People
Title
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Professor of Statistics Chairman ¡@ ¡@ ¡@ ¡@ ¡@ |
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Education
B.Sc. (CUHK)
Ph.D. (University
of Maryland, College Park)
Research Interest
Professional Service
Managing Editor, International Journal of Theoretical and Applied Finance Associate Editor, Journal of the Japanese Statistical Association Associate Editor, Electronic Journal of Statistics Associate Editor, Econometric Theory Associate Editor, Journal of Forecasting Associate Editor, Risk Letters
Honors
Fellow, Institute of Mathematical Statistics Fellow, American Statistical Association Honorary Member, Hong Kong Statistical Society Elected Member, International Statistical Institute
Selected Publications
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Recent Articles ¡@
Buchmann, B. and Chan, N.H. (2007). Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence. Ann. Statist. 35, 2001-2017.
Chan, N.H., Deng. S.J., Peng, L. and Xia, Z. (2007). Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations. Journal of Econometrics 137, 556-576.
Chan, N.H. and Ling, S.Q. (2008). Residual empirical processes for long-memory time series. Ann. Statist. 36, 2453-2470.
Buchmann, B. and Chan, N.H. (2009). Integrated functionals of normal processes and fractional Brownian motions. Annals of Applied Probability 19, 49-70.
Chan, N.H. and Ng, C. T. (2009). Stochastic integrals driven by fractional Brownian motion and arbitrage: a tale of two integrals. Quantitative Finance 9, in press.
Chan, N.H. (2009). Time series with roots on or near the unit circle. In Andersen, T.G., Davis, R.A., Kreiss, J.P. and Mikosch, T. (eds.), Handbook of Financial Time Series, in press. Springer Verlag, New York.
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Contact Information
Address:
Department of Statistics
Room 118, Lady Shaw Building
The Chinese University of Hong Kong
Shatin, New Territories, HONG KONG
Phone: (852)-2609 8519
Fax: (852)-2603 5188
Email: nhchan@sta.cuhk.edu.hk
Courses Taught in this Term
RMS3101 and RMS4001S