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Stephen Chan
Stephen Chan
Associate Professor, American University of Sharjah, Department of Mathematics and Statistics
Adresse e-mail validée de aus.edu - Page d'accueil
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GARCH modelling of cryptocurrencies
J Chu, S Chan, S Nadarajah, J Osterrieder
Journal of Risk and Financial Management 10 (4), 17, 2017
4502017
A statistical analysis of cryptocurrencies
S Chan, J Chu, S Nadarajah, J Osterrieder
Journal of Risk and Financial Management 10 (2), 12, 2017
2712017
Statistical analysis of the exchange rate of bitcoin
J Chu, S Nadarajah, S Chan
PloS one 10 (7), e0133678, 2015
2222015
Estimation methods for expected shortfall
S Nadarajah, B Zhang, S Chan
Quantitative Finance 14 (2), 271-291, 2014
1222014
The adaptive market hypothesis in the high frequency cryptocurrency market
J Chu, Y Zhang, S Chan
International Review of Financial Analysis 64, 221-231, 2019
1172019
Stylised facts for high frequency cryptocurrency data
Y Zhang, S Chan, J Chu, S Nadarajah
Physica A: Statistical Mechanics and Its Applications 513, 598-612, 2019
622019
A compendium of copulas
S Nadarajah, E Afuecheta, S Chan
Statistica 77 (4), 279-328, 2017
552017
High frequency momentum trading with cryptocurrencies
J Chu, S Chan, Y Zhang
Research in international business and finance 52, 101176, 2020
422020
On the market efficiency and liquidity of high-frequency cryptocurrencies in a bull and bear market
Y Zhang, S Chan, J Chu, H Sulieman
Journal of Risk and Financial Management 13 (1), 8, 2020
382020
An extreme value analysis of the tail relationships between returns and volumes for high frequency cryptocurrencies
S Chan, J Chu, Y Zhang, S Nadarajah
Research in International Business and Finance 59, 101541, 2022
342022
Count regression models for COVID-19
S Chan, J Chu, Y Zhang, S Nadarajah
Physica A: Statistical Mechanics and its Applications 563, 125460, 2021
322021
Blockchain and cryptocurrencies
S Chan, J Chu, Y Zhang, S Nadarajah
Journal of Risk and Financial Management 13 (10), 227, 2020
262020
GARCH modeling of five popular commodities
S Nadarajah, E Afuecheta, S Chan
Empirical Economics 48, 1691-1712, 2015
212015
Bitcoin versus high-performance technology stocks in diversifying against global stock market indices
J Chu, S Chan, Y Zhang
Physica A: Statistical Mechanics and its Applications 580, 126161, 2021
182021
Estimation methods for value at risk
S Nadarajah, S Chan
Extreme Events in Finance: A Handbook of Extreme Value Theory and its …, 2016
182016
The generalised hyperbolic distribution and its subclass in the analysis of a new era of cryptocurrencies: Ethereum and its financial risk
Y Zhang, J Chu, S Chan, B Chan
Physica A: Statistical Mechanics and its Applications 526, 120900, 2019
172019
A note on “Modelling exchange rate returns: Which flexible distribution to use?”
S Nadarajah, E Afuecheta, S Chan
Quantitative Finance 15 (11), 1777-1785, 2015
162015
On the distribution of maximum of multivariate normal random vectors
S Nadarajah, E Afuecheta, S Chan
Communications in Statistics-Theory and Methods 48 (10), 2425-2445, 2019
132019
Extreme value analysis of high‐frequency cryptocurrencies
Y Zhang, S Chan, S Nadarajah
High Frequency 2 (1), 61-69, 2019
132019
Tabulations for value at risk and expected shortfall
S Nadarajah, S Chan, E Afuecheta
Communications in Statistics-Theory and Methods 46 (12), 5956-5984, 2017
132017
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