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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

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

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

In this article, we study the standardized returns by using the realized volatility and long-memory GARCH models. The various normality tests indicate that the realized-standardized returns follow a Gaussian distribution. On the other hand, the standardized returns by GARCH models are able to...

Persistent link: https://www.econbiz.de/10004988347

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

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

Persistent link: https://www.econbiz.de/10009927444

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

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

Persistent link: https://www.econbiz.de/10009927472

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

Asymmetry and long-memory volatility: Some empirical evidence using GARCH

Wen Cheong, Chin; Hassan Shaari Mohd Nor, Abu; Isa, Zaidi - In: Physica A: Statistical Mechanics and its Applications 373 (2007) C, pp. 651-664

This paper investigates the asymmetry and long-memory volatility behavior of the Malaysian Stock Exchange daily data over a period of 1991–2005. The long-spanning data set enable us to examine piecewise before, during and after the economic crisis encountered in the Malaysian stock market. The...

Persistent link: https://www.econbiz.de/10010591197

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

Predicting the probability of financial crisis in emerging countries using an early warning system : artificial neural network

Paria Assadolahi <Nik>; Jusoh, Mansour; Abu Hassan … - In: Journal of economic cooperation & development 37 (2016) 1, pp. 25-40

Persistent link: https://www.econbiz.de/10011526618