jfinec:v:144:y:2022:i:2:p:396-413.

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2021Does a reduction of state control affect IPO underpricing? Evidence from the Chinese A-share market. (2021). Mu, Shaolong ; Hoque, Hafiz. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:115:y:2021:i:c:s0261560621000334.

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2022Multi-commodity price risk hedging in the Atlantic salmon farming industry. (2022). Strom, Eivind ; Strypet, Kristian ; Lavrutich, Maria ; Haarstad, Aleksander H. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:25:y:2022:i:c:s2405851321000167.

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2022The connectedness in the world petroleum futures markets using a Quantile VAR approach. (2022). Hammoudeh, Shawkat ; Aikins, Emmanuel Joel ; Tiwari, Aviral Kumar ; Jena, Sangram Keshari. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:27:y:2022:i:c:s2405851321000556.

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2021Does bitcoin provide hedge to Islamic stock markets for pre- and during COVID-19 outbreak? A comparative analysis with gold. (2021). Chkili, Walid ; Arfaoui, Mongi ; ben Rejeb, Aymen. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721004165.

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2022The lithium and oil markets – dependencies and volatility spillovers. (2022). Bdowska-Sojka, Barbara ; Gorka, Joanna. In: Resources Policy. RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722003452.

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2022Impact of the COVID-19 pandemic on return and risk transmission between oil and precious metals: Evidence from DCC-GARCH model. (2022). Ertugrul, Hasan ; Erturul, Hasan Murat ; Esen, Omer ; Yildirim, Durmu Ari. In: Resources Policy. RePEc:eee:jrpoli:v:79:y:2022:i:c:s030142072200383x.

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2021Time-varying asymmetric tail dependence of international equities markets. (2021). Qin, Xiao ; Zhou, Chunyang. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:68:y:2021:i:c:s0927538x21000962.

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2021Information bias and its spillover effect on return volatility: A study on stock markets in the Asia-Pacific region. (2021). Parad, Atul ; Nanda, Swagatika ; Panda, Pradiptarathi. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:69:y:2021:i:c:s0927538x21001608.

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2022Applying Hurst Exponent in pair trading strategies on Nasdaq 100 index. (2022). Lepaczuk, Robert ; Bui, Quynh. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:592:y:2022:i:c:s037843712100964x.

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2022On bank return and volatility spillovers: Identifying transmitters and receivers during crisis periods. (2022). Giannellis, Nikolaos ; Floros, Christos ; Apostolakis, George N. In: International Review of Economics & Finance. RePEc:eee:reveco:v:82:y:2022:i:c:p:156-176.

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2022The influence of the COVID-19 pandemic on the hedging functionality of Chinese financial markets. (2022). Oxley, Les ; Corbet, Shaen ; Hu, Yang ; Hou, Yang. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001318.

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2021Effects of pricing and infrastructure on car ownership: A pseudo-panel-based dynamic model. (2021). Feng, Chen-Chieh ; Diao, MI ; Song, Siqi. In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:152:y:2021:i:c:p:115-126.

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2021Optimal Dynamic Hedging in Selected Markets. (2021). Yilmaz, Tunahan. In: International Econometric Review (IER). RePEc:erh:journl:v:13:y:2021:i:4:p:89-117.

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2023Building Multivariate Time-Varying Smooth Transition Correlation GARCH Models, with an Application to the Four Largest Australian Banks. (2023). Terasvirta, Timo ; Silvennoinen, Annastiina ; Hall, Anthony D. In: Econometrics. RePEc:gam:jecnmx:v:11:y:2023:i:1:p:5-:d:1059591.

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2021Asymptotic and Finite Sample Properties for Multivariate Rotated GARCH Models. (2021). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu ; Pauwels, Laurent. In: Econometrics. RePEc:gam:jecnmx:v:9:y:2021:i:2:p:21-:d:548851.

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2022Economic Policy Uncertainty and Energy Prices: Empirical Evidence from Multivariate DCC-GARCH Models. (2022). Güngör, Hasan ; Bekun, Festus ; Alhassan, Abdulkareem ; Gungor, Hasan ; Ringim, Salim Hamza. In: Energies. RePEc:gam:jeners:v:15:y:2022:i:10:p:3712-:d:818770.

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2023Dependence Analysis for the Energy Sector Based on Energy ETFs. (2023). Gorka, Joanna ; Kuziak, Katarzyna. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:3:p:1329-:d:1047966.

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2021The Short-Term Impacts of the Registration-Based IPO Reform in China: Towards a More Sustainable Equity Market. (2021). Lu, Jiajun ; Zhou, Wenyu. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:20:p:11365-:d:656441.

