| Evaluating density forecasts FX Diebold, TA Gunther, A Tay National Bureau of Economic Research, 1997 | 1941 | 1997 |
| Density forecasting: a survey AS Tay, KF Wallis Journal of forecasting 19 (4), 235-254, 2000 | 489 | 2000 |
| Multivariate density forecast evaluation and calibration in financial risk management: high-frequency returns on foreign exchange FX Diebold, J Hahn, AS Tay Review of Economics and Statistics 81 (4), 661-673, 1999 | 414 | 1999 |
| Evaluating density forecasts of inflation: the survey of professional forecasters FX Diebold, A Tay, K Wallis National bureau of economic research, 1997 | 209 | 1997 |
| Using high-frequency transaction data to estimate the probability of informed trading A Tay, C Ting, YK Tse, M Warachka Journal of Financial Econometrics 7 (3), 288-311, 2009 | 77 | 2009 |
| Direction-of-change forecasts based on conditional variance, skewness and kurtosis dynamics: international evidence P Christoffersen, FX Diebold, RS Mariano, AS Tay, YK Tse PIER Working Paper, 2006 | 49 | 2006 |
| Global regional sources of risk in equity markets: Evidence from factor models with time-varying conditional skewness AR Hashmi, AS Tay Journal of international Money and Finance 26 (3), 430-453, 2007 | 39 | 2007 |
| Time-varying incentives in the mutual fund industry J Olivier, AS Tay CEPR Discussion Paper No. DP6893, 2008 | 25 | 2008 |
| Direction-of-change forecasts based on conditional variance, skewness and kurtosis dynamics: international evidence A Tay | 23 | 2007 |
| The impact of transaction duration, volume and direction on price dynamics and volatility AS Tay, C Ting, Y Kuen Tse, M Warachka Quantitative Finance 11 (3), 447-457, 2011 | 16 | 2011 |
| Non-fundamental expectations and economic fluctuations: Evidence from professional forecasts KM Choy, K Leong, AS Tay Journal of Macroeconomics 28 (2), 446-460, 2006 | 16 | 2006 |
| Mean, volatility, and skewness spillovers in equity markets AR Hashmi, AS Tay Handbook of volatility models and their applications, 127-145, 2012 | 13 | 2012 |
| Intraday stock prices, volume, and duration: a nonparametric conditional density analysis AS Tay, C Ting Empirical Economics 30, 827-842, 2006 | 11 | 2006 |
| Transaction-data analysis of marked durations and their implications for market microstructure AS Tay, C Ting, YK Tse, M Warachka SMU Economics and Statistics Working Paper, No. 09-2004, 2004 | 11 | 2004 |
| Real-time multivariate density forecast evaluation and calibration: Monitoring the risk of high-frequency returns on foreign exchange FX Diebold, J Hahn, A Tay National Bureau of Economic Research, 1998 | 9 | 1998 |
| Global and Regional Sources of Risk in Equity Markets Evidence from Factor Models with Time-Varying Conditional Skewness AR Hashmi, AS Tay National University of Singapore Working Paper 116, 2001 | 8 | 2001 |
| Selecting an index for a stock index futures contract: an analysis of the Singapore market AS Tay, YK Tse Review of Futures Markets 10 (3), 412, 1991 | 6 | 1991 |
| VEvaluating Density Forecasts with Applications to Financial Risk ManagementV, International Economic Re) view, vol. 39, no. 4 FX Diebold, TA Gunther, AS Tay Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance …, 1998 | 5 | 1998 |
| Intraday stock prices, volume, and duration: a nonparametric conditional density analysis AS Tay, C Ting High Frequency Financial Econometrics: Recent Developments, 253-268, 2008 | 4 | 2008 |
| A brief survey of density forecasting in macroeconomics A Tay Macroeconomic Review October, 2015 | 3 | 2015 |
