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People

Title
　 Professor of Statistics  讲座教授
Chairman

　

　

　

　

　

 Education

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, Statistica Sinica
bullet Associate Editor, Electronic Journal of Statistics
bullet Associate Editor, Econometric Theory
bullet Associate Editor, Journal of Forecasting

Honors

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
中國統計出版社
　

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
中國統計出版社
　

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

  1. Buchmann, B. and Chan, N.H. (2009).  Integrated functionals of normal processes and fractional Brownian motions.  Annals of Applied Probability 19, 49-70.

  2. 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.

  3. 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.

  4. 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.

  5. Chan, N.H. and Kutoyants, Y. (2010). Recent developments of threshold estimation for nonlinear time series. Journal of Japanese Statistical Society 40, 277-303.

  6. Chan, N.H. and Zhang, R.M. (2010).  Inference for unit-root models with infinite variance GARCH errors. Statistica Sinica 20, 1363-1393.

  7. 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.

  8. 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. 

  9. 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.

  10. 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:

Courses Taught in this Term

RMSC5010 and STAT6040 


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