TSE, Yiu Kuen

Professor of Economics

School of Business

Singapore Management University

 

Adjunct Professor

Department of Economics

National University of Singapore

Degrees

B.Soc.Sc. (Honours, Economics and Statistics), Hong Kong University, 1974

M.Sc. (Statistics), London School of Economics, 1976

Ph.D. (Econometrics), London School of Economics, 1981

Professional Qualification

Fellow, Society of Actuaries

Positions Held

Research Assistant, London School of Economics, 1976 - 1977

Research Officer, London School of Economics, 1977 - 1981

Lecturer, Polytechnic of Central London, 1981 - 1982

Lecturer, National University of Singapore, 1982 - 1986

Senior Lecturer, National University of Singapore, 1987 - 1993

Associate Professor, National University of Singapore, 1994 - 1999

Professor, National University of Singapore, 1999 - 2001

Visiting Positions

Visiting Scholar, Center for Southeast Asian Studies, Kyoto University, 1986

Visiting Fellow, Statistics Department, Australian National University, 1987

Visiting Scholar, Department of Economics, University of Illinois at Urbana-Champaign, 1988 - 1989

Consultant of Business School, Hong Kong Baptist University, June 1998

Consultant of Business School, Hong Kong Baptist University, August 2001

Current Administrative Positions

Associate Director, NUS Centre for Financial Engineering

Consultancy Experience

Asian Development Bank, macroeconomist consultant

Lum Chang Securities, develop the Lum Chang Foreign Index

Singapore Press Holdings, develop the Straits Times Index

Research Interests

Financial Economics

Econometrics

Actuarial Science

 

List of Publications (with links to download recent publications) 

Downloadable Working Papers (PDF Files)

 

  1. "Evaluating the Hedging Performance of Constant-Correlation GARCH Model", by Donald Lien, Yiu Kuen Tse and Albert K.C. Tsui. Download

 

  1. "A Multivariate GARCH Model with Time-Varying Correlations", by Y.K. Tse and Albert K.C. Tsui. Download

  

  1. "Residual-Based Diagnostics for Conditional Heteroscedasticity Models", by Y.K. Tse. Download

 

  1. "Physical Delivery versus Cash Settlement: An Empirical Study on the Feeder Cattle Contract", by Donald Lien and Yiu Kuen Tse. Download

 

  1. "Local Influence on Bandwidth Estimation for Kernel Smoothing", by Xibin Zhang and Yiu Kuen Tse. Download

 

  1. "The Variance Ratio Test with Stable Paretian Errors", by Y.K. Tse and X.B. Zhang. Download

 

  1. "Maximum Likelihood Estimation of the Fractional Differencing Parameter in an ARFIMA Model Using Wavelets", by Y.K. Tse, V.V. Anh and Q.Tieng. Download

 

  1. "A Small-Sample Overlapping Variance-Ratio Test", by Y.K. Tse, K.W. Ng and X.B. Zhang. Download

 

  1. "An Empirical Analysis of Unit Trust Performance in Singapore", by Joseph H.H. Chia and Y.K. Tse. Download

 

  1. "Some Recent Developments in Futures Hedging", by Donald Lien and Y.K. Tse. Download

 

  1. "A Monte Carlo Investigation of Some Tests for Stochastic Dominance", by Y.K. Tse and X.B. Zhang. Download

 

  1. "The Impacts of Hong Kong's Currency Board Reforms on Its Interbank Market", by Y.K. Tse and Paul S.L. Yip. Download

 

  1. "The Integration of the East and South-East Asian Equity Markets", by K.B. Tan and Y.K. Tse. Download

 

  1. "Capital Control, Market Segmentation and Cross-Border Flow of Information: Some Empirical Evidence from the Chinese Stock Market", by Y. Gao and Y.K. Tse. Download

 

 

Please email me at yktse@smu.edu.sg  if you have difficulty downloading the PDF files

 

Contact Informations

Tel: (65) 8220257

Fax: (65) 8228081

Singapore Management University, 11 Evans Road, Singapore 259368

Email: yktse@smu.edu.sg