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ARCH model 5 ARCH-Modell 5 Volatility 5 Volatilität 5 Forecasting model 4 Prognoseverfahren 4 Risikomaß 4 Risk measure 4 Theorie 4 Theory 4 Bayes-Statistik 3 Bayesian inference 3 CARR model 3 Statistical distribution 3 Statistische Verteilung 3 Bayesian analysis 2 Börsenkurs 2 Capital income 2 Estimation 2 Estimation theory 2 Kapitaleinkommen 2 Schätztheorie 2 Schätzung 2 Share price 2 Stochastic process 2 Stochastischer Prozess 2 Time series analysis 2 Zeitreihenanalyse 2 Actuarial mathematics 1 CAPM 1 Conditional autoregressive range model 1 Cryptocurrencies 1 Estimating functions 1 GK measure 1 Generalised beta type II distribution 1 Generalized beta distribution 1 High frequency 1 Lebensversicherung 1 Life insurance 1 Loss reserve 1
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Article 9
Type of publication (narrower categories)
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Article in journal 8 Aufsatz in Zeitschrift 8
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English 8 Undetermined 1
Author
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Kok Haur Ng 6 Chan, Jennifer So Kuen 5 Tan, Shay Kee 3 Chan, Jennifer So-Kuen 2 Chan, Jennifer So-kuen 2 Peiris, Shelton 2 Allen, David E. 1 Dong, Alice Xiaodan D. 1 Ibrahim Mohamed 1 Kooi Huat Ng 1 Peters, Gareth 1 Ragell, Rachel 1 Thanakorn Nitithumbundit 1 Wan, Wai-Yin 1 Yan, Hongxuan 1
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 2 The North American journal of economics and finance : a journal of financial economics studies 2 Computational Statistics & Data Analysis 1 Finance research letters 1 Insurance / Mathematics & economics 1 International review of economics & finance : IREF 1 The journal of risk model validation 1
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Source
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ECONIS (ZBW) 8 RePEc 1
Showing 1 - 9 of 9
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Modelling and forecasting stock volatility and return : a new approach based on quantile Rogers-Satchell volatility measure with asymmetric bilinear CARR model
Tan, Shay Kee; Chan, Jennifer So Kuen; Kok Haur Ng - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 3, pp. 437-474
Persistent link: https://www.econbiz.de/10013334835
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Model risk in mortality-linked contingent claims pricing
Peters, Gareth; Yan, Hongxuan; Chan, Jennifer So Kuen - In: The journal of risk model validation 16 (2022) 3, pp. 1-53
Persistent link: https://www.econbiz.de/10014540592
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On the speculative nature of cryptocurrencies : a study on Garman and Klass volatility measure
Tan, Shay Kee; Chan, Jennifer So Kuen; Kok Haur Ng - In: Finance research letters 32 (2020), pp. 1-5
Persistent link: https://www.econbiz.de/10012430656
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Quantile range-based volatility measure for modelling and forecasting volatility using high frequency data
Tan, Shay Kee; Kok Haur Ng; Chan, Jennifer So Kuen; … - In: The North American journal of economics and finance : a … 47 (2019), pp. 537-551
Persistent link: https://www.econbiz.de/10012120126
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Efficient estimation of financial risk by regressing the quantiles of parametric distributions : an application to CARR models
Chan, Jennifer So Kuen; Kok Haur Ng; Thanakorn … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 2, pp. 1-22
Persistent link: https://www.econbiz.de/10012054882
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Bayesian return forecasts using realised range and asymmetric CARR model with various distribution assumptions
Chan, Jennifer So-Kuen; Kok Haur Ng; Ragell, Rachel - In: International review of economics & finance : IREF 61 (2019), pp. 188-212
Persistent link: https://www.econbiz.de/10012205409
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Efficient modelling and forecasting with range based volatility models and its application
Kok Haur Ng; Peiris, Shelton; Chan, Jennifer So-kuen; … - In: The North American journal of economics and finance : a … 42 (2017), pp. 448-460
Persistent link: https://www.econbiz.de/10011938162
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Bayesian analysis of loss reserving using dynamic models with generalized beta distribution
Dong, Alice Xiaodan D.; Chan, Jennifer So-kuen - In: Insurance / Mathematics & economics 53 (2013) 2, pp. 355-365
Persistent link: https://www.econbiz.de/10010195918
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Bayesian analysis of robust Poisson geometric process model using heavy-tailed distributions
Wan, Wai-Yin; Chan, Jennifer So-Kuen - In: Computational Statistics & Data Analysis 55 (2011) 1, pp. 687-702
We propose a robust Poisson geometric process model with heavy-tailed distributions to cope with the problem of outliers as it may lead to an overestimation of mean and variance resulting in inaccurate interpretations of the situations. Two heavy-tailed distributions namely Student's t and...
Persistent link: https://www.econbiz.de/10008864185
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