Details about Philip L.H. Yu

Access statistics for papers by Philip L.H. Yu.

Last updated 2024-04-27. Update your information in the RePEc Author Service.

Short-id: pyu43

Working Papers

2007

1. Order Imbalance and the Dynamics of Index and Futures Prices
   Working Papers, Hong Kong Institute for Monetary Research View citations (8)

Journal Articles

2012

1. Mixtures of weighted distance-based models for ranking data with applications in political studies
   Computational Statistics & Data Analysis, 2012, 56, (8), 2486-2500 View citations (5)
2. Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity
   Computational Economics, 2012, 40, (1), 19-48 View citations (13)

2011

3. A note on the binomial model with simplex constraints
   Computational Statistics & Data Analysis, 2011, 55, (12), 3381-3385
4. Basket trading under co-integration with the logistic mixture autoregressive model
   Quantitative Finance, 2011, 11, (9), 1407-1419 View citations (4)
5. Modeling threshold conditional heteroscedasticity with regime-dependent skewness and kurtosis
   Computational Statistics & Data Analysis, 2011, 55, (9), 2590-2604 View citations (3)

2010

6. A margin scheme that advises on when to change required margin
   European Journal of Operational Research, 2010, 207, (1), 524-530 View citations (5)
7. Distance-based tree models for ranking data
   Computational Statistics & Data Analysis, 2010, 54, (6), 1672-1682 View citations (15)
8. On Some Models for Value-At-Risk
   Econometric Reviews, 2010, 29, (5-6), 622-641 View citations (16)

2009

9. A smoothed bootstrap test for independence based on mutual information
   Computational Statistics & Data Analysis, 2009, 53, (7), 2524-2536
10. On a dynamic mixture GARCH model
    Journal of Forecasting, 2009, 28, (3), 247-265 View citations (3)

2006

11. Empirical analysis of GARCH models in value at risk estimation
    Journal of International Financial Markets, Institutions and Money, 2006, 16, (2), 180-197 View citations (59)
12. Statistical Exploration from SARS
    The American Statistician, 2006, 60, 81-91 View citations (1)

2005

13. Factor analysis for ranked data with application to a job selection attitude survey
    Journal of the Royal Statistical Society Series A, 2005, 168, (3), 583-597 View citations (3)

2003

14. On the residual autocorrelation of the autoregressive conditional duration model
    Economics Letters, 2003, 79, (2), 169-175 View citations (8)

2002

15. Estimation of the Common Mean of a Bivariate Normal Population
    Annals of the Institute of Statistical Mathematics, 2002, 54, (4), 861-878 View citations (3)

2000

16. Bayesian analysis of order-statistics models for ranking data
    Psychometrika, 2000, 65, (3), 281-299 View citations (7)

1997

17. How to predict election winners from a poll
    Journal of Applied Statistics, 1997, 24, (1), 11-24 View citations (2)

1996

18. Likelihood ratio test for the spacing between two adjacent location parameters
    Statistics & Probability Letters, 1996, 26, (1), 43-49