ARTICLE IN ACADEMIC JOURNALS
NO | DETAILS OF ARTICLE IN ACADEMIC JOURNALS |
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1. |
Predicting Returns, Volatilities and Correlations of Stock Indices Using Multivariate Conditional Autoregressive Range and Return Models
2023
Author(s) : Ng Kok Haur Source : MATHEMATICS DOI : 10.3390/math11010013 |
2. |
Modelling Trade Durations Using Dynamic Logarithmic Component ACD Model with Extended Generalised Inverse Gaussian Distribution
2022
Author(s) : Ng Kok Haur,Koh You Beng Source : MATHEMATICS DOI : 10.3390/math10101621 |
3. |
Modelling and forecasting stock volatility and return: a new approach based on quantile Rogers-Satchell volatility measure with asymmetric bilinear CARR model
2022
Author(s) : Ng Kok Haur Source : STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS DOI : 10.1515/snde-2019-0101 |
4. |
Asymmetric Control Limits for Weighted-Variance Mean Control Chart with Different Scale Estimators under Weibull Distributed Process
2022
Author(s) : Ng Kok Haur,Koh You Beng Source : MATHEMATICS DOI : 10.3390/math10224380 |
5. |
STRUCTURAL CHANGE ANALYSIS OF ACTIVE CRYPTOCURRENCY MARKET
2022
Author(s) : Ng Kok Haur Source : Asian Academy of Management Journal of Accounting and Finance DOI : 10.21315/aamjaf2022.18.2.4 |
6. |
Dynamic volatility modelling of Bitcoin using time-varying transition probability Markov-switching GARCH model
2021
Author(s) : Ng Kok Haur,Koh You Beng Source : NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE DOI : 10.1016/j.najef.2021.101377 |
7. |
MODEL SELECTION BASED ON VALUE-AT-RISK BACKTESTING APPROACH FOR GARCH-TYPE MODELS
2020
Author(s) : Ng Kok Haur,Koh You Beng Source : JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION |
8. |
On the speculative nature of cryptocurrencies: A study on Garman and Klass volatility measure
2020
Author(s) : Ng Kok Haur,Tan Shay Kee Source : FINANCE RESEARCH LETTERS DOI : 10.1016/j.frl.2018.12.023 |
9. |
Efficient estimation of financial risk by regressing the quantiles of parametric distributions: An application to CARR models
2019
Author(s) : Ng Kok Haur Source : STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS DOI : 10.1515/snde-2017-0012 |
10. |
Quantile range-based volatility measure for modelling and forecasting volatility using high frequency data
2019
Author(s) : Ng Kok Haur Source : NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE DOI : 10.1016/j.najef.2018.06.010 |
11. |
MODELLING AND FORECASTING COUNT DATA WITH A MODEL BASED ON MULTIVARIATE POWER-NORMAL DISTRIBUTION: A COMPARATIVE STUDY WITH AN APPLICATION
2019
Author(s) : Ng Kok Haur,Koh You Beng Source : ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH DOI : 10.24818/18423264/53.3.19.13 |
12. |
Bayesian return forecasts using realised range and asymmetric CARR model with various distribution assumptions
2019
Author(s) : Ng Kok Haur Source : INTERNATIONAL REVIEW OF ECONOMICS & FINANCE DOI : 10.1016/j.iref.2019.01.003 |
13. |
Efficient estimation in ZIP models with applications to count data
2018
Author(s) : Ng Kok Haur Source : KUWAIT JOURNAL OF SCIENCE |
14. |
CHANGE POINT DETECTION OF ROBUST INDIVIDUALS CONTROL CHART
2017
Author(s) : Ng Kok Haur Source : INTERNATIONAL JOURNAL OF INDUSTRIAL ENGINEERING-THEORY APPLICATIONS AND PRACTICE |
15. |
Fludarabine, High Dose Cytarabine and Granulocyte Colony-Stimulating Factor (FLAG) as Consolidation Chemotherapy in Older Patients with Acute Myeloid Leukemia: A Retrospective Cohort Study
2017
Author(s) : Nor Aishah Binti Hamzah,Ng Kok Haur Source : INDIAN JOURNAL OF HEMATOLOGY AND BLOOD TRANSFUSION |
16. |
Efficient modelling and forecasting with range based volatility models and its application
2017
Author(s) : Ng Kok Haur Source : NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE |
