Albert K. C. Tsui : Citation Profile

National University of Singapore (NUS)

11

H index

13

i10 index

899

Citations

RESEARCH PRODUCTION:

32

Articles

12

Papers

RESEARCH ACTIVITY:

   29 years (1994 - 2023). See details.
   Cites by year: 31
   Journals where Albert K. C. Tsui has often published
   Relations with other researchers
   Recent citing documents: 50.    Total self citations: 13 (1.43 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pts70
   Updated: 2026-01-17    RAS profile: 2024-06-08    
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Relations with other researchers

Works with:

Zhang, Zhaoyong (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Albert K. C. Tsui.

Is cited by:

Teräsvirta, Timo (17)

Silvennoinen, Annastiina (16)

Miller, Stephen (14)

Zhang, Zhaoyong (11)

Valls Pereira, Pedro (11)

Thorbecke, Willem (11)

Asai, Manabu (10)

Caporin, Massimiliano (9)

Hakim, Abdul (9)

Chevallier, Julien (8)

Kočenda, Evžen (8)

Cites to:

Engle, Robert (38)

Bollerslev, Tim (33)

Bodnar, Gordon (16)

Tse, Y. K. (14)

Dominguez, Kathryn (10)

Jagannathan, Ravi (9)

Tesar, Linda (8)

Diebold, Francis (8)

Mitchell, Olivia (8)

Zhang, Zhaoyong (8)

Rossi, Barbara (7)

Main data

Where Albert K. C. Tsui has published?

Journals with more than one article published# docs
Mathematics and Computers in Simulation (MATCOM)4
Japan and the World Economy3
Journal of Forecasting2
China Economic Review2
Insurance: Mathematics and Economics2
Journal of Pension Economics and Finance2
Economic Modelling2
Journal of Economic Development2

Working Papers Series with more than one paper published# docs
Finance Working Papers / East Asian Bureau of Economic Research4
Econometrics / University Library of Munich, Germany2

Recent works citing Albert K. C. Tsui (2025 and 2024)

YearTitle of citing document
2025ARTIFICIAL INTELLIGENCE-ASSISTED MACHINE LEARNING METHODS FOR FORECASTING GREEN BOND INDEX: A COMPARATIVE ANALYSIS. (2025). Imek, Ahmet Hsan ; Gr, Yunus Emre ; Bulut, Emre. In: Journal of Research in Economics, Politics & Finance. RePEc:ahs:journl:v:9:y:2025:i:4:p:628-655.

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2024Forecasting and Backtesting Gradient Allocations of Expected Shortfall. (2024). Koike, Takaaki. In: Papers. RePEc:arx:papers:2401.11701.

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2024The impact of geopolitical risk on the international agricultural market: Empirical analysis based on the GJR-GARCH-MIDAS model. (2024). Zhou, Wei-Xing ; Dai, Yun-Shi. In: Papers. RePEc:arx:papers:2404.01641.

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2024Cluster GARCH. (2024). Hansen, Peter ; Archakov, Ilya ; Tong, Chen. In: Papers. RePEc:arx:papers:2406.06860.

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2024Systematic comparison of deep generative models applied to multivariate financial time series. (2024). Caulfield, Howard ; Gleeson, James P. In: Papers. RePEc:arx:papers:2412.06417.

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2025Integrated GARCH-GRU in Financial Volatility Forecasting. (2025). Cui, Zhenyu ; Yang, Steve ; Wei, Jingyi. In: Papers. RePEc:arx:papers:2504.09380.

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2025Dynamic allocation: extremes, tail dependence, and regime Shifts. (2025). Luo, Yin ; Jussa, Javed ; Wang, Sheng. In: Papers. RePEc:arx:papers:2506.12587.

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2024Volatility Spillover between Oil Prices and Main Exchange Rates: Evidence from a DCC-GARCH-Connectedness Approach. (2024). Rault, Christophe ; Ben Salem, Leila ; Nouira, Ridha ; Zayati, Montassar. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10989.

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2025Event-Driven Changes in Volatility Connectedness in Global Forex Markets. (2025). Kočenda, Evžen ; Albrecht, Peter ; Koenda, Even. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11606.

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2025Event-Driven Changes in Return Connectedness Among Cryptocurrencies. (2025). Kočenda, Evžen ; Albrecht, Peter ; Koenda, Even. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11658.

