Anthony S. Tay

Singapore Management University - School of Economics

Associate Professor

90 Stamford Road

178903

Singapore

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 35,361

SSRN RANKINGS

Top 35,361

in Total Papers Downloads

1,919

SSRN CITATIONS
Rank 3,000

SSRN RANKINGS

Top 3,000

in Total Papers Citations

53

CROSSREF CITATIONS

389

Scholarly Papers (10)

1.

Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence

PIER Working Paper No. 06-016
Number of pages: 32 Posted: 12 Jun 2006
University of Toronto - Rotman School of Management, University of Pennsylvania - Department of Economics, Singapore Management University, Singapore Management University - School of Economics and Singapore Management University - School of Social Sciences
Downloads 861 (38,630)
Citation 4

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Volatility, variance, skewness, kurtosis, market timing, asset management, asset allocation, portfolio management

2.

Evaluating Density Forecasts with Applications to Financial Risk Management

NYU Working Paper No. SOR-98-6
Number of pages: 22 Posted: 31 Oct 2008
Francis X. Diebold, Todd A. Gunther and Anthony S. Tay
University of Pennsylvania - Department of Economics, affiliation not provided to SSRN and Singapore Management University - School of Economics
Downloads 439 (91,248)
Citation 44

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3.

How Should We Interpret Evidence of Time Varying Conditional Skewness?

National U of Singapore Economics Working Paper
Number of pages: 28 Posted: 27 May 2002
Anthony S. Tay, Gamini Premaratne and Gamini Premaratne
Singapore Management University - School of Economics and University of Illinois at Urbana-Champaign - Department of EconomicsUniversity of Brunei Darussalam
Downloads 231 (180,760)

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Conditional skewness, Runs test, ARCD model, Hansen t, heteroskewness, heterokurtosis, third moments, time-varying higher moments

4.
Downloads 129 (296,951)
Citation 3

Time-Varying Incentives in the Mutual Fund Industry

Paris December 2008 Finance International Meeting AFFI - EUROFIDAI Paper
Number of pages: 42 Posted: 14 Oct 2008 Last Revised: 14 Mar 2013
Jacques Olivier and Anthony S. Tay
HEC Paris - Finance Department and Singapore Management University - School of Economics
Downloads 125 (305,349)
Citation 7

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Mutual funds, Incentives, Flow-Performance Relationship, Convexity, Business Cycles

Time-Varying Incentives in the Mutual Fund Industry

CEPR Discussion Paper No. DP6893
Number of pages: 48 Posted: 20 Aug 2008
Jacques Olivier and Anthony S. Tay
HEC Paris - Finance Department and Singapore Management University - School of Economics
Downloads 4 (857,094)
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Business Cycle, Convexity, Flow-performance Relationship, Incentives, Mutual Funds

5.

Global and Regional Sources of Risk in Equity Markets: Evidence from Factor Models With Time-Varying Conditional Skewness

Journal of International Money and Finance, Vol. 26, No. 3, pp. 430-453, 2007
Number of pages: 56 Posted: 02 May 2007
University of CalgaryUniversity of Calgary - Department of Economics and Singapore Management University - School of Economics
Downloads 91 (376,562)
Citation 1

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Asymmetries, Skewness, Volatility, Spillover, Stock returns

Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange

NBER Working Paper No. w6845
Number of pages: 38 Posted: 26 Feb 1999 Last Revised: 17 Mar 2022
Francis X. Diebold, Jinyong Hahn and Anthony S. Tay
University of Pennsylvania - Department of Economics, University of California, Los Angeles and Singapore Management University - School of Economics
Downloads 39 (578,149)

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7.

Evaluating Density Forecasts

NBER Working Paper No. t0215
Number of pages: 38 Posted: 26 Aug 2000 Last Revised: 05 Aug 2021
Francis X. Diebold, Todd A. Gunther and Anthony S. Tay
University of Pennsylvania - Department of Economics, affiliation not provided to SSRN and Singapore Management University - School of Economics
Downloads 50 (513,594)

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8.

Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters

NBER Working Paper No. w6228
Number of pages: 26 Posted: 26 Aug 2000 Last Revised: 08 Jan 2022
University of Pennsylvania - Department of Economics, Singapore Management University - School of Economics and University of Warwick - Department of Economics
Downloads 42 (550,643)
Citation 1

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9.

Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitorlng the Risk of High-Frequency Returns on Foreign Exchange

NYU Working Paper No. SOR-98-7
Number of pages: 38 Posted: 31 Oct 2008
Francis X. Diebold, Jinyong Hahn and Anthony S. Tay
University of Pennsylvania - Department of Economics, University of California, Los Angeles and Singapore Management University - School of Economics
Downloads 37 (576,048)
Citation 7

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10.

Using High-Frequency Transaction Data to Estimate the Probability of Informed Trading

Journal of Financial Econometrics, Vol. 7, Issue 3, pp. 288-311, 2009
Posted: 30 Jun 2009
Singapore Management University - School of Economics, Singapore Management University - Lee Kong Chian School of Business, Singapore Management University - School of Social Sciences and Chapman University - The George L. Argyros School of Business & Economics

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C410, G120, autoregressive conditional duration, market microstructure, probability of informed trading, transaction data, Weibull distribution