Yiu Kuen Tse

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

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

Research outcomes over time

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