Stephen Chan
Stephen Chan
Assistant Professor, American University of Sharjah, Department of Mathematics and Statistics
Verified email at aus.edu - Homepage
Title
Cited by
Cited by
Year
GARCH modelling of cryptocurrencies
J Chu, S Chan, S Nadarajah, J Osterrieder
Journal of Risk and Financial Management 10 (4), 17, 2017
2592017
A statistical analysis of cryptocurrencies
S Chan, J Chu, S Nadarajah, J Osterrieder
Journal of Risk and Financial Management 10 (2), 12, 2017
1832017
Statistical analysis of the exchange rate of bitcoin
J Chu, S Nadarajah, S Chan
PloS one 10 (7), e0133678, 2015
1632015
Estimation methods for expected shortfall
S Nadarajah, B Zhang, S Chan
Quantitative Finance 14 (2), 271-291, 2014
822014
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
382019
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
332019
A compendium of copulas
S Nadarajah, E Afuecheta, S Chan
Statistica 77 (4), 279-328, 2017
252017
GARCH modeling of five popular commodities
S Nadarajah, E Afuecheta, S Chan
Empirical Economics 48 (4), 1691-1712, 2015
192015
Estimation methods for value at risk
S Nadarajah, S Chan
Extreme Events in Finance: A Handbook of Extreme Value Theory and its …, 2016
152016
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
132015
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
122020
High frequency momentum trading with cryptocurrencies
J Chu, S Chan, Y Zhang
Research in International Business and Finance 52, 101176, 2020
112020
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
92017
Count regression models for COVID-19
S Chan, J Chu, Y Zhang, S Nadarajah
Physica A: Statistical Mechanics and its Applications 563, 125460, 2021
82021
Extreme value analysis of electricity demand in the UK
S Chan, S Nadarajah
Applied Economics Letters 22 (15), 1246-1251, 2015
82015
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
72019
Extreme value analysis of high‐frequency cryptocurrencies
Y Zhang, S Chan, S Nadarajah
High Frequency 2 (1), 61-69, 2019
72019
A statistical study of racism in English football
J Chu, S Nadarajah, E Afuecheta, S Chan, Y Xu
Quality & Quantity 48 (5), 2915-2937, 2014
72014
A double generalized Pareto distribution
S Nadarajah, E Afuecheta, S Chan
Statistics & Probability Letters 83 (12), 2656-2663, 2013
72013
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
62019
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