Yiu Kuen Tse

Available identifiers

Publication	Date of Publication	Type
Estimation of High-Frequency Volatility: An Autoregressive Conditional Duration Approach	2025-01-20	Paper
Forecasting large covariance matrix with high-frequency data using factor approach for the correlation matrix	2020-11-04	Paper
Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method	2019-01-15	Paper
Structural change and lead-lag relationship between the Nikkei spot index and futures price: a genetic programming approach	2019-01-14	Paper
On estimating market microstructure noise variance	2018-09-11	Paper
Intraday value-at-risk: an asymmetric autoregressive conditional duration approach	2015-10-30	Paper
On calculating the Edgeworth approximate distribution of an econometric estimator or test statistic	2013-10-24	Paper
Testing linear and log-linear regressions with autocorrelated errors	2013-10-24	Paper
Testing for linear and log-linear regressions with heteroscedasticity	2013-10-24	Paper
Functional form and spatial dependence in dynamic panels	2013-01-07	Paper
The impact of transaction duration, volume and direction on price dynamics and volatility	2011-04-28	Paper
Generalized LM tests for functional form and heteroscedasticity	2008-08-21	Paper
A Monte Carlo investigation of some tests for stochastic dominance	2005-05-09	Paper
Local influence on bandwidth estimation for kernel smoothing	2002-08-07	Paper

This page was built for person: Yiu Kuen Tse