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The conditional heteroscedasticity of the yen-dollar exchange rate
Tse, Yiu Kuen - In: Journal of applied econometrics 13 (1998) 1, pp. 49-55
Persistent link: https://www.econbiz.de/10001237949
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Conditional volatility in foreign exchange rates : evidence from the alaysian ringgit and Singapore dollar
Tse, Yiu Kuen - In: Pacific-Basin finance journal 5 (1997) 3, pp. 345-356
Persistent link: https://www.econbiz.de/10001229128
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Hedging time-varying downside risk
Lien, Da-hsiang Donald - In: The journal of futures markets 18 (1998) 6, pp. 705-722
Persistent link: https://www.econbiz.de/10001249191
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A multivariate generalized autoregressive conditional heteroscedasticity model with time-varying correlations
Tse, Yiu Kuen; Tsui, Albert K. - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 3, pp. 351-362
Persistent link: https://www.econbiz.de/10001695276
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Hedging downside risk with futures contracts
Lien, Da-hsiang Donald; Tse, Yiu Kuen - In: Applied financial economics 10 (2000) 2, pp. 163-170
Persistent link: https://www.econbiz.de/10001526213
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A note on the length effect of futures hedging
Lien, Da-hsiang Donald; Tse, Yiu Kuen - In: Advances in investment analysis and portfolio … 7 (2000), pp. 131-143
Persistent link: https://www.econbiz.de/10001542589
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The lead-lag relation between the S&P500 spot and futures markets : an intraday-data analysis using a threshold regression model
Tse, Yiu Kuen; Chan, Wai-Sum - In: The Japanese economic review : the journal of the … 61 (2010) 1, pp. 133-144
Persistent link: https://www.econbiz.de/10003980315
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Estimation of high-frequency volatility : an autoregressive conditional duration approach
Tse, Yiu Kuen; Yang, Thomas Tao - In: Journal of business & economic statistics : JBES ; a … 30 (2012) 4, pp. 533-545
Persistent link: https://www.econbiz.de/10009667044
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Intraday periodicity adjustments of transaction duration and their effects on high-frequency volatility estimation
Tse, Yiu Kuen; Dong, Yingjie - In: Journal of empirical finance 28 (2014), pp. 352-361
Persistent link: https://www.econbiz.de/10011285621
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Using high-frequency transaction data to estimate the probability of informed trading
Tay, Anthony S. A.; Ting, Christopher; Tse, Yiu Kuen; … - In: Journal of financial econometrics : official journal of … 7 (2009) 3, pp. 288-311
Persistent link: https://www.econbiz.de/10003884192