People
Title
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Professor of Statistics 讲座教授 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 American Statistical Association Associate Editor, Statistica Sinica Associate Editor, Electronic Journal of Statistics Associate Editor, Econometric Theory Associate Editor, Journal of Forecasting
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. (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, 519-525.
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, 695-707. Springer Verlag, New York.
- Chan, N.H., Chen, S.X., Peng, L. and Yu, C.L. (2009). Empirical likelihood methods based on characteristic functions with applications to L´evy processes. Journal of the American Statistical Association 104, 1621-1630.
Chan, N.H. and Kutoyants, Y. (2010). Recent developments of threshold estimation for nonlinear time series. Journal of Japanese Statistical Society 40, 277-303.
Chan, N.H. and Zhang, R.M. (2010). Inference for unit-root models with infinite variance GARCH errors. Statistica Sinica 20, 1363-1393.
Chan, N.H., Peng, L. and Zhang, D. (2011). Empirical likelihood based confidence intervals for conditional variance in heteroskedastic regression models. Econometric Theory 27, 154-177.
Chan, N.H. and Zhang, R.M. (2011). Quantile inference for conditional variance of heteroscedastic regression models. Journal of Statistical Planning and Inference 141, 2079-2090.
Chan, N.H. and Ng, C.T. (2011). A note on the asymptotic inference for FIGARCH(p,d,q) models. Statistics and Its Interface 4, 227-233.
Chan, N.H. and Ing, C.K. (2011). Uniform moment bounds of Fisher's information with applications to time series. Annals of Statistics 39, 1526-1550.
Contact Information
Address:
Department of Statistics
Room 118, Lady Shaw Building
The Chinese University of Hong Kong
Shatin, New Territories, HONG KONG
Phone: (852)-3943 8519
Fax: (852)-2603 5188
Email:
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Courses Taught in this Term
RMSC5010 and STAT6040