Anthony S Tay : Citation Profile

Are you Anthony S Tay?

Singapore Management University

9

H index

7

i10 index

1400

Citations

RESEARCH PRODUCTION:

6

Articles

19

Papers

RESEARCH ACTIVITY:

   12 years (1997 - 2009). See details.
   Cites by year: 116
   Journals where Anthony S Tay has often published
   Relations with other researchers
   Recent citing documents: 99.    Total self citations: 5 (0.36 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pta22
   Updated: 2023-08-19    RAS profile: 2010-03-16    
   Missing citations? Add them    Incorrect content? Let us know

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:

Diebold, Francis (42)

Swanson, Norman (40)

Clements, Michael (37)

Ravazzolo, Francesco (29)

Mitchell, James (23)

Sarno, Lucio (22)

Rossi, Barbara (21)

Bollerslev, Tim (17)

Pesaran, Mohammad (17)

Perote, Javier (17)

Gonzalez-Rivera, Gloria (16)

Cites to:

Diebold, Francis (23)

Harvey, Campbell (11)

Jondeau, Eric (8)

Rockinger, Michael (8)

Bekaert, Geert (6)

Wallis, Kenneth (6)

Kaminsky, Graciela (6)

Bollerslev, Tim (6)

Perez Quiros, Gabriel (6)

Schmukler, Sergio (6)

Croushore, Dean (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
NBER Working Papers / National Bureau of Economic Research, Inc2
Econometric Society World Congress 2000 Contributed Papers / Econometric Society2

Recent works citing Anthony S Tay (2022 and 2021)

YearTitle of citing document
2021Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models. (2021). Kruse-Becher, Robinson ; Demetrescu, Matei. In: CREATES Research Papers. RePEc:aah:create:2021-07.

Full description at Econpapers || Download paper

2021Economic vulnerability is state dependent. (2021). Vallarino, Pierluigi ; Luati, Alessandra ; Catania, Leopoldo. In: CREATES Research Papers. RePEc:aah:create:2021-09.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2021Density Forecasts in Panel Data Models: A Semiparametric Bayesian Perspective. (2018). Liu, Laura. In: Papers. RePEc:arx:papers:1805.04178.

Full description at Econpapers || Download paper

2021Horseshoe Prior Bayesian Quantile Regression. (2020). Kohns, David ; Szendrei, Tibor. In: Papers. RePEc:arx:papers:2006.07655.

Full description at Econpapers || Download paper

2022Estimation 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.

Full description at Econpapers || Download paper

2021Efficiency 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.

Full description at Econpapers || Download paper

2021Estimating real-world probabilities: A forward-looking behavioral framework. (2020). Crisóstomo, Ricardo. In: Papers. RePEc:arx:papers:2012.09041.

Full description at Econpapers || Download paper

2022On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates. (2021). Shin, Minchul ; Diebold, Francis X ; Zhang, Boyuan. In: Papers. RePEc:arx:papers:2012.11649.

Full description at Econpapers || Download paper

2021Evaluating the Discrimination Ability of Proper Multivariate Scoring Rules. (2021). Alexander, Carol ; Coulon, Michael ; Han, Yang ; Meng, Xiaochun. In: Papers. RePEc:arx:papers:2101.12693.

Full description at Econpapers || Download paper

2021Decoupling Shrinkage and Selection for the Bayesian Quantile Regression. (2021). Kohns, David ; Szendrei, Tibor. In: Papers. RePEc:arx:papers:2107.08498.

Full description at Econpapers || Download paper

2022Bayesian forecast combination using time-varying features. (2021). Li, Feng ; Kang, Yanfei. In: Papers. RePEc:arx:papers:2108.02082.

Full description at Econpapers || Download paper

2021Autoregressive conditional duration modelling of high frequency data. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02300.

Full description at Econpapers || Download paper

2021Multiplicative Component GARCH Model of Intraday Volatility. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02376.