17. |
MODELLING AND FORECASTING WITH FINANCIAL DURATION DATA USING NON-LINEAR MODEL
2016
Author(s) : Ng Kok Haur Source : Economic Computation and Economic Cybernetics Studies and Research |
18. |
Estimation and forecasting with logarithmic autoregressive conditional duration models: A comparative study with an application
2014
Author(s) : Ng Kok Haur Source : Expert Systems with Applications |
19. |
The efficient modelling of high frequency transaction data: A new application of estimating functions in financial economics
2013
Author(s) : Ng Kok Haur Source : Economics Letters |
20. |
Estimating and simulating Weibull models of risk or price durations: An application to ACD models
2013
Author(s) : Ng Kok Haur Source : North American Journal of Economics and Finance |
21. |
Calibration intervals in linear regression models
2008
Author(s) : Pooi Ah Hin @ Poi Yin Siak,Ng Kok Haur Source : COMMUNICATIONS IN STATISTICS-THEORY AND METHODS |
PROCEEDING
NO | DETAILS OF PROCEEDING |
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RESEARCH PROJECT
GRANT | PROGRESS | STATUS |
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Asymmetric Multivariate Realised Range-based Volatility And Return Models For Predicting Volatilities, Correlations And Returns In Financial Markets Using High-frequency Data
Researcher(s) : Dr. Koh You Beng,Jennifer So-kuen Chan,Ng Kooi Huat,Mahatelge Shelton Peiris
(Fundamental Research Grant Scheme (FRGS)) |
|
new |
Modelling And Forecasting Volatility Using High Frequency Financial Data
Researcher(s) : Prof. Dr. Ibrahim Bin Mohamed,Shelton Peiris,Ng Kooi Huat,Jennifer So-kuen Chan
(Fundamental Research Grant Scheme (FRGS)) |
|
end |
Estimation and Statistical Inference for Financial Time Series Models
Researcher(s) : -
(Postgraduate Research Grant (PPP) - Research) |
|
end |
Forecasting Of Financial Volatility: The Role Of Realised Range-based Measures Augmented With Its Asymmetry And Distributional Assumptions
(Bantuan Khas Penyelidikan (BKP Special)) |
|
end |
On Estimation and Statistical Inference for Volatility Models in Finance
Researcher(s) : Dr. Wu Swee Leng,Shelton Peiris,Ng Kooi Huat,So-kuen Jeniffer Chan
(Geran Penyelidikan Universiti Malaya (UMRG) - AFR (Frontier Science)) |
|
end |
Monitoring Process Shifts Using Robust Control Charts With Augmented Diagnostic Tools in The Presence of Contaimination
(Fundamental Research Grant Scheme (FRGS)) |
|
end |
RESEARCH COLLABORATOR
GRANT | PROGRESS | STATUS |
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On The Hazard Function Of Duration Models Applied To High Frequency Financial Data
Researcher(s) : Associate Prof. Dr. Ng Kok Haur,Ng Kooi Huat,Jennifer So-kuen Chan,Mahatelge Shelton Peiris
(Fundamental Research Grant Scheme (FRGS)) |
|
on going |
Forecasting Of Financial Return Series Using Return Model : Stylized Facts And Distributional Assumption
Researcher(s) : Associate Prof. Dr. Ng Kok Haur
(Bantuan Khas Penyelidikan (BKP Special)) |
|
end |
Characterizing The Potential Human Health Risk Of Pops From Consumption Of Seafood And Exposure To Contaminated Sediments And Water In Malaysia Aquatic Environment
Researcher(s) : Associate Prof. Dr. Ng Kok Haur,Dr. Pozi Anak Milow
(Geran Penyelidikan Universiti Malaya (UMRG Programme) - SUS (Sustainability Science)) |
|
end |
Measures Of Dependence And Its Applications In Risk Management
Researcher(s) : Associate Prof. Dr. Ng Kok Haur,Mr. Chong Chin Sieng
(Fundamental Research Grant Scheme (FRGS)) |
|
end |
Confidence Interval And Prediction Interval For The Parameters In Simples Logistic Regression Models
Researcher(s) : Associate Prof. Dr. Ng Kok Haur
(Geran Penyelidikan Universiti Malaya (UMRG) - AFR (Frontier Science)) |
|
end |