Details about Ng Kok Haur

Access statistics for papers by Ng Kok Haur.

Last updated 2023-01-06. Update your information in the RePEc Author Service.

Short-id: png260

Working Papers

2019

1. Structural Change Analysis of Active Cryptocurrency Market
   Papers, arXiv.org View citations (2)

Journal Articles

2022

1. Asymmetric Control Limits for Weighted-Variance Mean Control Chart with Different Scale Estimators under Weibull Distributed Process
   Mathematics, 2022, 10, (22), 1-15
2. Modelling Trade Durations Using Dynamic Logarithmic Component ACD Model with Extended Generalised Inverse Gaussian Distribution
   Mathematics, 2022, 10, (10), 1-20 View citations (1)
3. Modelling and forecasting stock volatility and return: a new approach based on quantile Rogers–Satchell volatility measure with asymmetric bilinear CARR model
   Studies in Nonlinear Dynamics & Econometrics, 2022, 26, (3), 437-474 View citations (2)
4. Predicting Returns, Volatilities and Correlations of Stock Indices Using Multivariate Conditional Autoregressive Range and Return Models
   Mathematics, 2022, 11, (1), 1-24

2021

5. Dynamic volatility modelling of Bitcoin using time-varying transition probability Markov-switching GARCH model
   The North American Journal of Economics and Finance, 2021, 56, (C) View citations (6)

2020

6. On the speculative nature of cryptocurrencies: A study on Garman and Klass volatility measure
   Finance Research Letters, 2020, 32, (C) View citations (22)

2019

7. Bayesian return forecasts using realised range and asymmetric CARR model with various distribution assumptions
   International Review of Economics & Finance, 2019, 61, (C), 188-212 View citations (4)
8. Efficient estimation of financial risk by regressing the quantiles of parametric distributions: An application to CARR models
   Studies in Nonlinear Dynamics & Econometrics, 2019, 23, (2), 22 View citations (1)
9. Quantile range-based volatility measure for modelling and forecasting volatility using high frequency data
   The North American Journal of Economics and Finance, 2019, 47, (C), 537-551 View citations (8)

2017

10. Efficient modelling and forecasting with range based volatility models and its application
    The North American Journal of Economics and Finance, 2017, 42, (C), 448-460 View citations (4)

2016

11. Modelling and Forecasting with Financial Duration Data Using Non-linear Model
    ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, 2016, 50, (2), 79-92

2013

12. Estimating and simulating Weibull models of risk or price durations: An application to ACD models
    The North American Journal of Economics and Finance, 2013, 25, (C), 214-225 View citations (11)
13. The efficient modelling of high frequency transaction data: A new application of estimating functions in financial economics
    Economics Letters, 2013, 120, (1), 117-122 View citations (1)