Full description at Econpapers || Download paper

2023Dynamic Risk Measurement by EVT based on Stochastic Volatility models via MCMC. (2022). , Shibo ; Bo, Shi. In: Papers. RePEc:arx:papers:2201.09434.

Full description at Econpapers || Download paper

2022Multivariate backtests and copulas for risk evaluation. (2022). Zumbach, Gilles ; David, Boris. In: Papers. RePEc:arx:papers:2206.03896.

Full description at Econpapers || Download paper

2022Stochastic arbitrage with market index options. (2022). Seo, Juwon ; Beare, Brendan K. In: Papers. RePEc:arx:papers:2207.00949.

Full description at Econpapers || Download paper

2023Score-based calibration testing for multivariate forecast distributions. (2022). Pohle, Marc-Oliver ; Kruger, Fabian ; Knuppel, Malte. In: Papers. RePEc:arx:papers:2211.16362.

Full description at Econpapers || Download paper

2023Testing Quantile Forecast Optimality. (2023). Pohle, Marc-Oliver ; Gutknecht, Daniel ; Fosten, Jack. In: Papers. RePEc:arx:papers:2302.02747.

Full description at Econpapers || Download paper

2023Band-Pass Filtering with High-Dimensional Time Series. (2023). Proietti, Tommaso ; Lippi, Marco ; Giovannelli, Alessandro. In: Papers. RePEc:arx:papers:2305.06618.

Full description at Econpapers || Download paper

2022Deep Growth-at-Risk Model: Nowcasting the 2020 Pandemic Lockdown Recession in Small Open Economies. (2022). Yanchev, Mihail. In: Economic Studies journal. RePEc:bas:econst:y:2022:i:7:p:20-41.

Full description at Econpapers || Download paper

2022Nowcasting Canadian GDP with Density Combinations. (2022). Chernis, Tony ; Webley, Taylor. In: Discussion Papers. RePEc:bca:bocadp:22-12.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2021Predictive Inference Based on Markov Chain Monte Carlo Output. (2021). Gneiting, Tilmann ; Thorarinsdottir, Thordis ; Lerch, Sebastian ; Kruger, Fabian. In: International Statistical Review. RePEc:bla:istatr:v:89:y:2021:i:2:p:274-301.

Full description at Econpapers || Download paper

2021Isotonic distributional regression. (2021). Gneiting, Tilmann ; Ziegel, Johanna F ; Henzi, Alexander. In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:83:y:2021:i:5:p:963-993.

Full description at Econpapers || Download paper

2021Fast & furious: Do psychological and legal factors affect commodity price volatility?. (2021). Algieri, Bernardina. In: The World Economy. RePEc:bla:worlde:v:44:y:2021:i:4:p:980-1017.

Full description at Econpapers || Download paper

2021Estimating real word probabilities: a forward-looking behavioral framework. (2021). Crisóstomo, Ricardo ; Crisostomo, Ricardo . In: CNMV Working Papers. RePEc:cnv:wpaper:dt_73en.

Full description at Econpapers || Download paper

2021Inflation expectations and their role in Eurosystem forecasting. (2021). Tagliabracci, Alex ; Pönkä, Harri ; Meyler, Aidan ; Menz, Jan-Oliver ; Leiva-Leon, Danilo ; Krasnopjorovs, Olegs ; Kearney, Ide ; DARRACQ PARIES, Matthieu ; Colavecchio, Roberta ; BOBEICA, Elena ; Paredes, Joan ; Robert, Pierre-Antoine ; Iskrev, Nikolay ; Jonckheere, Jana ; Speck, Christian ; Jorgensen, Casper ; Stockhammar, Par ; Bessonovs, Andrejs ; Trezzi, Riccardo ; Hutchinson, John ; Vilmi, Lauri ; Stanisawska, Ewa ; Fritzer, Friedrich ; Schupp, Fabian ; Yziak, Tomasz ; Boninghausen, Benjamin ; Hartwig, Benny ; Galati, Gabriele ; Ponka, Harri ; Tengely, Veronika ; Maletic, Matjaz ; Brazdik, Frantiek ; Kasimati, Evangelia ; Charalampakis, Evangelos ; Paloviita, Maritta ; Tirpak, Marcel ; Riggi, Marianna ; Hartmann, Matthias ; Dam
2022Chi-squared tests of interval and density forecasts and the Bank of Englands fan charts. (2001). Wallis, Kenneth. In: Working Paper Series. RePEc:ecb:ecbwps:20010083.

