Article

Aridi, Nor Azliana and Tan, Siow Hooi and Chin, Wen Cheong (2024) A comparative VaR analysis between low-frequency and high-frequency conditional EVT models during COVID-19 crisis. Cogent Economics & Finance, 12 (1). ISSN 2332-2039

Aridi, Nor Azliana and Tan, Siow Hooi and Chin, Wen Cheong (2023) THE VAR EVALUATION OF SHARIAH STOCK MARKET IN MALAYSIA DURING COVID-19 PANDEMIC BY USING CONDITIONAL EVT METHOD. International Journal of Business and Society, 24 (3). pp. 1079-1098. ISSN 1511-6670

Ng, Sew Lai and Chong, Lee Lee and Chin, Wen Cheong (2020) Realized volatility transmission within Islamic stock markets: A multivariate HAR-GARCH-type with nearest neighbor truncation estimator. Borsa Istanbul Review, 20 (1). S26-S39. ISSN 2214-8450

Ng, Sew Lai and Chong, Lee Lee and Chin, Wen Cheong (2019) Modelling Volatility in the Presence of Abrupt Jumps: Empirical Evidence from Islamic Stock Markets. International Journal Electronics and Management, 13 (1). pp. 93-109. ISSN 1823-836X

Chin, Wen Cheong and Lee, Min Cherng and Tan, Pei Pei (2017) Heterogenous market hypothesis evaluation using multipower variation volatility. Communications in Statistics - Simulation and Computation, 46 (8). pp. 6574-6587. ISSN 0361-0918

Kuek, Jia Sin and Chin, Wen Cheong and Tan, Siow Hooi (2017) Level shift two-components autoregressive conditional heteroscedasticity modelling for WTI crude oil market. AIP Conference Proceedings, 1830. 080006. ISSN 1551-7616

Chin, Wen Cheong and Lee, Min Cherng and Mohamed Isa, Nadira and Poo, Kuan Hoong (2017) The HARX-GJR-GARCH skewed-t multipower realized volatility modelling for S&P 500. Sains Malaysiana, 46 (1). pp. 107-116. ISSN 0126-6039

Chin, Wen Cheong and Tan,, Pei P. and Galagedera, Don U.A. (2014) A wavelet-based evaluation of time-varying long memory of equity markets: A paradigm in crisis. Physica A: Statistical Mechanics and its Applications, 410. pp. 345-358. ISSN 0378-4371

Tan, Kim Leng and Chin, Wen Cheong and Tan, Siow Hooi (2014) Impact of global financial crisis on stylized facts between energy markets and stock markets. AIP Conference Proceedings, 1602. p. 994. ISSN 1551-7616

Chin, Wen Cheong and Isa, Zaidi and Khor, Chia Ying and Ng, Siew Lai (2014) The value-at-risk evaluation of Brent’s crude oil market. AIP Conference Proceedings, 1602. pp. 1118-1125. ISSN 1551-7616

Chin, Wen Cheong and Ng, Siew Lai and Zaidi Isa, and Abu Hassan Shaari Mohd Nor, (2012) Asymmetry dynamic volatility forecast evaluations using interday and intraday data. Sains Malaysiana, 4 (10). pp. 1287-1299. ISSN E-ISSN: 0126-6039 Print ISSN: 0126-6039

Chin, Wen Cheong and Mohd Nor, Abu Hassan Shaari and Isa, Zaidi (2008) Market efficiency of the Malaysian Stock Exchange: further evidence. International Journal of Management Studies, 15 (2). pp. 41-67. ISSN Print ISSN: 0127-8983, E-ISSN: 2180-2467

Isa, Zaidi and Chin, Wen Cheong and Abu Hassan, S. M. N (2007) An empirical study of realized and long memory GARCH standardized stock-return. Applied Financial Economics Letters, 3 (2). pp. 121-127.

Conference or Workshop Item

Aridi, Nor Azliana and Tan, Siow Hooi and Chin, Wen Cheong (2023) A stylized facts comparison between low-frequency and high-frequency data of Brazil stock market index. In: 5th ISM International Statistical Conference 2021: Statistics in the Spotlight: Navigating the New Norm, ISM 2021, 15-17 Aug 2021.

Aridi, Nor Azliana and Tan, Siow Hooi and Chin, Wen Cheong (2022) Value-at-risk Quantile Forecast using GARCH-EVT and HAR-EVT Model. In: Postgraduate Social Science Colloquium 2022, 1 - 2 June 2022, Online.

Aridi, Nor Azliana and Tan, Siow Hooi and Chin, Wen Cheong (2021) Stylized Facts of Low-Frequency And High-Frequency Data of Global Stock Markets. In: 2nd Post Graduate Social Science Colloquium Proceedings 2021, 8-9 June 2021, Cyberjaya, Malaysia. (Submitted)