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2022On the performances of Dynamic Conditional Correlation models in the Sovereign CDS market and the corresponding bond market. (2022). de Peretti, Christian ; Sabkha, Saker. In: Post-Print. RePEc:hal:journl:hal-01710398.

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2022Market Risk and Volatility Weighted Historical Simulation After Basel III. (2022). Firouzi, Hassan Omidi ; Laurent, Jean-Paul. In: Working Papers. RePEc:hal:wpaper:hal-03679434.

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2022Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models. (2022). Nguyen, Hoang ; Virbickaite, Audrone. In: Working Papers. RePEc:hhs:oruesi:2022_005.

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2021Analysis of lead-lag relationship and volatility spillover: evidence from Indian agriculture commodity markets. (2021). Singh, Gurmeet ; Lanka, Abhiram Kartik ; Shaik, Muneer. In: International Journal of Bonds and Derivatives. RePEc:ids:ijbder:v:4:y:2021:i:3:p:258-279.

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2021On a Bivariate Hysteretic AR-GARCH Model with Conditional Asymmetry in Correlations. (2021). Chen, Cathy W. S. ; Asai, Manabu ; Than-Thi, Hong. In: Computational Economics. RePEc:kap:compec:v:58:y:2021:i:2:d:10.1007_s10614-020-10034-0.

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2023FIEGARCH, modulus asymmetric FILog-GARCH and trend-stationary dual long memory time series. (2023). Letmathe, Sebastian ; Gries, Thomas ; Feng, Yuanhua. In: Working Papers CIE. RePEc:pdn:ciepap:156.

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2022A multivariate GARCH model with an infinite hidden Markov mixture. (2022). Li, Chenxing. In: MPRA Paper. RePEc:pra:mprapa:112792.

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2021Value-at-Risk Analysis for Measuring Stochastic Volatility of Stock Returns: Using GARCH-Based Dynamic Conditional Correlation Model. (2021). Ikram, Amir ; Mahmood, Asif ; Afzal, Farman ; Haiying, Pan. In: SAGE Open. RePEc:sae:sagope:v:11:y:2021:i:1:p:21582440211005758.

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2022Market outlet choices for African Indigenous Vegetables (AIVs): a socio-economic analysis of farmers in Zambia. (2022). Arumugam, Surendran ; Govindasamy, Ramu ; Simon, James E ; Wyk, Emil ; Ozkan, Burhan. In: Agricultural and Food Economics. RePEc:spr:agfoec:v:10:y:2022:i:1:d:10.1186_s40100-022-00235-6.

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2021Fair prices under a unified lattice approach for interest rate derivatives. (2021). Morelli, Giacomo. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03209-y.

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2021The long memory HEAVY process: modeling and forecasting financial volatility. (2021). Christopoulos, A ; Yfanti, S ; Karanasos, M. In: Annals of Operations Research. RePEc:spr:annopr:v:306:y:2021:i:1:d:10.1007_s10479-019-03493-8.

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2022Multi-feature evaluation of financial contagion. (2022). Syrek, Robert ; Gurgul, Henryk ; Duda, Jarosaw. In: Central European Journal of Operations Research. RePEc:spr:cejnor:v:30:y:2022:i:4:d:10.1007_s10100-021-00756-3.

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2021Statistical inference for mixture GARCH models with financial application. (2021). Cavicchioli, Maddalena. In: Computational Statistics. RePEc:spr:compst:v:36:y:2021:i:4:d:10.1007_s00180-021-01092-5.

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2022Predicting interest rate distributions using PCA & quantile regression. (2022). Westgaard, Sjur ; Pimentel, Rita ; Risstad, Morten. In: Digital Finance. RePEc:spr:digfin:v:4:y:2022:i:4:d:10.1007_s42521-022-00057-7.

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2021Joint tests for dynamic and spatial effects in short panels with fixed effects and heteroskedasticity. (2021). Yang, Zhenlin. In: Empirical Economics. RePEc:spr:empeco:v:60:y:2021:i:1:d:10.1007_s00181-020-01935-y.

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2022Changes in inflation compensation and oil prices: short-term and long-term dynamics. (2022). Ribeiro, Pedro Pires ; da Cunha, Ines ; Nicolau, Joo. In: Empirical Economics. RePEc:spr:empeco:v:62:y:2022:i:2:d:10.1007_s00181-021-02032-4.

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2022One-step oracle procedure for semi-parametric spatial autoregressive model and its empirical application to Boston housing price data. (2022). Lu, Fang ; Yang, Jing. In: Empirical Economics. RePEc:spr:empeco:v:62:y:2022:i:6:d:10.1007_s00181-021-02118-z.

