CHAN, Ngai Hang 陳毅恆
Name CHAN, Ngai Hang 陳毅恆
Title Choh-Ming Li Professor of Statistics
Position Professor
Email nhchan [at] sta.cuhk.edu.hk
Phone Number 3943 8519
Fax Number 2603 5188
Address LSB G18B
Homepage http://www.sta.cuhk.edu.hk/nhchan/
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Academic Background
B.Sc. (CUHK)
Ph.D. (University of Maryland, College Park)

Research Interest
Time Series
Finance and Econometrics
Risk Management and Statistical Finance
Inference for Stochastic Processes

Selected Publications
  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.



    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.

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

2016-2017 Term 1: RMSC 4003, STAT 5040, RMSC 5101
2016-2017 Term 2: RMSC 5102

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