Shay Kee Tan

University of Malaya (UM) - Institute of Mathematical Sciences

Kuala Lumpur, Kuala Lumpur 50603

Malaysia

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Scholarly Papers (1)

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Modelling and Forecasting Stock Volatility and Return: A New Approach Based on Quantile Rogers-Satchell Volatility Measure With Asymmetric Bilinear CARR Model

Number of pages: 41 Posted: 18 Feb 2020
Shay Kee Tan, Jennifer Chan and Kok Haur Ng
University of Malaya (UM) - Institute of Mathematical Sciences, The University of Sydney - School of Mathematics and Statistics and University of Malaya
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Abstract:

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Volatility, Range-based, Quantile Rogers-Satchell, CARR Model, Value-at-Risk