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2021Are perception and adaptation to climate variability and change of cowpea growers in Mali gender differentiated?. (2021). Partey, Samuel Tetteh ; Zougmore, Robert B ; Ouedraogo, Mathieu ; Diarra, Fatimata Bintou ; Mensah, Amos ; Houessionon, Prosper. In: Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development. RePEc:spr:endesu:v:23:y:2021:i:9:d:10.1007_s10668-021-01242-1.

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Modelling the dynamics of stock market in the gulf cooperation council countries: evidence on persistence to shocks. (2022). ben Saad, Mouna ; Saidane, Bassem ; Boubaker, Heni. In: Financial Innovation. RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-022-00348-3.

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2021Half-day trading and spillovers. (2021). Gang, Jianhua ; Yu, Limin ; Chen, Yifan. In: Frontiers of Business Research in China. RePEc:spr:fobric:v:15:y:2021:i:1:d:10.1186_s11782-021-00097-7.

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2021Multidimensional Energy Poverty in Pakistan: Empirical Evidence from Household Level Micro Data. (2021). Mirza, Faisal ; Qurat-Ul, Abre-Rehmat. In: Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement. RePEc:spr:soinre:v:155:y:2021:i:1:d:10.1007_s11205-020-02601-7.

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2022Bivariate Simulation of Potential Evapotranspiration Using Copula-GARCH Model. (2022). Mirabbasi, Rasoul ; Michele, Carlo ; Ramezani, Yousef ; Nazeri-Tahroudi, Mohammad. In: Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA). RePEc:spr:waterr:v:36:y:2022:i:3:d:10.1007_s11269-022-03065-9.

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2022Dynamic Partial Correlation Models. (2022). Lange, Rutger-Jan ; Lucas, Andre ; D'Innocenzo, Enzo. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20220070.

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2021A New Parametrization of Correlation Matrices. (2021). Hansen, Peter ; Archakov, Ilya. In: Econometrica. RePEc:wly:emetrp:v:89:y:2021:i:4:p:1699-1715.

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2021Nonlinear adjustment of exchange rate and exchange rate policy: Lessons from Singapore. (2021). Yip, Sau Leung ; Yan, Fangli. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:171-184.

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2021Intertemporal price discovery between stock index futures and spot markets: New evidence from high?frequency data. (2021). Mohamad, Azhar ; Sifat, Imtiaz Mohammad ; Amin, Kevin Reinaldo. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:898-913.

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2021Asymmetric interdependence between currency markets volatilities across frequencies and time scales. (2021). Yahya, Muhammad ; Uddin, Gazi Salah ; Rahman, Md Lutfur ; Hernandez, Jose Arreola ; Arreolahernandez, Jose ; Hussain, Syed Jawad. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:2:p:2436-2457.

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2022A GARCH approach to model short?term interest rates: Evidence from Spanish economy. (2022). Rambaud, Salvador Cruz ; Garcia, Javier Sanchez. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:2:p:1621-1632.

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2022Use of high?frequency data to evaluate the performance of dynamic hedging strategies. (2022). Lai, Yusheng. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:1:p:104-124.

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2022Volatility spillovers: A sparse multivariate GARCH approach with an application to commodity markets. (2022). Wu, Jianbin ; Sercu, Piet ; Dhaene, Geert. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:5:p:868-887.

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More than 100 citations found, this list is not complete...

Works by Y. K. Tse:

