HighlightsAnthony S. Tay is a leading econometrician and empirical macroeconomist recognized for his influential research on financial econometrics, density forecasting, and market microstructure, with significant contributions to both theory and applied policy analysis.
Combines rigorous econometric methodology with practical applications in finance and macroeconomics; recognized for advancing density forecasting and high-frequency data analysis; impactful in both academic and policy-making circles; extensive collaboration with government agencies and international organizations.
Focused research areas include Development and evaluation of econometric models for forecasting and risk management; analysis of high-frequency financial data; modeling of transaction data and informed trading; macroeconomic uncertainty and forecast dispersion; volatility and spillover effects in equity markets.
Combines rigorous econometric methodology with practical applications in finance and macroeconomics; recognized for advancing density forecasting and high-frequency data analysis; impactful in both academic and policy-making circles; extensive collaboration with government agencies and international organizations.
Focused research areas include Development and evaluation of econometric models for forecasting and risk management; analysis of high-frequency financial data; modeling of transaction data and informed trading; macroeconomic uncertainty and forecast dispersion; volatility and spillover effects in equity markets.
Areas of Expertise
EconometricsForecastingEmpirical MacroeconomicsEmpirical Finance
Past Awarded Grant
- Consensus economics data, SMU Internal Grant - Specialised Database Funding, Ministry of Education (MOE) Tier 1, PI (Project Level): Anthony S TAY, 2015, S$13,719
- Macroeconomic Density Forecasts, SMU Internal Grant, Ministry of Education (MOE) Tier 1, PI (Project Level): Anthony S TAY, 2007, S$31,619.56
- Optimal Use of Economic Data Sampled at Different Frequencies, SMU Internal Grant, Ministry of Education (MOE) Tier 1, PI (Project Level): Anthony S TAY, 2005, S$30,512
- Global Volatility Dynamics, Financial Asset Return Predictability, and Market Timing: The U.S., Europe and Asia, SMU Internal Grant, Ministry of Education (MOE) Tier 1, PI (Project Level): Anthony S TAY, Co-PI (Project Level): TSE Yiu Kuen, 2004, S$55,299.44
- Nonparametric Conditional Density Estimation, with an Application to Stock Returns Volatility, SMU Internal Grant, Ministry of Education (MOE) Tier 1, PI (Project Level): Anthony S TAY, 2003, S$26,642
Latest Publications
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QUALIFICATIONS:
- Ph.D. Economics, University of Pennsylvania, 1997
- B.Soc.Sci (Hons), National University of Singapore, 1991
RESEARCH INTERESTS:
- Econometrics (Theory, Forecasting)
- Empirical Macroeconomics
- Empirical Finance