Anthony S. Tay

1.6k total citations
14 papers, 688 citations indexed

About

Anthony S. Tay is a scholar working on Economics and Econometrics, Finance and General Economics, Econometrics and Finance. According to data from OpenAlex, Anthony S. Tay has authored 14 papers receiving a total of 688 indexed citations (citations by other indexed papers that have themselves been cited), including 12 papers in Economics and Econometrics, 11 papers in Finance and 8 papers in General Economics, Econometrics and Finance. Recurrent topics in Anthony S. Tay's work include Market Dynamics and Volatility (9 papers), Financial Risk and Volatility Modeling (8 papers) and Monetary Policy and Economic Impact (8 papers). Anthony S. Tay is often cited by papers focused on Market Dynamics and Volatility (9 papers), Financial Risk and Volatility Modeling (8 papers) and Monetary Policy and Economic Impact (8 papers). Anthony S. Tay collaborates with scholars based in Singapore, United States and Canada. Anthony S. Tay's co-authors include Francis X. Diebold, Kenneth F. Wallis, Jinyong Hahn, Aamir Rafique Hashmi, Gamini Premaratne, Yiu Kuen Tse, Peter Christoffersen, Roberto S. Mariano, Mitch Warachka and You Li and has published in prestigious journals such as The Review of Economics and Statistics, International Economic Review and Journal of International Money and Finance.

In The Last Decade

Anthony S. Tay

14 papers receiving 634 citations

Peers

Anthony S. Tay
Francesco Audrino Switzerland
Ivana Komunjer United States
Ching‐Fan Chung United States
Abdelwahed Trabelsi Tunisia
Yong Bao United States
Markus Haas Germany
Ioannis D. Vrontos Greece
David P. Hasza United States
Nour Meddahi Canada
Lars‐Erik Öller Sweden
Francesco Audrino Switzerland
Anthony S. Tay
Citations per year, relative to Anthony S. Tay Anthony S. Tay (= 1×) peers Francesco Audrino

Countries citing papers authored by Anthony S. Tay

Since Specialization
Citations

This map shows the geographic impact of Anthony S. Tay's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Anthony S. Tay with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Anthony S. Tay more than expected).

Fields of papers citing papers by Anthony S. Tay

Since Specialization
Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Anthony S. Tay. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Anthony S. Tay. The network helps show where Anthony S. Tay may publish in the future.

Co-authorship network of co-authors of Anthony S. Tay

This figure shows the co-authorship network connecting the top 25 collaborators of Anthony S. Tay. A scholar is included among the top collaborators of Anthony S. Tay based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Anthony S. Tay. Anthony S. Tay is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

14 of 14 papers shown
1.
Li, You & Anthony S. Tay. (2020). The role of macroeconomic and policy uncertainty in density forecast dispersion. Journal of Macroeconomics. 67. 103266–103266. 2 indexed citations
2.
Tay, Anthony S., et al.. (2010). The impact of transaction duration, volume and direction on price dynamics and volatility. Quantitative Finance. 11(3). 447–457. 6 indexed citations
3.
Tay, Anthony S., et al.. (2009). Using High-Frequency Transaction Data to Estimate the Probability of Informed Trading. Institutional Knowledge (InK) - Institutional Knowledge at Singapore Management University (Singapore Management University). 2 indexed citations
4.
Christoffersen, Peter, et al.. (2007). Direction-of-change forecasts for Asian equity markets based on conditional variance, skewness and Kurtosis dynamics: International evidence. Institutional Knowledge (InK) - Institutional Knowledge at Singapore Management University (Singapore Management University). 1. 1 indexed citations
5.
Hashmi, Aamir Rafique & Anthony S. Tay. (2007). Global regional sources of risk in equity markets: Evidence from factor models with time-varying conditional skewness. Journal of International Money and Finance. 26(3). 430–453. 27 indexed citations
6.
Christoffersen, Peter, Francis X. Diebold, Roberto S. Mariano, Anthony S. Tay, & Yiu Kuen Tse. (2006). Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence. SSRN Electronic Journal. 19 indexed citations
7.
Tay, Anthony S., et al.. (2006). Non-fundamental expectations and economic fluctuations: Evidence from professional forecasts. Journal of Macroeconomics. 28(2). 446–460. 6 indexed citations
8.
Tay, Anthony S., et al.. (2005). Intraday stock prices, volume, and duration: a nonparametric conditional density analysis. Empirical Economics. 30(4). 827–842. 5 indexed citations
9.
Tay, Anthony S. & Gamini Premaratne. (2002). How should we Interpret Evidence of Time Varying Conditional Skewness?. SSRN Electronic Journal. 13 indexed citations
10.
Tay, Anthony S. & Kenneth F. Wallis. (2000). Density forecasting: a survey. Journal of Forecasting. 19(4). 235–254. 207 indexed citations
11.
Diebold, Francis X., Jinyong Hahn, & Anthony S. Tay. (1999). Multivariate Density Forecast Evaluation and Calibration In Financial Risk Management: High-Frequency Returns on Foreign Exchange. The Review of Economics and Statistics. 81(4). 661–673. 227 indexed citations
12.
Diebold, Francis X., et al.. (1998). Evaluating Density Forecasts with Applications to Financial Risk Management. International Economic Review. 39(4). 863–863. 167 indexed citations
13.
Diebold, Francis X., Anthony S. Tay, & Kenneth F. Wallis. (1997). Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters. Institutional Knowledge (InK) - Institutional Knowledge at Singapore Management University (Singapore Management University). 5 indexed citations
14.
Tay, Anthony S. & Yiu Kuen Tse. (1991). Selecting an index for a stock index futures contract: An analysis of the Singapore market. Institutional Knowledge (InK) - Institutional Knowledge at Singapore Management University (Singapore Management University). 10(3). 412–431. 1 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

Explore authors with similar magnitude of impact

Breakdown of academic impact, for papers by Francesco Audrino Breakdown of academic impact, for papers by Ivana Komunjer Breakdown of academic impact, for papers by Ching‐Fan Chung Breakdown of academic impact, for papers by Abdelwahed Trabelsi Breakdown of academic impact, for papers by Yong Bao Breakdown of academic impact, for papers by Markus Haas Breakdown of academic impact, for papers by Ioannis D. Vrontos Breakdown of academic impact, for papers by David P. Hasza Breakdown of academic impact, for papers by Nour Meddahi Breakdown of academic impact, for papers by Lars‐Erik Öller
Rankless by CCL
2026