Articles with public access mandates - yiu kuen tseLearn more
Available somewhere: 4
Intraday Value-at-Risk: an asymmetric autoregressive conditional duration approach
S Liu, YK Tse
Journal of econometrics 189 (2), 437-446, 2015
Mandates: National Natural Science Foundation of China
Forecasting large covariance matrix with high-frequency data using factor approach for the correlation matrix
Y Dong, YK Tse
Economics Letters 195, 109465, 2020
Mandates: National Natural Science Foundation of China
Price comovement and market segmentation of Chinese A-and H-shares: Evidence from a panel latent-factor model
Y Dong, W Huang, YK Tse
Journal of International Money and Finance 131, 102794, 2023
Mandates: National Natural Science Foundation of China
Forecasting large covariance matrix with high-frequency data: A factor correlation matrix approach
Y DONG, YK TSE
Mandates: National Natural Science Foundation of China
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