The race against time

Authors

Singapore Management University

Publication Type

Book Chapter

Publication Date

1-2017

Abstract

Professor Tse Yiu Kuen is developing econometric models that can provide us with a clearer picture of global markets.

See the papers:

• Estimation of high-frequency volatility: An autoregressive conditional duration approach
• Intraday periodicity adjustments of transaction duration and their effects on high-frequency volatility estimation;
• Intraday value-at-risk: An asymmetric autoregressive conditional duration approach

Disciplines

Econometrics

Publication

Research@SMU: Connecting the dots

Editor

MILLER, Steven; JOSHI, Havovi; LEE, Vanessa

ISBN

9789811147449

Publisher

Singapore Management University

Copyright Owner and Holder

Singapore Management University

Licece/Creative Commons Licence

This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.

Citation

Singapore Management University. The race against time. (2017). Research@SMU: Connecting the dots. 72-73.
Available at: https://ink.library.smu.edu.sg/smu_research/14

First Page

72

Last Page

73