Full description at Econpapers || Download paper

2022Latent fragility: conditioning banks joint probability of default on the financial cycle. (2022). Segoviano, Miguel ; Schuler, Yves S ; Hiebert, Paul ; Bochmann, Paul. In: Working Paper Series. RePEc:ecb:ecbwps:20222698.

Full description at Econpapers || Download paper

2023DSGE model forecasting: rational expectations vs. adaptive learning. (2023). Warne, Anders. In: Working Paper Series. RePEc:ecb:ecbwps:20232768.

Full description at Econpapers || Download paper

2023Density forecasts of inflation: a quantile regression forest approach. (2023). Paredes, Joan ; Moutachaker, Ines ; Lenza, Michele. In: Working Paper Series. RePEc:ecb:ecbwps:20232830.

Full description at Econpapers || Download paper

2021Deep distribution regression. (2021). Reich, Brian J ; Li, Rui ; Bondell, Howard D. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:159:y:2021:i:c:s0167947321000372.

Full description at Econpapers || Download paper

2022Kernel-based hidden Markov conditional densities. (2022). Gooijer, Jan G. ; Yuan, AO ; Henter, Gustav Eje ; de Gooijer, Jan G. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:169:y:2022:i:c:s0167947322000111.

Full description at Econpapers || Download paper

2021The time-varying risk of Italian GDP. (2021). Pacella, Claudia ; Busetti, Fabio ; delle Monache, Davide ; Caivano, Michele. In: Economic Modelling. RePEc:eee:ecmode:v:101:y:2021:i:c:s0264999321001115.

Full description at Econpapers || Download paper

2022Searching for informed traders in stock markets: The case of Banco Popular. (2022). Sosvilla-Rivero, Simon ; Gomez-Deniz, Emilio ; Andrada-Felix, Julian ; Perez-Rodriguez, Jorge V. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001292.

Full description at Econpapers || Download paper

2023Quasi score-driven models. (2023). Laurent, Sebastien ; Francq, Christian ; Blasques, F. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:251-275.

Full description at Econpapers || Download paper

2022Time series copula models using d-vines and v-transforms. (2022). McNeil, Alexander J ; Bladt, Martin. In: Econometrics and Statistics. RePEc:eee:ecosta:v:24:y:2022:i:c:p:27-48.

Full description at Econpapers || Download paper

2021Quantitative portfolio selection: Using density forecasting to find consistent portfolios. (2021). Beasley, John ; Meade, N ; Adcock, C J. In: European Journal of Operational Research. RePEc:eee:ejores:v:288:y:2021:i:3:p:1053-1067.

Full description at Econpapers || Download paper

2021The transformed Gram Charlier distribution: Parametric properties and financial risk applications. (2021). Iguez, Trino-Manuel ; Leon, Angel. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:323-349.

Full description at Econpapers || Download paper

2021Risk premia in electricity derivatives markets. (2021). Leccadito, Arturo ; Algieri, Bernardina ; Tunaru, Diana. In: Energy Economics. RePEc:eee:eneeco:v:100:y:2021:i:c:s014098832100205x.

Full description at Econpapers || Download paper

2023An integrated model for crude oil forecasting: Causality assessment and technical efficiency. (2023). Wang, Xuelian ; Liao, Stephen Shaoyi ; Wu, Peng ; Cheng, Xian. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005965.

