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Title
¡@ Professor of Statistics
Chairman

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Academic Background

BSc(CUHK)
PhD(U. Maryland)

Research Interest

  1. Time Series
  2. Finance and Econometrics
  3. Oceanography
  4. Inference for Stochastic Processes
  5. Large Sample Theory

Professional Service

bullet Managing Editor, International Journal of Theoretical and Applied Finance
bullet Associate Editor, Journal of the Japanese 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
bullet Associate Editor, Risk Letters

Honors

bullet Fellow, Institute of Mathematical Statistics
bullet Fellow, American Statistical Association
bullet Elected Member, International Statistical Institute

Selected Publications
   

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bullet Books
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Chan, N.H. (2002).  Time Series:  Applications to Finance.
Wiley, New York.
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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)
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Chan, N.H. (2004).  時間序列 與 金融數據分析
中國統計出版社
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Chan, N.H. and Wong H.Y. (2006). Simulation Techniques in Financial Risk Management.  Wiley, New York.
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Chan, N.H. and Leung, P.L. (2006).  R³n¥ó¾Þ§@¤Jªù
中國統計出版社
bullet Selected  Articles:
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  1. Chan, N.H. and Palma, W. (2006).  "Estimation of long-memory time series: A survey of likelihood-based methods." in Fomby, T., Hill, C. and Terrell, D. (eds.)  Advances in Econometrics 20/B, 89-122.

  2. Chan, N.H., Peng, L. and Qi, Y. (2006).  Quantile inference for nearly non-stationary autoregressive time series with infinite variance.  Statistica Sinica 16, 15-28.

  3. Chan, N.H., Deng. S.J., Peng, L. and Xia, Z. (2006).  Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations.  Journal of Econometrics 132, in press.

  4. Brockwell, A. and Chan, N.H. (2006).  Long-memory Tobit models.  Journal of Forecasting 25, 351-367.

  5. Chan, N.H. (2006).  Inference for time series and stochastic processes.  Statistica Sinica 16, 683-696.

  6. Chan, N.H. and Wong, H.Y. (2007).  Data mining of resilience indicators.  IIE Transactions 39, 1-11.

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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 


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