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The impact of structural break to permanent and transitory components of Malaysian stock market

Chin, Wen Cheong; Isa, Zaidi; Abu Hassan Shaari Mohd Nor - In: Journal of quantitative economics : official journal of … 5 (2007) 2, pp. 83-94

Persistent link: https://www.econbiz.de/10003789602

An empirical study of realized and long-memory GARCH standardized stock-return

Chin, Wen Cheong; Abu Hassan Shaari Mohd Nor; Isa, Zaidi - In: Applied financial economics letters 3 (2007) 2, pp. 121-127

Persistent link: https://www.econbiz.de/10003540293

A comparative VaR analysis between low-frequency and high-frequency conditional EVT models during COVID-19 crisis

Nor Azliana Aridi; Hooi, Tan Siow; Cheong, Chin Wen - In: Cogent economics & finance 12 (2024) 1, pp. 1-19

The aim of this paper is to assess whether the availability of high-frequency data enhances the accuracy of extreme market risk estimation in comparison to low-frequency data by using Value-at-risk (VaR) and Expected shortfall (ES). The sample data used for analysis comprised the daily closing...

Persistent link: https://www.econbiz.de/10015359301

Regime shifts in asymmetric GARCH models assuming heavy-tailed distribution : evidence from GCC stock markets

Alfreedi, Ajab A.; Isa, Zaidi; Hassan, Abu - In: Journal of statistical and econometric methods 1 (2012) 1, pp. 43-76

In this study, we have investigated GCC stock market volatilities exploiting a number of asymmetric models (EGARCH, ICSS-EGARCH, GJR-GARCH, and ICSS-GJR-GARCH).This paper uses the weekly data over the period 2003-2010. The ICSS-EGARCH and ICSS-GJR-GARCH models take into account the discrete...

Persistent link: https://www.econbiz.de/10009769997

Macroeconomic determinants of stock market volatility : an empirical study of Malaysia and Indonesia

Nikmanesh, Lida; Abu Hassan Shaari Mohd Nor - In: Asian Academy of Management journal : AAMJ 21 (2016) 1, pp. 161-180

Persistent link: https://www.econbiz.de/10011665273

Long-memory dynamic power volatility and market risk evaluation of Brent crude oil markets

Chin, Wen Cheong - In: The Journal of energy and development 36 (2010/11) 1/2, pp. 243-272

Persistent link: https://www.econbiz.de/10009666074

Asymmetric fractionally integrated volatility modelling of Asian equity markets under the subprime mortgage crisis

Chin, Wen Cheong; Ng Sew Lai; Nurul Afidah Mohmad Yusof; … - In: Journal of quantitative economics : official journal of … 10 (2012) 1, pp. 70-84

Persistent link: https://www.econbiz.de/10010338429