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People

Title
¡@ Professor of Statistics
Chairman

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 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 Japanese Statistical Association
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 Honorary Member, Hong Kong Statistical Society
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 Recent Articles
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  1. 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.

  2. 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.

  3. Chan, N.H. and Ling, S.Q. (2008).  Residual empirical processes for long-memory time series.  Ann. Statist.  36, 2453-2470.

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

  5. 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.

  6. 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 


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