YearTitleTypeCited
2002A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model with Time-Varying Correlations. In: Journal of Business & Economic Statistics.
[Citation analysis]		article458
2007A Corrected Plug-in Method for Quantile Interval Construction Through a Transformed Regression In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article3
1987A Diagnostic Test for the Multinomial Logit Model. In: Journal of Business & Economic Statistics.
[Citation analysis]		article23
1989A Proportional Random Utility Approach to Qualitative Response Models. In: Journal of Business & Economic Statistics.
[Citation analysis]		article1
2004A small?sample overlapping variance?ratio test In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article4
2004Tests of Functional Form and Heteroscedasticity In: Econometric Society 2004 Australasian Meetings.
[Full Text][Citation analysis]		paper0
2004Tests of Functional Form and Heteroscedasticity.(2004) In: Econometric Society 2004 Far Eastern Meetings.
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This paper has another version. Agregated cites: 0		paper
2000A Multivariate GARCH Model with Time-Varying Correlations In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]		paper39
2000A Multivariate GARCH Model with Time-Varying Correlations.(2000) In: Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 39		paper
2000A Multivariate GARCH Model with Time-Varying correlations.(2000) In: Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 39		paper
2008Generalized LM tests for functional form and heteroscedasticity In: Econometrics Journal.
[Full Text][Citation analysis]		article1
2002Residual-based diagnostics for conditional heteroscedasticity models In: Econometrics Journal.
[Full Text][Citation analysis]		article45
2006An empirical examination of IPO underpricing in the Chinese A-share market In: China Economic Review.
[Full Text][Citation analysis]		article29
1983On calculating the edgeworth approximate distribution of an econometric estimator or test statistic In: Economics Letters.
[Full Text][Citation analysis]		article0
1984Testing linear and log-linear regressions with autocorrelated errors In: Economics Letters.
[Full Text][Citation analysis]		article0
1984Testing for linear and log-linear regressions with heteroscedasticity In: Economics Letters.
[Full Text][Citation analysis]		article1
2006Functional form and spatial dependence in dynamic panels In: Economics Letters.
[Full Text][Citation analysis]		article19
1982Edgeworth approximations in first-order stochastic difference equations with exogenous variables In: Journal of Econometrics.
[Full Text][Citation analysis]		article2
1987A note on Sargan densities In: Journal of Econometrics.
[Full Text][Citation analysis]		article2
2000A test for constant correlations in a multivariate GARCH model In: Journal of Econometrics.
[Full Text][Citation analysis]		article214
2002Physical delivery versus cash settlement: an empirical study on the feeder cattle contract In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article4
1991Stock returns volatility in the Tokyo stock exchange In: Japan and the World Economy.
[Full Text][Citation analysis]		article24
1997The cointegration of Asian currencies revisited In: Japan and the World Economy.
[Full Text][Citation analysis]		article18
2003The impacts of Hong Kongs Currency Board reforms on the interbank market In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article6
1995Some international evidence on the stochastic behavior of interest rates In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article23
1997Conditional volatility in foreign exchange rates: Evidence from the Malaysian ringgit and Singapore dollar In: Pacific-Basin Finance Journal.
[Full Text][Citation analysis]		article23
2001Hedging downside risk: futures vs. options In: International Review of Economics & Finance.
[Full Text][Citation analysis]		article16
2004Market segmentation and information values of earnings announcements: Some empirical evidence from an event study on the Chinese stock market In: International Review of Economics & Finance.
[Full Text][Citation analysis]		article7
2005Effects of electronic trading on the Hang Seng Index futures market In: International Review of Economics & Finance.
[Full Text][Citation analysis]		article11
2006A survey on physical delivery versus cash settlement in futures contracts In: International Review of Economics & Finance.
[Full Text][Citation analysis]		article7
2006Exchange-rate systems and interest-rate behaviour: The experience of Hong Kong and Singapore In: International Review of Economics & Finance.
[Full Text][Citation analysis]		article3
2005Exchange-Rate Systems and Interest-Rate Behaviour: The Experience of Hong Kong and Singapore.(2005) In: Economic Growth Centre Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
1998The conditional heteroscedasticity of the yen-dollar exchange rate In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article197
2006Modelling firm-size distribution using Box-Cox heteroscedastic regression In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article0
2004Modeling Firm-Size Distribution Using Box-Cox Heteroscedastic Regression.(2004) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
1991Term Structure of Interest Rates in the Singapore Asian Dollar Market. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article23
2002Estimation of Hyperbolic Diffusion Using MCMC Method In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]		paper12
2003A Monte Carlo Investigation of Some Tests for Stochastic Dominance In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]		paper40
2006Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence In: PIER Working Paper Archive.
[Full Text][Citation analysis]		paper8
2003Expectations Formation and Forecasting of Vehicle Demand: An Empirical Study of the Vehicle Quota Auctions in Singapore In: Working Papers.
[Full Text][Citation analysis]		paper5
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.
[Full Text][Citation analysis]		paper0
2004Transaction-Data Analysis of Marked Durations and Their Implications for Market Microstructure In: Working Papers.
[Full Text][Citation analysis]		paper3
2004Robust Tests of Market Efficiency using Statistical Arbitrage In: Working Papers.
[Full Text][Citation analysis]		paper0
2007Open vs. sealed-bid auctions: testing for revenue equivalence under Singapores vehicle quota system In: Applied Economics.
[Full Text][Citation analysis]		article1
1985Some Modified Versions of Durbins h-Statistic. In: The Review of Economics and Statistics.
[Full Text][Citation analysis]		article0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated April, 29 2023. Contact: CitEc Team