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2024Dynamic partial correlation models. (2024). Lucas, Andre ; Dinnocenzo, Enzo. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s0304407624000939.

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2025Bregman model averaging for forecast combination. (2025). Liu, Chu-An ; Chen, Yi-Ting ; Su, Jiun-Hua. In: Journal of Econometrics. RePEc:eee:econom:v:251:y:2025:i:c:s0304407625001307.

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2024Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. (2024). Teräsvirta, Timo ; Terasvirta, Timo ; Silvennoinen, Annastiina. In: Econometrics and Statistics. RePEc:eee:ecosta:v:32:y:2024:i:c:p:57-72.

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2024Volatility spillovers and hedging strategies between impact investing and agricultural commodities. (2024). Sensoy, Ahmet ; Akhtaruzzaman, Md ; Goodell, John W ; Banerjee, Ameet Kumar. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001698.

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2024Uncertainty and cryptocurrency returns: A lesson from turbulent times. (2024). Hemmings, Danial ; Górka, Joanna ; Będowska-Sójka, Barbara ; Gorka, Joanna ; Bdowska-Sojka, Barbara ; Zaremba, Adam. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s105752192400262x.

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2024Break a peg! A study of stablecoin co-instability. (2024). Vito, Liuzzi ; Patrice, Sargenti ; Alessio, Castello ; Gregory, Gadzinski. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005404.

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2025Enhancing high-dimensional dynamic conditional angular correlation model based on GARCH family models: Comparative performance analysis for portfolio optimization. (2025). Gao, Xuerui ; Sun, Zhangshuang ; Wang, Guoqiang ; Tao, Jiyuan ; Bai, Yanqin ; Luo, Kangyang. In: Finance Research Letters. RePEc:eee:finlet:v:75:y:2025:i:c:s154461232500073x.

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2024Gold-backed cryptocurrencies: A hedging tool against categorical and regional financial stress. (2024). Tiwari, Aviral ; Billah, Syed ; Hoque, Mohammad Enamul ; Alam, Md Rafayet. In: Global Finance Journal. RePEc:eee:glofin:v:60:y:2024:i:c:s104402832400036x.

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2025Floating exchange rate efficiency: Grouping patterns and pandemic impacts. (2025). Portela, Jose ; Rodriguez-Gallego, Alejandro ; Corzo, Teresa ; Martin-Bujack, Karin. In: International Economics. RePEc:eee:inteco:v:182:y:2025:i:c:s2110701725000149.

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2025Exchange rate regime changes and market efficiency: An event study. (2025). Portela, Jose ; Martin-Bujack, Karin ; Corzo, Teresa ; Rodrguez-Gallego, Alejandro. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:100:y:2025:i:c:s1042443125000228.

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2024Financial market information flows when counteracting rogue states: The indirect effects of targeted sanction packages. (2024). Conlon, Thomas ; Corbet, Shaen ; Hou, Yang ; Oxley, Les ; Goodell, John W. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:217:y:2024:i:c:p:32-62.

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2024The wisdom of the madness of crowds: Investor herding, anti-herding, and stock-bond return correlation. (2024). Gebka, Bartosz ; Kallinterakis, Vasileios ; Radi, Sherrihan. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:224:y:2024:i:c:p:966-995.

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2024Oil shocks and financial stability in MENA countries. (2024). Sousa, Ricardo ; Sohag, Kazi ; Elsayed, Ahmed. In: Resources Policy. RePEc:eee:jrpoli:v:89:y:2024:i:c:s0301420724000205.

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2024Volatility spillover between oil prices and main exchange rates: Evidence from a DCC-GARCH-connectedness approach. (2024). Rault, Christophe ; Ben Salem, Leila ; Nouira, Ridha ; Zayati, Montassar. In: Resources Policy. RePEc:eee:jrpoli:v:91:y:2024:i:c:s0301420724002472.

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2025Event-driven changes in volatility connectedness in global forex markets. (2025). Kočenda, Evžen ; Albrecht, Peter ; Koenda, Even. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:77:y:2025:i:c:s1042444x24000616.

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2024Commodity futures markets under stress and stress-free periods: Further insights from a quantile connectedness approach. (2024). Ben Amar, Amine ; Bellalah, Makram ; Abricha, Amal. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:93:y:2024:i:c:p:229-246.

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2024Managing portfolio risk during crisis times: A dynamic conditional correlation perspective. (2024). Dufour, Alfonso ; Zhang, Hanyu. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:94:y:2024:i:c:p:241-251.

