Author Page for Anthony S. Tay

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

Peter Christoffersen, Francis X. Diebold, Roberto S. Mariano, Anthony S. Tay and Yiu Kuen Tse

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

Abstract:

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

Abstract:

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)

Abstract:

4.

Time-Varying Incentives in the Mutual Fund Industry

Downloads 129 (296,951)

Citation 3

2

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

Abstract:

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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Abstract:

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

Aamir Rafique Hashmi, Aamir Rafique Hashmi and Anthony S. Tay

University of CalgaryUniversity of Calgary - Department of Economics and Singapore Management University - School of Economics

Downloads 91 (376,562)

Citation 1

Abstract:

6.

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

Downloads 39 (424,835)

1

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)

Abstract:

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)

Abstract:

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

Francis X. Diebold, Anthony S. Tay and Kenneth F. Wallis

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

Abstract:

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

Abstract:

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

Anthony S. Tay, Christopher Ting, Yiu Kuen Tse and Mitch Warachka

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

Anthony S. Tay

Singapore Management University - School of Economics

Associate Professor

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Scholarly Papers (10)

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

Abstract:

Evaluating Density Forecasts with Applications to Financial Risk Management

Abstract:

How Should We Interpret Evidence of Time Varying Conditional Skewness?

Abstract:

Time-Varying Incentives in the Mutual Fund Industry

Time-Varying Incentives in the Mutual Fund Industry

Abstract:

Time-Varying Incentives in the Mutual Fund Industry

Abstract:

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

Abstract:

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

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

Abstract:

Evaluating Density Forecasts

Abstract:

Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters

Abstract:

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

Abstract:

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

Abstract: