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Tan, Shay Kee and Ng, Kok Haur and Chan, Jennifer So-Kuen (2023) Predicting returns, volatilities and correlations of stock indices using multivariate conditional autoregressive Range and return models. Mathematics, 11 (1). ISSN 2227-7390, DOI https://doi.org/10.3390/math11010013.
Tan, Shay Kee and Chan, Jennifer So Kuen and Ng, Kok Haur (2022) 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 and Econometrics, 26 (3). pp. 437-474. ISSN 1081-1826, DOI https://doi.org/10.1515/snde-2019-0101.
Tan, Shay Kee and Chan, Jennifer So Kuen and Ng, Kok Haur (2020) On the speculative nature of cryptocurrencies: A study on Garman and Klass volatility measure. Finance Research Letters, 32. p. 101075. ISSN 1544-6123, DOI https://doi.org/10.1016/j.frl.2018.12.023.
Tan, Shay Kee and Ng, Kok Haur and Chan, Jennifer So Kuen and Mohamed, Ibrahim (2019) Quantile range-based volatility measure for modelling and forecasting volatility using high frequency data. The North American Journal of Economics and Finance, 47. pp. 537-551. ISSN 1062-9408, DOI https://doi.org/10.1016/j.najef.2018.06.010.