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2024Towards understanding MILA stock markets integration beyond MILA: New evidence between the pre-Global financial crisis and the COVID19 periods. (2024). Gomez-Bravo, Yuli Paola ; Sanchez-Barrios, Luis Javier ; Lukanima, Benedicto Kulwizira. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:478-497.

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2024Aging, low fertility and household debt risk. (2024). Long, Teng ; Feng, Liyu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:95:y:2024:i:c:s1059056024004465.

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2024Potential diversification benefits: A comparative study of Islamic and conventional stock market indexes. (2024). Saâdaoui, Foued ; Belanes, Amel ; Abedin, Mohammad Zoynul ; Saadaoui, Foued. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pa:s0275531923002246.

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2024Is the Evergrande crisis spilling beyond China?. (2024). James, Wendy ; Ahmed, Shamima ; Moussa, Faten ; Banerjee, Ameet Kumar. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pb:s0275531923002064.

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2024Sequential management of energy and low-carbon portfolios. (2024). Gargallo, Pilar ; Salvador, Manuel ; Lample, Luis ; Miguel, Jesus A. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000564.

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2024Exploring the use of emotional sentiment to understanding market response to unexpected corporate pivots. (2024). HU, YANG ; Corbet, Shaen ; Hou, Yang ; Taffler, Richard ; Cioroianu, Iulia ; Larkin, Charles. In: Research in International Business and Finance. RePEc:eee:riibaf:v:70:y:2024:i:pa:s0275531924000977.

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2025Event-driven changes in connectedness among commodities and commodity currencies: A quantile, network and probabilistic analysis. (2025). Kočenda, Evžen ; Albrecht, Peter ; de Oliveira, Alexandre Silva ; Koenda, Even ; Ceretta, Paulo Sergio ; Drbek, Michal. In: Research in International Business and Finance. RePEc:eee:riibaf:v:75:y:2025:i:c:s0275531925000376.

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2025Default Clustering Risk Premium and its Cross-Market Asset Pricing Implications. (2023). Byun, Kiwoong ; Oh, Dong Hwan ; Kim, Baeho. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2023-55.

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2024Dynamic Connectedness Among Alternative and Conventional Energy ETFs Based on the TVP-VAR Approach. (2024). Górka, Joanna ; Kuziak, Katarzyna ; Grka, Joanna. In: Energies. RePEc:gam:jeners:v:17:y:2024:i:23:p:5929-:d:1529737.

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2024Estimation of Optimal Hedge Ratio: A Wild Bootstrap Approach. (2024). Henry, Darren ; Colombage, Sisira ; Nguyen, Phong Minh ; Kim, Jae H. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:7:p:310-:d:1439431.

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2025A Microsimulation Model for Sustainability and Detailed Adequacy Analysis of the Retirement Pension System. (2025). Villanueva-Garca, Jaime ; Moral-Arce, Ignacio. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:3:p:443-:d:1579271.

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2024Volatility Spillover between Oil Prices and Main Exchange Rates: Evidence from a DCC-GARCH-Connectedness Approach. (2024). Rault, Christophe ; Nouira, Ridha ; Zayati, Montassar ; ben Salem, Leila. In: IZA Discussion Papers. RePEc:iza:izadps:dp16832.

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2024Comparison of Value at Risk (VaR) Multivariate Forecast Models. (2024). Righi, Marcelo ; Muller, Fernanda Maria. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:1:d:10.1007_s10614-022-10330-x.

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2024Empirical Performance of an ESG Assets Portfolio from US Market. (2024). SADEFO KAMDEM, Jules ; Benhmad, Franois ; Pokou, Fredy. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:3:d:10.1007_s10614-023-10491-3.

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2024Evaluating Density Forecasts Using Weighted Multivariate Scores in a Risk Management Context. (2024). Cheng, Jie. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:6:d:10.1007_s10614-024-10571-y.

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2025Event-Driven Changes in Return Connectedness among Cryptocurrencies. (2025). Kočenda, Evžen ; Albrecht, Peter ; Kocenda, Evzen. In: KIER Working Papers. RePEc:kyo:wpaper:1113.

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2024Did Precious Metals Serve as Hedge and Safe-haven Alternatives to Equity During the COVID-19 Pandemic: New Insights Using a Copula-based Approach. (2024). Pradhan, H K ; Banerjee, Ameet Kumar. In: Journal of Emerging Market Finance. RePEc:sae:emffin:v:23:y:2024:i:4:p:399-423.

