Kok Haur Ng

University of Malaya

Associate Professor

Kuala Lumpur, Kuala Lumpur 50603

Malaysia

SCHOLARLY PAPERS

2

DOWNLOADS

95

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Dynamic Volatility Modelling of Bitcoin Using Time-Varying Transition Probability Markov-Switching GARCH Model

Number of pages: 20 Posted: 08 May 2020
University of Malaya (UM) - Institute of Mathematical Sciences, University of Malaya, University of Malaya and Tunku Abdul Rahman University (UTAR)
Downloads 49 (439,070)

Abstract:

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Bitcoin, Volatility, Time-varying transition probability, Markov-switching, GARCH model.

2.

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
Downloads 46 (450,685)

Abstract:

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