Full description at Econpapers || Download paper

2022Increasing the skill of short-term wind speed ensemble forecasts combining forecasts and observations via a new dynamic calibration. (2022). Mazzino, Andrea ; Lira-Loarca, Andrea ; Lagomarsino-Oneto, Daniele ; Ferrari, Francesco ; Casciaro, Gabriele. In: Energy. RePEc:eee:energy:v:251:y:2022:i:c:s0360544222007976.

Full description at Econpapers || Download paper

2021Skewness-based market integration: A systemic risk measure across international equity markets. (2021). Li, Xupei ; Jian, Zhihong. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000077.

Full description at Econpapers || Download paper

2022On spillover effects between cryptocurrency-linked stocks and the cryptocurrency market: Evidence from Australia. (2022). Suardi, Sandy ; Liu, Bin ; Frankovic, Jozo. In: Global Finance Journal. RePEc:eee:glofin:v:54:y:2022:i:c:s1044028321000405.

Full description at Econpapers || Download paper

2021Probabilistic recalibration of forecasts. (2021). MacHete, Reason L ; Adams, Jennifer M ; Rosner, Robert ; Graziani, Carlo. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:1-27.

Full description at Econpapers || Download paper

2021Forecasting crude oil prices with DSGE models. (2021). Rubaszek, Michał. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:531-546.

Full description at Econpapers || Download paper

2021Are professional forecasters overconfident?. (2021). Casey, Eddie. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:716-732.

Full description at Econpapers || Download paper

2022Forecasting in GARCH models with polynomially modified innovations. (2022). Bagnato, Luca ; Zoia, Maria Grazia ; Vacca, Gianmarco. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:1:p:117-141.

Full description at Econpapers || Download paper

2022Spatio-temporal probabilistic forecasting of wind power for multiple farms: A copula-based hybrid model. (2022). Schell, Kristen R ; Arrieta-Prieto, Mario. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:1:p:300-320.

Full description at Econpapers || Download paper

2022Optimal probabilistic forecasts: When do they work?. (2022). Ramírez Hassan, Andrés ; Loaiza Maya, Rubén ; Loaiza-Maya, Ruben ; Martin, Gael M ; Ramirez-Hassan, Andres ; Frazier, David T ; Maneesoonthorn, Worapree. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:1:p:384-406.

Full description at Econpapers || Download paper

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
2023Does the Phillips curve help to forecast euro area inflation?. (2023). Bobeica, Elena ; Babura, Marta. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:364-390.

Full description at Econpapers || Download paper

2023Empirically-transformed linear opinion pools. (2023). Vahey, Shaun P ; Henckel, Timo ; Garratt, Anthony. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:736-753.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022Predicting the stressed expected loss of large U.S. banks. (2022). Jondeau, Eric ; Khalilzadeh, Amir. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002727.

Full description at Econpapers || Download paper

2022Oil price volatility forecasts: What do investors need to know?. (2022). Filis, George ; Degiannakis, Stavros. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:123:y:2022:i:c:s026156062100245x.

Full description at Econpapers || Download paper

2023The low-magnitude and high-magnitude asymmetries in tail dependence structures in international equity markets and the role of bilateral exchange rate. (2023). Chang, Kuang-Liang. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:133:y:2023:i:c:s0261560623000402.

Full description at Econpapers || Download paper

2023Efficiency of the financial markets during the COVID-19 crisis: Time-varying parameters of fractional stable dynamics. (2023). Garcin, Matthieu ; Ammy-Driss, Ayoub. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:609:y:2023:i:c:s0378437122008937.

Full description at Econpapers || Download paper

2022On the higher-order moment interdependence of stock and commodity markets: A wavelet coherence analysis. (2022). Ahmed, Walid. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:83:y:2022:i:c:p:135-151.

Full description at Econpapers || Download paper

2022Spillovers in Higher-Order Moments of Crude Oil, Gold, and Bitcoin. (2022). GUPTA, RANGAN ; Roubaud, David ; Bouri, Elie ; Gkillas, Konstantinos. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:84:y:2022:i:c:p:398-406.