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2024Evaluating the discrimination ability of proper multi-variate scoring rules. (2024). Alexander, Carol ; Meng, X ; Han, Y ; Coulon, M. In: Annals of Operations Research. RePEc:spr:annopr:v:334:y:2024:i:1:d:10.1007_s10479-022-04611-9.

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2025Portfolio risk of cryptocurrency inclusion: a comparison among conventional cryptocurrencies and asset-backed cryptocurrencies. (2025). Husain, Afzol ; Yii, Kwang-Jing ; Fung, Chorng Yuan ; Busulwa, Richard. In: Eurasian Economic Review. RePEc:spr:eurase:v:15:y:2025:i:3:d:10.1007_s40822-025-00320-3.

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2025Multivariate GARCH models with spherical parameterizations: an oil price application. (2025). Ballestra, Luca Vincenzo ; Pacelli, Graziella ; de Blasis, Riccardo. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00683-7.

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2024Multivariate Generalized Autoregressive Conditional Heteroscedasticity Modeling of the Relationship Between Major Economic Indicators in Ethiopia. (2024). Haile, Yilikal Tesfaye ; Teni, Derbachew Asfaw ; Huriso, Daba Ketema ; Anjullo, Belay Belete. In: Journal of the Knowledge Economy. RePEc:spr:jknowl:v:15:y:2024:i:2:d:10.1007_s13132-023-01422-6.

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2025Bayesian influence diagnostics for a multivariate GARCH model. (2025). Wang, Qingrui ; Yao, Zhao. In: Statistical Papers. RePEc:spr:stpapr:v:66:y:2025:i:2:d:10.1007_s00362-024-01649-8.

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2025Systemic Credit Risk Premium: Insights From Credit Derivatives Markets. (2025). Kim, Baeho ; Byun, Kiwoong ; Oh, Dong Hwan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:9:p:1448-1465.

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Works by Albert K. C. Tsui:

