Curriculum Vitae

DR. KOH YOU BENG

Senior Lecturer
  • Institute of Mathematical Sciences
    Faculty of Science
  • kohyoubeng
  • 603-79674315
  • 012-6787176
  • 603-79674143
  • 603-79674143

AREAS OF EXPERTISE

  • TIME SERIES AND SPATIAL ANALYSIS TIME SERIES AND FORECASTING
    Formal Sciences, Statistical Studies, Statistics
  • BAYESIAN STATISTICS
    Formal Sciences, Statistical Studies, Statistics
  • MATHEMATICS IN FINANCIAL ENGINEERING
    Formal Sciences, Specialist Topics In Mathematics, Financial Mathematics

ACADEMIC QUALIFICATION

  • PhD (Financial Mathematics) (Hong Kong), (Financial Mathematics)
    The University of Hong Kong (hku), Hong Kong
  • MSc (Distinction) (Stat) (UM), (Statistics)
    Universiti Malaya (um)
  • BSc.(Hons) (Mathematical Economics) (UMS), (Mathematics With Economics)
    Universiti Malaysia Sabah (ums)

WORKING EXPERIENCE

  • 15 Jan 2007 -
    25 Dec 2007-
    Agency Nuclear Malaysia
    Agency Nuclear Malaysia
  • 01 Jan 2006 -
    31 Dec 2006-
    Help University
    Help University

AWARD AND STEWARDSHIP

  • Excellence Service Award
    2024, Universiti Malaya
  • Certificate of Excellent Service
    2020, Universiti Malaya
  • Certificate of Excellent Service
    2019, Universiti Malaya

PUBLICATIONS

Article in Journal
WoS
  1. De Khoo, Zhi; Ng, Kok Haur; Koh, You Beng; Ng, Kooi Huat (2024). Forecasting volatility of stock indices: Improved GARCH-type models through combined weighted volatility measure and weighted volatility indicators, NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE. 71. doi:10.1016/j.najef.2024.102112
  2. Ng, Ze-An; Koh, You-Beng; Loo, Tee-How; Yang, Hailiang (2024). Super-replication of life-contingent options under the Black-Scholes framework, JOURNAL OF APPLIED PROBABILITY. . doi:10.1017/jpr.2024.10
  3. Fo, Kee Wah; Ong, Seng Huat; Ng, Choung Min; Koh, You Beng (2023). An alternative hyper-Poisson integer-valued GARCH model with application to polio, internet protocol and COVID-19 data, AIMS MATHEMATICS. 8(12), 29116-29139. doi:10.3934/math.20231491
  4. Tan, Yiing Fei; Ng, Kok Haur; Koh, You Beng; Peiris, Shelton (2022). Modelling Trade Durations Using Dynamic Logarithmic Component ACD Model with Extended Generalised Inverse Gaussian Distribution, MATHEMATICS. 10(10). doi:10.3390/math10101621
  5. Zhou, Jing Jia; Ng, Kok Haur; Ng, Kooi Huat; Peiris, Shelton; Koh, You Beng (2022). Asymmetric Control Limits for Weighted-Variance Mean Control Chart with Different Scale Estimators under Weibull Distributed Process, MATHEMATICS. 10(22). doi:10.3390/math10224380
  6. Tan, C. Y., Koh, Y. B., Ng, K. H., & Ng, K. H. (2021). Dynamic volatility modelling of Bitcoin using time-varying transition probability Markov-switching GARCH model. North American Journal of Economics and Finance, 56, 17. doi: 10.1016/j.najef.2021.101377
  7. Tay, H. Z., Ng, K. H., Koh, Y. B., & Ng, K. H. (2020). MODEL SELECTION BASED ON VALUE-AT-RISK BACKTESTING APPROACH FOR GARCH-TYPE MODELS. Journal of Industrial and Management Optimization, 16(4), 1635-1654. doi: 10.3934/jimo.2019021
  8. Tay, Hao-Zhe; Ng, Kok-Haur; Koh, You-Beng; Ng, Kooi-Huat (2020). MODEL SELECTION BASED ON VALUE-AT-RISK BACKTESTING APPROACH FOR GARCH-TYPE MODELS, JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION. 16(4), 1635-1654. doi:10.3934/jimo.2019021
  9. Koh, Y. B., Bukhari, N. A., Mohamed, I. (2019). Parameter-driven state-space model for integer-valued time series with application. Journal of Statistical Computation and Simulation, 89(8), 1394-1409. doi:10.1080/00949655.2019.1582653
  10. Kok-Haur, N., You-Beng, K., Ah-Hin, P. (2019). MODELLING AND FORECASTING COUNT DATA WITH A MODEL BASED ON MULTIVARIATE POWER-NORMAL DISTRIBUTION: A COMPARATIVE STUDY WITH AN APPLICATION. Economic Computation and Economic Cybernetics Studies and Research, 53(3), 221-236. doi:10.24818/18423264/53.3.19.13
  11. Kok-Haur, Ng; You-Beng, Koh; Ah-Hin, Pooi (2019). MODELLING AND FORECASTING COUNT DATA WITH A MODEL BASED ON MULTIVARIATE POWER-NORMAL DISTRIBUTION: A COMPARATIVE STUDY WITH AN APPLICATION, ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH. 53(3), 221-236. doi:10.24818/18423264/53.3.19.13
Others
  1. Pooi, A. H., & Koh, Y. B. (2016). Prediction of the Start of Next Recession. Journal of Accounting, Finance and Economics, 6(1), 21-29.

RESEARCH INTEREST

  • Financial time series (Volatility models, ACD, Long-memory, High-frequency)
  • Discrete-valued time series (INGARCH, INAR, Overdispersion , Underdispersion )
  • Bayesian Analysis (Sequential Monte Carlo, Gibbs Sampling, Particle Filter)
  • Computational Statistics (Machine Learning, LSTM, SVM)

RESEARCH PROJECT

National
  1. 2015 - 2025, Fundamental Research Grant Scheme (FRGS)
    A Class Of Mixed Integer Time Series Models, Coherent Forecasting And Statistical Inference ( Co-Researcher)
  2. 2017 - 2025, Bantuan Khas Penyelidikan (BKP Special)
    Forecasting Of Financial Return Series Using Return Model : Stylized Facts And Distributional Assumption ( Principal Investigator(PI))
  3. 2021 - 2025, Fundamental Research Grant Scheme (FRGS)
    On The Hazard Function Of Duration Models Applied To High Frequency Financial Data ( Principal Investigator(PI))
  4. 2013 - 2016, Geran Penyelidikan Universiti Malaya (UMRG)
    On Higher Approximation In Generalized Urn Model (UMRG - RP009C-13AFR) ( Co-researcher)