Details about Chin Wen Cheong

Access statistics for papers by Chin Wen Cheong.

Last updated 2020-07-12. Update your information in the RePEc Author Service.

Short-id: pch1755

Journal Articles

2018

1. S&P500 volatility analysis using high-frequency multipower variation volatility proxies
   Empirical Economics, 2018, 54, (3), 1297-1318 View citations (1)

2017

2. Multivariate market risk evaluation between Malaysian Islamic stock index and sectoral indices
   Borsa Istanbul Review, 2017, 17, (1), 49-61 View citations (3)

2016

3. Heterogeneous Market Hypothesis Evaluations using Various Jump-Robust Realized Volatility
   Journal for Economic Forecasting, 2016, (4), 50-64 View citations (2)

2012

4. Asymmetric Fractionally Integrated Volatility Modelling of Asian Equity Markets under the Subprime Mortgage Crisis
   Journal of Quantitative Economics, 2012, 10, (1), 70-84

2010

5. A Variance Ratio Test of Random Walk in Energy Spot Markets
   Journal of Quantitative Economics, 2010, 8, (1), 105-117
6. Estimating the Hurst parameter in financial time series via heuristic approaches
   Journal of Applied Statistics, 2010, 37, (2), 201-214 View citations (5)
7. Optimal choice of sample fraction in univariate financial tail index estimation
   Journal of Applied Statistics, 2010, 37, (12), 2043-2056 View citations (1)

2009

8. Modeling and forecasting crude oil markets using ARCH-type models
   Energy Policy, 2009, 37, (6), 2346-2355 View citations (128)

2008

9. Heavy-tailed value-at-risk analysis for Malaysian stock exchange
   Physica A: Statistical Mechanics and its Applications, 2008, 387, (16), 4285-4298 View citations (9)
10. Time-varying volatility in Malaysian stock exchange: An empirical study using multiple-volatility-shift fractionally integrated model
    Physica A: Statistical Mechanics and its Applications, 2008, 387, (4), 889-898 View citations (8)

2007

11. Asymmetry and long-memory volatility: Some empirical evidence using GARCH
    Physica A: Statistical Mechanics and its Applications, 2007, 373, (C), 651-664 View citations (16)
12. Statistical Evaluation of Market Barometer in Malaysian Stock Market
    The IUP Journal of Financial Economics, 2007, V, (3), 7-27