Albert K.C. Tsui

National University of Singapore (NUS) - Department of Economics

1 Arts Link, AS2 #06-02

Singapore 117570, Singapore 119077

Republic of Singapore

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 31,461

SSRN RANKINGS

Top 31,461

in Total Papers Downloads

2,184

SSRN CITATIONS
Rank 16,162

SSRN RANKINGS

Top 16,162

in Total Papers Citations

7

CROSSREF CITATIONS

61

Scholarly Papers (11)

1.

A Multivariate GARCH Model with Time-Varying Correlations

Number of pages: 30 Posted: 11 Dec 2000
Yiu Kuen Tse and Albert K.C. Tsui
Singapore Management University - School of Social Sciences and National University of Singapore (NUS) - Department of Economics
Downloads 1,708 (14,079)
Citation 2

Abstract:

Loading...

BEKK model, constant correlation, Monte Carlo method, multivariate GARCH model, maximum likelihood estimate, varying correlation

2.

Medical Savings Accounts in Singapore: How Much is Adequate?

Number of pages: 38 Posted: 19 Jan 2005
Ngee-Choon Chia and Albert K.C. Tsui
National University of Singapore (NUS) and National University of Singapore (NUS) - Department of Economics
Downloads 189 (217,069)

Abstract:

Loading...

Medical savings accounts, present value of lifetime health care expense, cohort survival probabilities

3.

Estimating Time-Varying Currency Betas: New Evidence from Nine Developed and Emerging Markets

Number of pages: 39 Posted: 26 Aug 2013
Ling Long, Albert K.C. Tsui and Zhaoyong Zhang
National University of Singapore (NUS) - Department of Economics, National University of Singapore (NUS) - Department of Economics and Edith Cowan University - Faculty of Business and Law
Downloads 63 (461,225)

Abstract:

Loading...

time-varying currency betas, multivariate GARCH-M models, international CAPM, long memory, stochastic dominance

4.

A Multivariate GARCH Model with Time-Varying Correlations

Science Direct Working Paper No S1574-0358(04)71166-1
Number of pages: 34 Posted: 16 Apr 2018
Y.K. Tse and Albert K.C. Tsui
affiliation not provided to SSRN and National University of Singapore (NUS) - Department of Economics
Downloads 42 (549,582)
Citation 3

Abstract:

Loading...

BEKK model, constant correlation, Monte Carlo method, multivariate GARCH model, maximum likelihood estimate, varying correlation, C12

5.

Ownership and Use Taxes as Congestion Correcting Instruments

NBER Working Paper No. w8278
Number of pages: 20 Posted: 05 May 2001 Last Revised: 14 Feb 2021
Ngee-Choon Chia, Albert K.C. Tsui and John Whalley
National University of Singapore (NUS), National University of Singapore (NUS) - Department of Economics and University of Western Ontario - Department of Economics
Downloads 42 (549,582)

Abstract:

Loading...

6.

Exchange Rate Exposure of Sectoral Returns and Volatilities: Evidence from Japanese Industrial Sectors

Japan and the World Economy, Vol. 20, No. 4, 2008
Number of pages: 22 Posted: 07 Jul 2014 Last Revised: 20 Jul 2014
Prabhath Jayasinghe and Albert K.C. Tsui
University of Colombo - Department of Business Economics and National University of Singapore (NUS) - Department of Economics
Downloads 32 (602,694)

Abstract:

Loading...

Exchange rate exposure; Asymmetric volatility spillovers; GARCH-type models; Conditional correlation

7.

New Estimates of Time‐Varying Currency Betas: A Trivariate BEKK Approach

Number of pages: 43 Posted: 13 Mar 2015
Prabhath Jayasinghe, Albert K.C. Tsui and Zhaoyong Zhang
University of Colombo - Department of Business Economics, National University of Singapore (NUS) - Department of Economics and Edith Cowan University - Faculty of Business and Law
Downloads 31 (608,669)
Citation 2

Abstract:

Loading...

Time‐varying  currency  betas;  Multivariate  GARCH‐M  models;  International  CAPM;  Fractionally  integrated  processes;  Stochastic dominance

8.

Size and Power of Diagnostic Tests for Asymmetric Garch-Type Models

Number of pages: 53 Posted: 07 Jul 2014
Prabhath Jayasinghe and Albert K.C. Tsui
University of Colombo - Department of Business Economics and National University of Singapore (NUS) - Department of Economics
Downloads 31 (608,669)

Abstract:

Loading...

Diagnostic tests, Multivariate asymetric GARCH-type models

9.

Time-Varying Exchange Rate Exposure Coefficients (Exposure Betas): Evidence from Country Level Stock Returns

Sri Lanka Journal of Economics, Vol. 10, No. 2, December 2009
Number of pages: 23 Posted: 06 Jul 2014
Prabhath Jayasinghe and Albert K.C. Tsui
University of Colombo - Department of Business Economics and National University of Singapore (NUS) - Department of Economics
Downloads 28 (627,260)

Abstract:

Loading...

time-varying exchange rate exposure; multivariate GARCH-M models; international CAPM; fractionally integrated processes

10.

Multi-Elements of Exchange Rate Exposure: Evidence from Japanese Sectoral Returns

CBS Journal of Multidisciplinary Studies Vol. 1, No. 1, December 2010
Number of pages: 19 Posted: 04 Jul 2014
Prabhath Jayasinghe and Albert K.C. Tsui
University of Colombo - Department of Business Economics and National University of Singapore (NUS) - Department of Economics
Downloads 18 (699,006)

Abstract:

Loading...

exchange rate exposure; volatility spillovers; multivariate GARCH-M models; time-varying correlation

11.

New Estimates of Time-Varying Currency Betas: A Trivariate BEKK Approach

Economic Modelling, Vol. 42, 2014
Posted: 17 Jul 2014
Prabhath Jayasinghe, Albert K.C. Tsui and Zhaoyong Zhang
University of Colombo - Department of Business Economics, National University of Singapore (NUS) - Department of Economics and Edith Cowan University - Faculty of Business and Law

Abstract:

Loading...

Time-varying currency betas, Multivariate GARCH-M models, International CAPM, Fractionally integrated processes, Stochastic dominance