GARCH modelling of cryptocurrencies J Chu, S Chan, S Nadarajah, J Osterrieder Journal of Risk and Financial Management 10 (4), 17, 2017 | 451 | 2017 |
A statistical analysis of cryptocurrencies S Chan, J Chu, S Nadarajah, J Osterrieder Journal of Risk and Financial Management 10 (2), 12, 2017 | 271 | 2017 |
Statistical analysis of the exchange rate of bitcoin J Chu, S Nadarajah, S Chan PloS one 10 (7), e0133678, 2015 | 222 | 2015 |
Estimation methods for expected shortfall S Nadarajah, B Zhang, S Chan Quantitative Finance 14 (2), 271-291, 2014 | 123 | 2014 |
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 | 117 | 2019 |
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 | 62 | 2019 |
A compendium of copulas S Nadarajah, E Afuecheta, S Chan Statistica 77 (4), 279-328, 2017 | 57 | 2017 |
High frequency momentum trading with cryptocurrencies J Chu, S Chan, Y Zhang Research in international business and finance 52, 101176, 2020 | 42 | 2020 |
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 | 39 | 2020 |
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 | 34 | 2022 |
Count regression models for COVID-19 S Chan, J Chu, Y Zhang, S Nadarajah Physica A: Statistical Mechanics and its Applications 563, 125460, 2021 | 32 | 2021 |
Blockchain and cryptocurrencies S Chan, J Chu, Y Zhang, S Nadarajah Journal of Risk and Financial Management 13 (10), 227, 2020 | 26 | 2020 |
GARCH modeling of five popular commodities S Nadarajah, E Afuecheta, S Chan Empirical Economics 48, 1691-1712, 2015 | 21 | 2015 |
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 | 18 | 2021 |
Estimation methods for value at risk S Nadarajah, S Chan Extreme Events in Finance: A Handbook of Extreme Value Theory and its …, 2016 | 18 | 2016 |
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 | 17 | 2019 |
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 | 16 | 2015 |
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 | 13 | 2019 |
Extreme value analysis of high‐frequency cryptocurrencies Y Zhang, S Chan, S Nadarajah High Frequency 2 (1), 61-69, 2019 | 13 | 2019 |
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 | 13 | 2017 |