Zobrazeno 1 - 10
of 69
pro vyhledávání: '"Kok Haur Ng"'
Publikováno v:
Heliyon, Vol 10, Iss 15, Pp e35379- (2024)
This paper establishes a fractional-order economic growth model to model the gross domestic product (GDP). The fractional-order model consists of a differential equation of integer and fractional orders, where the GDP is a function of several explora
Externí odkaz:
https://doaj.org/article/be26a6ccc6144b13ab4a0e215313cbec
Publikováno v:
Songklanakarin Journal of Science and Technology (SJST), Vol 43, Iss 6, Pp 1610-1619 (2021)
Shewhart chart is typically formed under normality assumptions. In reality, much data is contaminated with occasional outliers, which may diminish the Shewhart chart’s sensitivity. Hence, robust charts are introduced as outlier-resistant and robus
Externí odkaz:
https://doaj.org/article/ad2c15ed61474ca49e9159dbea072e06
Publikováno v:
Mathematics, Vol 11, Iss 1, p 13 (2022)
This paper extends the conditional autoregressive range (CARR) model to the multivariate CARR (MCARR) model and further to the two-stage MCARR-return model to model and forecast volatilities, correlations and returns of multiple financial assets. The
Externí odkaz:
https://doaj.org/article/c0b8c946db64410c8493e231e44b4e83
Publikováno v:
Mathematics, Vol 10, Iss 22, p 4380 (2022)
Shewhart charts are the most commonly utilised control charts for process monitoring in industries with the assumption that the underlying distribution of the quality characteristic is normal. However, this assumption may not always hold true in prac
Externí odkaz:
https://doaj.org/article/a6d48854832c4ec696cb1840729dc17e
Publikováno v:
Mathematics, Vol 10, Iss 10, p 1621 (2022)
This paper proposes a logarithmic version of the two-component ACD (LogCACD) model with no restrictions on the sign of the model parameters while allowing the expected durations to be decomposed into the long- and short-run components to capture the
Externí odkaz:
https://doaj.org/article/fe0f1a6e84a64c9e995f02658ff406cb
Publikováno v:
Studies in Nonlinear Dynamics & Econometrics. 26:437-474
This paper proposes quantile Rogers–Satchell (QRS) measure to ensure robustness to intraday extreme prices. We add an efficient term to correct the downward bias of Rogers–Satchell (RS) measure and provide scaling factors for different interquant
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e6630de3f355bdf754ca1c99a8e4c4c2
https://doi.org/10.1515/snde-2019-0101
https://doi.org/10.1515/snde-2019-0101
Publikováno v:
Journal of Industrial & Management Optimization. 16:1635-1654
This paper aims to investigate the efficiency of the value-at-risk (VaR) backtests in the model selection from different types of generalised autoregressive conditional heteroskedasticity (GARCH) models with skewed and non-skewed innovation distribut
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9ee53301633bdd3c34ce33a0813e339f
https://doi.org/10.3934/jimo.2019021
https://doi.org/10.3934/jimo.2019021
Autor:
KOK-HAUR, Ng1 kokhaur@um.edu.my, YOU-BENG, Koh1 kohyoubeng@um.edu.my, AH-HIN, Pooi2 ahhinp@sunway.edu.my
Publikováno v:
Economic Computation & Economic Cybernetics Studies & Research. 2019, Vol. 53 Issue 3, p221-236. 16p.
Autor:
Kuen Chan, Jennifer So1 jchan@maths.usyd.edu.au, Kok-Haur Ng2, Nitithumbundit, Thanakorn1, Peiris, Shelton1
Publikováno v:
Studies in Nonlinear Dynamics & Econometrics. Apr2019, Vol. 23 Issue 2, p1-22. 22p.
Publikováno v:
International Review of Economics & Finance. 61:188-212
A popular technique for measuring financial risk is to apply generalised autoregressive conditional heteroskedastic (GARCH)-type models to return-based time series. However recent studies are more focused on estimating volatility using the realised r
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::518d96ab3aad757f53b7d64284f3f100
https://doi.org/10.1016/j.iref.2019.01.003
https://doi.org/10.1016/j.iref.2019.01.003