Zobrazeno 1 - 10
of 149
pro vyhledávání: '"YIU-KUEN TSE"'
Autor:
Yingjie Dong, Yiu-Kuen Tse
Publikováno v:
Econometrics, Vol 5, Iss 4, p 51 (2017)
We propose a new method to implement the Business Time Sampling (BTS) scheme for high-frequency financial data. We compute a time-transformation (TT) function using the intraday integrated volatility estimated by a jump-robust method. The BTS transac
Externí odkaz:
https://doaj.org/article/381486c6d187470b86583293714c7672
Autor:
Yiu-Kuen Tse
Actuaries must pass exams, but more than that: they must put knowledge into practice. This coherent book gives complete syllabus coverage for Exam C of the Society of Actuaries (SOA) while emphasizing the concepts and practical application of nonlife
Autor:
Yiu-kuen Tse, Robert S Mariano
This important book consists of surveys of high-frequency financial data analysis and econometric forecasting, written by pioneers in these areas including Nobel laureate Lawrence Klein. Some of the chapters were presented as tutorials to an audience
Publikováno v:
The Singapore Economic Review. :1-23
We provide a review and empirical study on the exchange rate system reform in China. In the initial stage of the reform the Chinese central bank PBoC’s implicit promise of gradual appreciation helped to contain the appreciation rate and volatility
Publikováno v:
Journal of International Money and Finance. 131:102794
Publikováno v:
Asia-Pacific Journal of Risk and Insurance. 15:23-46
There are two main equity release plans for retirement financing: reverse mortgage plan and home reversion plan. Both plans entitle the homeowners not only to release cash from their properties but also to allow them living there for life. In the lea
Publikováno v:
The Singapore Economic Review. 66:1355-1371
The Central Provident Fund (CPF) is a defined-contribution savings plan forming the key pillar of the pension system in Singapore. The CPF Lifelong Income For the Elderly (LIFE) program, which provides lifetime income for retirees, is a mandatory pen
Autor:
Koon-Shing Kwong1 kskwong@smu.edu.sg, Yiu-Kuen Tse1 yktse@smu.edu.sg, Wai-Sum Chan2 chanws@cuhk.edu.hk
Publikováno v:
Risks. 2017, Vol. 5 Issue 2, p25. 17p.
Autor:
Yiu Kuen Tse, Yingjie Dong
Publikováno v:
Economics Letters. 150:59-62
We study the market microstructure noise-variance estimation of high-frequency stock prices. Based on the Hansen and Lunde (2006) approach, we propose estimates using subsampling method at different time scales. We conduct a Monte Carlo study to comp
Autor:
Yiu Kuen Tse
Publikováno v:
Journal of Risk and Financial Management, Vol 12, Iss 3, p 153 (2019)
Financial econometrics has developed into a very fruitful and vibrant research area in the last two decades [...]