Ngai Hang Chan

发表

Limit theory of quadratic forms of long-memory linear processes with heavy-tailed GARCH innovations

Ngai Hang Chan, Rong-Mao Zhang, 2013, J. Multivar. Anal..

On nonparametric local inference for density estimation

Liang Peng, Thomas C. M. Lee, Ngai Hang Chan, 2010, Comput. Stat. Data Anal..

Markov Chain Monte Carlo Methods

Ngai Hang Chan, Hoi Ying Wong, 2011 .

Standard Simulations in Risk Management

Ngai Hang Chan, Hoi Ying Wong, 2006 .

Structural model of credit migration

Jing Zhao, Ngai Hang Chan, Hoi Ying Wong, 2012, Comput. Stat. Data Anal..

Lasso-based Variable Selection of ARMA Models

Chun Yip Yau, Ngai Hang Chan, Shiqing Ling, 2020 .

Autoregressive Moving Average Models

Ngai Hang Chan, 2011 .

Order selection of continuous time models: Applications to estimation of risk premiums

Gopal K. Basak, Ngai Hang Chan, Philip P. K. Lee, 2003, 2003 IEEE International Conference on Computational Intelligence for Financial Engineering, 2003. Proceedings..

Simulation Techniques in Financial Risk Management

Ngai Hang Chan, Hoi Ying Wong, 2006 .

Efficient inference for nonlinear state space models: An automatic sample size selection rule

Jing Cheng, Ngai Hang Chan, N. Chan, 2019, Comput. Stat. Data Anal..

Wiley Series in Statistics in Practice

Ngai Hang Chan, Hoi Ying Wong, 2015 .

Time series

Ngai Hang Chan, 2002 .

On the Estimation of Locally Stationary Long-Memory Processes

Wilfredo Palma, Ngai Hang Chan, N. Chan, 2019, Statistica Sinica.

A comparison of linear and nonlinear statistical techniques in performance attribution

Christopher R. Genovese, Ngai Hang Chan, C. Genovese, 2001, IEEE Trans. Neural Networks.

Data mining meets performance evaluation: fast algorithms for modeling bursty traffic

Christos Faloutsos, Spiros Papadimitriou, Tara M. Madhyastha, 2002, Proceedings 18th International Conference on Data Engineering.

Least squares estimators for nearly unstable processes for functionals of long-memory noises

Weiwei Liu, Ngai Hang Chan, N. Chan, 2012, Risk Decis. Anal..

The Approximation of Long-Memory Processes by an ARMA Model

Gopal K. Basak, Wilfredo Palma, Ngai Hang Chan, 2001 .

Time Series: A Biostatistical Introduction

Ngai Hang Chan, Michael M. Meyer, 1991 .

Preliminaries of VBA

Ngai Hang Chan, Hoi Ying Wong, 2015 .

Nearly unstable integer‐valued ARCH process and unit root testing

Ngai Hang Chan, Wagner Barreto-Souza, N. Chan, 2021, Scandinavian Journal of Statistics.

Optimal change-point estimation in time series

Chun Yip Yau, Ngai Hang Chan, Wai Leong Ng, 2021, The Annals of Statistics.

Self-Normalized Sequential Change-point Detection

Chun Yip Yau, Ngai Hang Chan, Wai Leong Ng, 2021 .

Group orthogonal greedy algorithm for change-point estimation of multivariate time series

Chun Yip Yau, Ngai Hang Chan, Rongmao Zhang, 2021 .

Priors for unit root models

Joseph B. Kadane, Ngai Hang Chan, J. Kadane, 1996 .

Empirical Likelihood Methods Based on Characteristic Functions With Applications to Lévy Processes

Liang Peng, Ngai Hang Chan, Cindy L. Yu, 2009 .

Forecasting Online Auctions via Self-Exciting Point Processes

Chun Yip Yau, Ngai Hang Chan, Zehang Richard Li, 2014 .

On the nearly nonstationary seasonal time series

Ngai Hang Chan, N. Chan, 1989 .

Inference for Near-Integrated Time Series with Infinite Variance

Ngai Hang Chan, N. Chan, 1990 .

Time Series: Applications to Finance with R and S-Plus

Ngai Hang Chan, 2010 .

Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations

Liang Peng, Ngai Hang Chan, Shi-Jie Deng, 2007 .

Multivariate Time Series

Ngai Hang Chan, 2011 .

Efficient Estimation of Seasonal Long‐Range‐Dependent Processes

Wilfredo Palma, Ngai Hang Chan, N. Chan, 2005 .

NONPARAMETRIC TESTS FOR SERIAL DEPENDENCE

Ngai Hang Chan, Lanh Tat Tran, N. Chan, 1992 .

State space modeling of long-memory processes

Wilfredo Palma, Ngai Hang Chan, N. Chan, 1998 .

Generating Random Variables

Ngai Hang Chan, Hoi Ying Wong, 2006 .

On parameter estimation of threshold autoregressive models

Ngai Hang Chan, Yury A. Kutoyants, 2010 .

On the First-Order Autoregressive Process with Infinite Variance

Ngai Hang Chan, Lanh Tat Tran, N. Chan, 1989, Econometric Theory.

Estimation of Long-Memory Time Series Models: a Survey of Different Likelihood-Based Methods

Wilfredo Palma, Ngai Hang Chan, N. Chan, 2006 .

Estimation of Tropical Sea Level Anomaly by an Improved Kalman Filter

Wilfredo Palma, Ngai Hang Chan, Joseph B. Kadane, 1996 .

Time series : applications to finance

Ngai Hang Chan, 2002 .

Encyclopedia of quantitative risk analysis and assessment

Simon French, Frank P. A. Coolen, Tony Cox, 2008 .

The Parameter Inference for Nearly Nonstationary Time Series

Ngai Hang Chan, N. Chan, 1988 .

Wiley Series in Probability and Statistics

Ngai Hang Chan, 2010 .

Short‐Term Stock Price Prediction Based on Limit Order Book Dynamics

Ngai Hang Chan, N. Chan, Yang An, 2017 .

Quantile inference for near-integrated autoregressive time series under infinite variance and strong dependence

Ngai Hang Chan, Rongmao Zhang, 2009 .

EMPIRICAL LIKELIHOOD FOR GARCH MODELS

Ngai Hang Chan, Shiqing Ling, N. Chan, 2006, Econometric Theory.