Full description at Econpapers || Download paper

2023A pairs trading strategy based on mixed copulas. (2023). Caldeira, Joo F ; Ziegelmann, Flavio A. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:87:y:2023:i:c:p:16-34.

Full description at Econpapers || Download paper

2023Dynamic risk spillover among crude oil, economic policy uncertainty and Chinese financial sectors. (2023). Zhu, Haoyang ; Dai, Zhifeng. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:421-450.

Full description at Econpapers || Download paper

2023Constructing Density Forecasts from Quantile Regressions: Multimodality in Macro-Financial Dynamics. (2022). Poon, Aubrey ; Mitchell, James ; Zhu, Dan. In: Working Papers. RePEc:fip:fedcwq:94160.

Full description at Econpapers || Download paper

2023The Missing Tail Risk in Option Prices. (2023). Sattiraju, Sai ; Matschke, Johannes ; Melek, Nida Akir ; Brown, Jason. In: Research Working Paper. RePEc:fip:fedkrw:96072.

Full description at Econpapers || Download paper

2022Modelling and Diagnostics of Spatially Autocorrelated Counts. (2022). Glaser, Stephanie ; Jung, Robert C. In: Econometrics. RePEc:gam:jecnmx:v:10:y:2022:i:3:p:31-:d:913362.

Full description at Econpapers || Download paper

2023Distribution Prediction of Decomposed Relative EVA Measure with Levy-Driven Mean-Reversion Processes: The Case of an Automotive Sector of a Small Open Economy. (2023). Ratmanova, Iveta ; Ponik, Antonin ; Lisztwanova, Karolina ; Dluhoova, Dana ; Zmekal, Zdenk. In: Forecasting. RePEc:gam:jforec:v:5:y:2023:i:2:p:25-471:d:1158257.

Full description at Econpapers || Download paper

2021Modelling Returns in US Housing Prices—You’re the One for Me, Fat Tails. (2021). Österholm, Pär ; Nguyen, Hoang ; Kiss, Tamas ; Osterholm, Par. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:11:p:506-:d:660957.

Full description at Econpapers || Download paper

2021Multiscale Stochastic Volatility Model with Heavy Tails and Leverage Effects. (2021). Kolkiewicz, Adam W ; Wirjanto, Tony S ; Men, Zhongxian. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:5:p:225-:d:557170.

Full description at Econpapers || Download paper

2022Copulas and Portfolios in the Electric Vehicle Sector. (2022). Bloznelis, Daumantas ; Stenin, Andrej. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:3:p:132-:d:768240.

Full description at Econpapers || Download paper

2022Estimation 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.

Full description at Econpapers || Download paper

2021Efficiency 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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021A New Dynamic Mixture Copula Mechanism to Examine the Nonlinear and Asymmetric Tail Dependence Between Stock and Exchange Rate Returns. (2021). Chang, Kuang-Liang. In: Computational Economics. RePEc:kap:compec:v:58:y:2021:i:4:d:10.1007_s10614-020-09981-5.

Full description at Econpapers || Download paper

2022Asymmetric Uncertainty: Nowcasting Using Skewness in Real-time Data. (2022). Labonne, Paul. In: Economic Statistics Centre of Excellence (ESCoE) Discussion Papers. RePEc:nsr:escoed:escoe-dp-2022-23.

Full description at Econpapers || Download paper

2022Nowcasting Growth using Google Trends Data: A Bayesian Structural Time Series Model. (2022). Kohns, David ; Bhattacharjee, Arnab. In: National Institute of Economic and Social Research (NIESR) Discussion Papers. RePEc:nsr:niesrd:538.

Full description at Econpapers || Download paper

2021.

Full description at Econpapers || Download paper

2022Optimal Prediction Pools. (2008). Geweke, John. In: Working Paper series. RePEc:rim:rimwps:22-08.

