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Forecasting stock exchange in the presence of long memory and occasional structural changes

Chin, Wen Cheong; Zaidi Bin Isa; Abu Hassan Shaari Mohd Nor - In: Journal of quantitative economics : official journal of … 7 (2009) 1, pp. 48-59

Persistent link: https://www.econbiz.de/10009153694

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

A study of nonlinear relationships between world oil price and Malaysian stock price

Mohd Tahir Ismail; Zaidi Isa - In: Journal of international economic review 7 (2014) 1, pp. 63-76

Persistent link: https://www.econbiz.de/10010422082

Initial performance of new issues of shares in Malaysia

Othman Yong; Isa, Zaidi - In: Applied economics 35 (2003) 8, pp. 919-930

Persistent link: https://www.econbiz.de/10001761630

Comovements and linkages of emerging stock markets : a case study from OIC member countries

Ergun, Ugur; Abu Hassan Shaari Mohd Nor - In: Journal of economic cooperation & development 30 (2009) 4, pp. 105-120

Persistent link: https://www.econbiz.de/10009267908

Contagion effect of seasonality in the ASEAN plus 3 equity markets

Abd-Rahim, Ruzita; Abu Hassan Shaari Mohd Nor - In: Jurnal ekonomi Malaysia 41 (2007), pp. 111-134

Persistent link: https://www.econbiz.de/10003809314

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

Causality-in-variance between the stock market and macroeconomic variables in Singapore

Nikmanesh, Lida; Abu Hassan Shaari Mohd Nor - In: The Singapore economic review : journal of the Economic … 64 (2019) 5, pp. 1299-1317

Persistent link: https://www.econbiz.de/10012295205

The Hurst parameter evaluations of Asian financial equity markets

Chin, Wen Cheong; Ng Sew Lai; Nurul Afidah Mohmad Yusof; … - In: The empirical economics letters : a monthly … 11 (2012) 3, pp. 257-264

Persistent link: https://www.econbiz.de/10009758217