YearTitleTypeCited
2002A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model with Time-Varying Correlations. In: Journal of Business & Economic Statistics.
[Citation analysis]		article516
2014Exchange Rate Exposure of Sectoral Returns and Volatilities: Further Evidence From Japanese Industrial Sectors In: Pacific Economic Review.
[Full Text][Citation analysis]		article2
2009Volatility Dynamics of the UK Business Cycle: a Multivariate Asymmetric Garch Approach In: Economie Internationale.
[Full Text][Citation analysis]		article11
2009Volatility dynamics of the US business cycle: A multivariate asymmetric GARCH approach.(2009) In: Mathematics and Computers in Simulation (MATCOM).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		article
2019Nexus between housing and pension policies in Singapore: measuring retirement adequacy of the Central Provident Fund In: Journal of Pension Economics and Finance.
[Full Text][Citation analysis]		article1
2003Life annuities of compulsory savings and income adequacy of the elderly in Singapore In: Journal of Pension Economics and Finance.
[Full Text][Citation analysis]		article11
2020ECONOMIC-DEMOGRAPHIC DEPENDENCY RATIO IN A LIFE-CYCLE MODEL In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		article1
2005Reverse Mortgages as Retirement Financing Instrument : An Option for “Asset-rich and Cash-poor†Singaporeans In: Finance Working Papers.
[Full Text][Citation analysis]		paper2
2005Medical Savings Accounts in Singapore : How much is adequate? In: Finance Working Papers.
[Full Text][Citation analysis]		paper5
2005Medical savings accounts in Singapore: how much is adequate?.(2005) In: Journal of Health Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		article
2008Volatility Dynamics in Foreign Exchange Rates : Further Evidence from the Malaysian Ringgit and Singapore Dollar In: Finance Working Papers.
[Full Text][Citation analysis]		paper1
2008VOLATILITY DYNAMICS IN FOREIGN EXCHANGE RATES: FURTHER EVIDENCE FROM THE MALAYSIAN RINGGIT AND SINGAPORE DOLLAR.(2008) In: Annals of Financial Economics (AFE).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2009Time-Varying Currency Betas : Evidence from Developed and Emerging Markets In: Finance Working Papers.
[Full Text][Citation analysis]		paper0
2009Monetizing Housing Equity to Generate Retirement Incomes In: Microeconomics Working Papers.
[Full Text][Citation analysis]		paper1
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 nother version. Agregated cites: 39		paper
2000A Multivariate GARCH Model with Time-Varying correlations.(2000) In: Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 39		paper
2000Monetary services and money demand in China In: China Economic Review.
[Full Text][Citation analysis]		article14
2004Analysis of real GDP growth rates of greater China: An asymmetric conditional volatility approach In: China Economic Review.
[Full Text][Citation analysis]		article6
1994Exact distributions, density functions and moments of the last squares estimator in a first-order autoregressive model In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article8
2014Conditional heteroscedasticity with leverage effect in stock returns: Evidence from the Chinese stock market In: Economic Modelling.
[Full Text][Citation analysis]		article11
2014New estimates of time-varying currency betas: A trivariate BEKK approach In: Economic Modelling.
[Full Text][Citation analysis]		article16
2004Analytically calibrated Box-Cox percentile limits for duration and event-time models In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article3
2015Forecasting life expectancy: Evidence from a new survival function In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article2
2015Forecasting Life Expectancy: Evidence from a New Survival Function.(2015) In: CEI Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2003Asymmetric volatility of real GDP: some evidence from Canada, Japan, the United Kingdom and the United States In: Japan and the World Economy.
[Full Text][Citation analysis]		article21
2008Exchange rate exposure of sectoral returns and volatilities: Evidence from Japanese industrial sectors In: Japan and the World Economy.
[Full Text][Citation analysis]		article48
2014Estimating time-varying currency betas with contagion: New evidence from developed and emerging financial markets In: Japan and the World Economy.
[Full Text][Citation analysis]		article6
1997On tests for long memory in Pacific Basin stock returns In: Mathematics and Computers in Simulation (MATCOM).
[Full Text][Citation analysis]		article3
1999Constant conditional correlation in a bivariate GARCH model: evidence from the stock markets of China In: Mathematics and Computers in Simulation (MATCOM).
[Full Text][Citation analysis]		article24
2004Diagnostics for conditional heteroscedasticity models: some simulation results In: Mathematics and Computers in Simulation (MATCOM).
[Full Text][Citation analysis]		article0
1997Conditional volatility in foreign exchange rates: Evidence from the Malaysian ringgit and Singapore dollar In: Pacific-Basin Finance Journal.
[Full Text][Citation analysis]		article22
2019Volatility Timing in CPF Investment Funds in Singapore: Do They Outperform Non-CPF Funds? In: Risks.
[Full Text][Citation analysis]		article2
2021Trading Macro-Cycles of Foreign Exchange Markets Using Hybrid Models In: Sustainability.
[Full Text][Citation analysis]		article1
2004Conditional heteroscedasticity of exchange rates: further results based on the fractionally integrated approach In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article6
2007AN ANALYSIS OF THE CONDITIONAL VOLATILITY DYNAMICS OF THE AUSTRALIAN BUSINESS CYCLE In: Journal of Economic Development.
[Full Text][Citation analysis]		article0
2013CONDITIONAL VOLATILITY ASYMMETRY OF BUSINESS CYCLES: EVIDENCE FROM FOUR OECD COUNTRIES In: Journal of Economic Development.
[Full Text][Citation analysis]		article2
2004Volatility Dynamics of the Tokyo Stock Exchange: A Sectoral Analysis based on the Multivariate GARCH Approach In: Money Macro and Finance (MMF) Research Group Conference 2004.
[Full Text][Citation analysis]		paper3
2001Ownership and Use Taxes as Congestion Correcting Instruments In: NBER Working Papers.
[Full Text][Citation analysis]		paper11
2002Evaluating the hedging performance of the constant-correlation GARCH model In: Applied Financial Economics.
[Full Text][Citation analysis]		article91
2013Measuring asymmetry and persistence in conditional volatility in real output: evidence from three East Asian tigers using a multivariate GARCH approach In: Applied Economics.
[Full Text][Citation analysis]		article5
2003Taxes and Traffic in Asian Cities: Ownership and use taxes on Autos in Singapore In: University of Western Ontario, Departmental Research Report Series.
[Full Text][Citation analysis]		paper0
2018Macroeconomic forecasting with mixed data sampling frequencies: Evidence from a small open economy In: Journal of Forecasting.
[Full Text][Citation analysis]		article4
2023Forecasting term structure of the Japanese bond yields in the presence of a liquidity trap In: Journal of Forecasting.
[Full Text][Citation analysis]		article0

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