Full description at Econpapers || Download paper

2023Band-Pass Filtering with High-Dimensional Time Series. (2023). Proietti, Tommaso ; Lippi, Marco ; Giovannelli, Alessandro. In: CEIS Research Paper. RePEc:rtv:ceisrp:559.

Full description at Econpapers || Download paper

2021A Simulation-Based Approach to Understanding the Wisdom of Crowds Phenomenon in Aggregating Expert Judgment. (2021). Parak, Dominik ; Gimpel, Henner ; Dun, Christopher ; Afflerbach, Patrick ; Seyfried, Johannes. In: Business & Information Systems Engineering: The International Journal of WIRTSCHAFTSINFORMATIK. RePEc:spr:binfse:v:63:y:2021:i:4:d:10.1007_s12599-020-00664-x.

Full description at Econpapers || Download paper

2022Forecasting performance of Bayesian VEC-MSF models for financial data in the presence of long-run relationships. (2022). Wroblewska, Justyna ; Pajor, Anna. In: Eurasian Economic Review. RePEc:spr:eurase:v:12:y:2022:i:3:d:10.1007_s40822-022-00203-x.

Full description at Econpapers || Download paper

2023Probability of informed trading during the COVID-19 pandemic: the case of the Romanian stock market. (2023). Dragotă, Victor ; Iordache, Andreea ; Trifan, Ruxandra ; Cepoi, Cosmin Octavian. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-022-00415-9.

Full description at Econpapers || Download paper

2021Estimating the proportion of informed and speculative traders in financial markets: evidence from exchange rate. (2021). Tsai, Chi-Ming . In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:16:y:2021:i:3:d:10.1007_s11403-020-00308-z.

Full description at Econpapers || Download paper

2021Optimal ATM replenishment policies under demand uncertainty. (2021). Duman, Ekrem ; Serban, Nicoleta ; Ekinci, Yeliz. In: Operational Research. RePEc:spr:operea:v:21:y:2021:i:2:d:10.1007_s12351-019-00466-4.

Full description at Econpapers || Download paper

2023Review of Statistical Approaches for Modeling High-Frequency Trading Data. (2023). Ravishanker, Nalini ; Basu, Sumanta ; Karpman, Kara ; Dutta, Chiranjit. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-022-00280-7.

Full description at Econpapers || Download paper

2021Demand Forecasting of Individual Probability Density Functions with Machine Learning. (2021). Wolf, Moritz ; Hahn, Martin ; Kerzel, Ulrich ; Wick, Felix ; Feindt, Michael ; Ernst, Jakob ; Stemmer, Daniel ; Singhal, Trapti. In: SN Operations Research Forum. RePEc:spr:snopef:v:2:y:2021:i:3:d:10.1007_s43069-021-00079-8.

Full description at Econpapers || Download paper

2021A new time-varying model for forecasting long-memory series. (2021). Grigoletto, Matteo ; Bisaglia, Luisa. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:30:y:2021:i:1:d:10.1007_s10260-020-00517-7.

Full description at Econpapers || Download paper

2021Forecasting 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.

Full description at Econpapers || Download paper

2022Does crude oil futures price really help to predict spot oil price? New evidence from density forecasting. (2022). Wei, Guiwu ; Li, Xiafei ; Bai, Lan. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:3:p:3694-3712.

Full description at Econpapers || Download paper

2022Commodity prices and inflation risk. (2022). Petrella, Ivan ; Garratt, Anthony. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:37:y:2022:i:2:p:392-414.

Full description at Econpapers || Download paper

2022How is machine learning useful for macroeconomic forecasting?. (2022). Surprenant, Stephane ; Stevanovic, Dalibor ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:37:y:2022:i:5:p:920-964.

Full description at Econpapers || Download paper

2021Forecasting the production side of GDP. (2021). Steiner, Elizabeth ; Zullig, Gabriel ; Baurle, Gregor. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:3:p:458-480.

