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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

Modelling financial observable-volatility using long memory models

Chin, Wen Cheong; Isa, Zaidi; Abu Hassan Shaari Mohd Nor - In: Applied financial economics letters 3 (2007) 3, pp. 201-208

Persistent link: https://www.econbiz.de/10003540384

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

Predicting exchange rates using a novel "cointegration based neuro-fuzzy system"

Gharleghi, Behrooz; Abu Hassan Shaari Mohd Nor; … - In: International economics : a journal published by CEPII … 137 (2014), pp. 88-103

Persistent link: https://www.econbiz.de/10011620048

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

S&P500 volatility analysis using high-frequency multipower variation volatility proxies

Chin, Wen Cheong; Lee, Min Cherng - In: Empirical economics : a journal of the Institute for … 54 (2018) 3, pp. 1297-1318

Persistent link: https://www.econbiz.de/10011949524

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