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CURRICULUM VITAE

DR. KOH YOU BENG
DR. KOH YOU BENG
Senior Lecturer
Institute of Mathematical Sciences
Faculty of Science
603-79674315
603-79674143
012-6787176
ResearcherID
Scopus Author ID
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ORCID ID
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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. Kow, PE; Koh, YB; Ng, KH; Yang, HL (2026). A correlated Heston's stochastic volatility model: A binomial tree approach, JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION. 22(5), 2181-2207. doi:10.3934/jimo.2026080
  2. Tan, YF; Koh, YB; Ng, KH (2026). Forecasting High-Frequency Trade Durations: A Regime-Switching Approach With Flexible Hazard Functions, APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY. 42(2). doi:10.1002/asmb.70083
  3. De Khoo, Z; Ng, KH; Koh, YB; Ng, KH (2025). Forecasting financial volatility: An approach based on Parkinson volatility measure with long memory stochastic range model, JOURNAL OF EMPIRICAL FINANCE. 82. doi:10.1016/j.jempfin.2025.101617
  4. Khoo, ZD; Koh, YB; Ng, KH; Ng, KH (2025). Long memory tempered stochastic range model, COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION. . doi:10.1080/03610918.2025.2588633
  5. Ng, KX; Ng, KH; Ng, KH; Liew, JY; Koh, YB (2025). An improved control chart for monitoring fraction nonconforming based on the generalized beta distribution of the first kind, COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION. . doi:10.1080/03610918.2025.2499058
  6. Xiao, YF; Lau, WY; Koh, YB (2025). DOES PROSPECT THEORY HAVE A CYCLICAL IMPACT ON STOCK RETURNS IN CHINA? EVIDENCE FROM CHINA'S A-SHARE AND B-SHARE MARKETS, SINGAPORE ECONOMIC REVIEW. . doi:10.1142/S0217590825500407
  7. 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
  8. 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
  9. 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
  10. 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
  11. 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
  12. 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
  13. 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
  14. 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
  15. 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
  16. 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
  17. 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. 2021 - 2024, Fundamental Research Grant Scheme (FRGS)
    On The Hazard Function Of Duration Models Applied To High Frequency Financial Data ( Principal Investigator(PI))
  2. 2015 - 2019, Fundamental Research Grant Scheme (FRGS)
    A Class Of Mixed Integer Time Series Models, Coherent Forecasting And Statistical Inference ( Co-Researcher)
  3. 2017 - 2019, Bantuan Khas Penyelidikan (BKP Special)
    Forecasting Of Financial Return Series Using Return Model : Stylized Facts And Distributional Assumption ( Principal Investigator(PI))
  4. 2013 - 2016, Geran Penyelidikan Universiti Malaya (UMRG)
    On Higher Approximation In Generalized Urn Model (UMRG - RP009C-13AFR) ( Co-researcher)