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Recovering default risk from CDS spreads with a nonlinear filter

Guarin, Alexander; Liu, Xiaoquan; Wing Lon Ng - In: Journal of economic dynamics & control 38 (2014), pp. 87-104

Persistent link: https://www.econbiz.de/10010387855

Intraday high-frequency FX trading with adaptive neuro-fuzzy inference systems

Kablan, Abdalla; Wing Lon Ng - In: International journal of financial markets and derivatives 2 (2011) 1/2, pp. 68-87

Persistent link: https://www.econbiz.de/10008933515

Extreme spillover effects of volatility indices

Yue Peng; Wing Lon Ng - In: Journal of economic research 17 (2012) 1, pp. 1-17

Persistent link: https://www.econbiz.de/10009577613

Ökonometrische Modellierung von Durationsprozessen ultra-hoch frequenter Orderbuchdaten

Ng, Wing Lon - 2005

Persistent link: https://www.econbiz.de/10003294866

Analysis of ultra-high-frequency financial data using advanced Fourier transforms

Giampaoli, Iacopo; Wing Lon Ng; Constantinou, Nick - In: Finance research letters 6 (2009) 1, pp. 47-53

Persistent link: https://www.econbiz.de/10003834761

Overreaction and multiple tail dependence at the high-frequency level : the copula rose

Ng, Wing Lon (contributor) - 2006

This paper applies a non- and a semiparametric copula-based approach to analyze the first-order autocorrelation of returns in high frequency financial time series. Using the EUREX D3047 tick data from the German stock index, it can be shown that the temporal dependence structure of price...

Persistent link: https://www.econbiz.de/10003402780

ACD-Modelle

Ng, Wing Lon - In: Wirtschaftswissenschaftliches Studium : WiSt ; … 36 (2007) 8, pp. 400-404

Persistent link: https://www.econbiz.de/10003520558

A dynamic fuzzy money management approach for controlling the intraday risk-adjusted performance of AI trading algorithms

Vella, Vince; Wing Lon Ng - In: Intelligent systems in accounting finance and … 22 (2015) 2, pp. 153-178

Persistent link: https://www.econbiz.de/10011407132

Cross-sectional volatility index as a proxy for the VIX in an Asian market

Fadzil, Futeri Jazeilya Md; O’Hara, John G.; Wing Lon Ng - In: Cogent economics & finance 5 (2017) 1, pp. 1-15

We present a cross-sectional volatility index (CSV) applied to an Asian market as an alternative to the VIX. One problem with the construction of a VIX-styled index is that it depends on the price of calls and puts, however, the CSV index may be applied to measure the volatility when no...

Persistent link: https://www.econbiz.de/10011884520

Minimizing Basel III capital requirements with unconditional coverage constraint

Kleinknecht, Manuel; Wing Lon Ng - In: Intelligent systems in accounting finance and … 22 (2015) 4, pp. 263-281

Persistent link: https://www.econbiz.de/10011536590