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  Choh-Ming Li Chair Professor of Statistics 




B.Sc. (CUHK)
Ph.D. (University of Maryland, College Park)

Research Interest

  1. Time Series
  2. Finance and Econometrics
  3. Risk Management and Statistical Finance
  4. Oceanography
  5. Inference for Stochastic Processes

Professional Service

bullet Managing Editor, International Journal of Theoretical and Applied Finance
bullet Associate Editor, Journal of the American Statistical Association
bullet Associate Editor, Journal of Business and Economic Statistics
bullet Associate Editor, Statistica Sinica
bullet Associate Editor, Electronic Journal of Statistics
bullet Associate Editor, Bernoulli
bullet Associate Editor, Journal of Forecasting


bullet Fellow, Institute of Mathematical Statistics
bullet Fellow, American Statistical Association
bullet Honorary Member, Hong Kong Statistical Society
bullet Elected Member, International Statistical Institute

Selected Publications

bullet Books

Chan, N.H. (2002).  Time Series:  Applications to Finance.  Wiley, New York.


Chan, N.H. (2004). 風險管理精義
明報出版社, 香港 / 中國統計出版社 (2006)


Chan, N.H. (2004).  時間序列 與 金融數據分析


Chan, N.H. and Wong H.Y. (2006). Simulation Techniques in Financial Risk Management.  Wiley, New York.


Chan, N.H. and Leung, P.L. (2006).  R軟件操作入門


Chan, N.H. (2010).  Time Series:  Applications to Finance with R and S-Plus(R), 2nd Edition.  Wiley, New York.

bullet Recent Articles
  1. 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.

  2. 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.

  3. 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. 

  4. Chan, N.H. and Kutoyants, Y. (2012). On parameter estimations of threshold autoregressive models.  Statistical Inference for Stochastic Processes 15, 81-104.

  5. Zhang, R.M. and Chan, N.H. (2012). Maximum likelihood estimation for nearly nonstationary autoregressive processes.  J. Time Series Analysis 33, 542-553.

  6. Chan, N.H., Wong, H.Y. and Zhao, J. (2012). A structural model for credit migration.  Computational Statistics and Data Analysis 56, 3477-3490.

  7. Chan, N.H., Li, D. and Peng, L. (2012). Toward a unified interval estimation of autoregressions.  Econometric Theory 28, 705-717.

  8. Buchmann, B. and Chan, N.H. (2013). Unified asymptotic theory for nearly unstable AR(p) processes. Stochastic Processes and Their Applications 123, 952-985.

  9. Chan, N.H. and Zhang, R.M. (2013). Nonstationary autoregressive processes with infinite variance.  J. Time Series Analysis 34, in press.

  10. Chan, N.H. and Zhang, R.M. (2013). Marked empirical processes for non-stationary time series.  Bernoulli 19, in press.



Contact Information

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

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