Full description at Econpapers || Download paper

2021Research constituents, intellectual structure, and collaboration pattern in the Journal of Forecasting: A bibliometric analysis. (2021). Pattnaik, Debidutta ; Baker, Kent H ; Kumar, Satish. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:4:p:577-602.

Full description at Econpapers || Download paper

2022Bootstrap VAR forecasts: The effect of model uncertainties. (2022). Fresoli, Diego . In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:2:p:279-293.

Full description at Econpapers || Download paper

2023Forecasting inflation time series using score?driven dynamic models and combination methods: The case of Brazil. (2023). Lucena, Fernando Antonio ; Dias, Carlos Henrique. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:2:p:369-401.

Full description at Econpapers || Download paper

2023A retrospective analysis of Journal of Forecasting: From 1982 to 2019. (2023). Shi, Shunshun ; Sheng, Libo ; Yu, Dejian. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:4:p:1008-1035.

Full description at Econpapers || Download paper

2021Estimating real?world probabilities: A forward?looking behavioral framework. (2021). Crisostomo, Ricardo . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:11:p:1797-1823.

Full description at Econpapers || Download paper

2022Uncertainty measures from partially rounded probabilistic forecast surveys. (2022). Hartmann, Matthias ; Glas, Alexander. In: Quantitative Economics. RePEc:wly:quante:v:13:y:2022:i:3:p:979-1022.

Full description at Econpapers || Download paper

2022Score-based calibration testing for multivariate forecast distributions. (2022). Pohle, Marc-Oliver ; Kruger, Fabian ; Knuppel, Malte. In: Discussion Papers. RePEc:zbw:bubdps:502022.

Full description at Econpapers || Download paper

Works by Anthony S Tay:

YearTitleTypeCited
2008Time-Varying Incentives in the Mutual Fund Industry In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper1
2008Time-Varying Incentives in the Mutual Fund Industry.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
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.
[Full Text][Citation analysis]		paper1
2000Density Forecasting: A Survey In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]		paper193
2000Dynamic Regressions with Variables Observed at Different Frequencies In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]		paper0
2007Global regional sources of risk in equity markets: Evidence from factor models with time-varying conditional skewness In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article16
2006Non-fundamental expectations and economic fluctuations: Evidence from professional forecasts In: Journal of Macroeconomics.
[Full Text][Citation analysis]		article9
1997Evaluating density forecasts In: Working Papers.
[Full Text][Citation analysis]		paper73
1997Evaluating Density Forecasts.(1997) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 73		paper
1997Evaluating Density Forecasts.(1997) In: CARESS Working Papres.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 73		paper
1997Evaluating Density Forecasts.(1997) In: Center for Financial Institutions Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 73		paper
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.
[Full Text][Citation analysis]		paper3
1998Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange.(1998) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
1998Evaluating Density Forecasts with Applications to Financial Risk Management. In: International Economic Review.
[Citation analysis]		article800
1997Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters In: NBER Working Papers.
[Full Text][Citation analysis]		paper52
1998Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters.(1998) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 52		paper
2009Using High-Frequency Transaction Data to Estimate the Probability of Informed Trading In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]		article19
2006Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence In: PIER Working Paper Archive.
[Full Text][Citation analysis]		paper9
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
2007Modeling Transaction Data of Trade Direction and Estimation of Probability of Informed Trading In: Working Papers.
[Full Text][Citation analysis]		paper0
2007Financial Variables as Predictors of Real Output Growth In: Working Papers.
[Full Text][Citation analysis]		paper7
2006Intraday stock prices, volume, and duration: a nonparametric conditional density analysis In: Empirical Economics.
[Full Text][Citation analysis]		article2
1999Multivariate Density Forecast Evaluation And Calibration In Financial Risk Management: High-Frequency Returns On Foreign Exchange In: The Review of Economics and Statistics.
[Full Text][Citation analysis]		article212

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 3 2023. Contact: CitEc Team