Browsing by Author Ng, K H

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Issue DateTitleAuthor(s)Citation
2011Efficient Estimation of Autoregressive Conditional Duration (ACD) Models using Estimating Functions (EF)Peiris, Mahatelge (Shelton); Lai, S Y; Ng, K H; Tiew, C S; Mathematics & StatisticsEfficient Estimation of Autoregressive Conditional Duration (ACD) Models using Estimating Functions (EF), Proceedings of the International Statistics Conference 2011: Statistical Concepts and Methods for the Modern World, vol.N/A, 2011, pp. 122-134
2017Efficient modelling and forecasting with range based volatility models and its applicationAllen, David; Chan, Jennifer; Peiris, Mahatelge Shelton; Ng, K H; Ng, Kooi Huat; Mathematics & Statistics; Mathematics & Statistics; Mathematics & StatisticsEfficient modelling and forecasting with range based volatility models and its application, North American Journal of Economics and Finance, vol.42, N/A, 2017,pp 448-460
2013The efficient modelling of high frequency transaction data: A new application of estimating functions in financial economicsPeiris, Shelton (Mahatelge); Allen, David E.; Ng, K H; Mathematics & StatisticsThe efficient modelling of high frequency transaction data: A new application of estimating functions in financial economics, Economics Letters, vol.120, N/A, 2013,pp 117-122
2013Estimating and simulating Weibull models of risk or price durations: An application to ACD modelsPeiris, Shelton (Mahatelge); Allen, David E.; Ng, K H; Mathematics & StatisticsEstimating and simulating Weibull models of risk or price durations: An application to ACD models, The North American Journal of Economics and Finance, vol.25, N/A, 2013,pp 214-225
2014Estimation and forecasting with logarithmic autoregressive conditional duration models: A comparative study with an applicationGerlach, Richard; Peiris, Mahatelge Shelton; Ng, K H; Business Analytics; Mathematics & StatisticsEstimation and forecasting with logarithmic autoregressive conditional duration models: A comparative study with an application, Expert Systems with Applications, vol.41, 7, 2014,pp 3323-3332
2013Modelling High Frequency Transaction Data in Financial Economics: A Comparative Study Based on SimulationsPeiris, Shelton (Mahatelge); Ng, K H; Mathematics & StatisticsModelling High Frequency Transaction Data in Financial Economics: A Comparative Study Based on Simulations, Journal of Economic Computation and Economic Cybernetics Studies and Research, vol.47, 2, 2013,pp 189-201
2015Modelling the risk or price durations in financial markets: quadratic estimating functions and applicationsPeiris, Mahatelge Shelton; Ng, K H; Ng, Kooi-Huat; Thavaneswaran, A.; Mathematics & StatisticsModelling the risk or price durations in financial markets: quadratic estimating functions and applications, Economic Computation and Economic Cybernetics Studies and Research, vol.49, 1, 2015,pp 223-237
2009On Estimation of Autoregressive Conditional Duration (ACD) Models Based on Different Error DistributionsPeiris, Mahatelge Shelton; Ng, K H; Pathmanathan, Nirmala; Mathematics & StatisticsOn Estimation of Autoregressive Conditional Duration (ACD) Models Based on Different Error Distributions, Sri Lankan Journal of Applied Statistics, vol.10, N/A, 2009,pp 251-269
2007A review of recent developments of financial time series: ACD modelling using the estimating function approachPeiris, Mahatelge (Shelton); Mohamed, I B; Ng, K H; Mathematics & StatisticsA review of recent developments of financial time series: ACD modelling using the estimating function approach, Sri Lankan Journal of Applied Statistics, vol.8,(N/A),2007,pp 1-17