CHAN, Ngai Hang 陳毅恆
| Position | Emeritus Professor |
| ngaihangchan [at] cuhk.edu.hk | |
| ORCiD | 0000-0002-4755-5180 |
| Phone Number | 3943 8519 |
| Fax Number | 2603 5188 |
| Address | LSB G18B |
| Homepage | https://www.sta.cuhk.edu.hk/nhchan/ |
Academic Background
B.Sc. (CUHK)
Ph.D. (University of Maryland College Park)
Research Interest
Finance and EconometricsInference for Stochasitc ProcessesOceanographyRisk Management and Statistical FinanceTime Series
Selected Publication
- Huang, Z. and Chan, N.H. (2020). Walsh-Fourier transform of locally stationary time series. Journal of Time Series Analysis 41, 312-340.
- Chan, N.H., Cheung, S.K.C. and Wong, S.P.S. (2020). Inference for the degree distributions of preferential attachment networks with zero-degree nodes. Journal of Econometrics 216, 220-234.
- Chan, N.H. and Palma, W. (2020). On the estimation of locally stationary long-memory processes. Statistica Sinica 30, 111-134.
- Chan, N.H., Ling, S.Q. and Yau, C.Y. (2020). Lasso-based variable selection of ARMA models. Statistica Sinica 30, 1925-1948.
- Chen, K., Chan, N.H. and Yau, C.Y. (2020). Bartlett correction of frequency domain empirical likelihood for time series with unknown innovation variance. Annals of Institute of Statistical Mathematics 72, 1159-1173.
- Ng, C.T., Shi, Y. and Chan, N.H. (2020). Markowitz portfolio and the blur of history. International Journal of Theoretical and Applied Finance 23, 2050030-1-2050030-19.
- Chan, N.H., Ng, W.L. and Yau, C.Y. (2021). A self-normalized approach to sequential change-point detection for time series. Statistica Sinica 31, 491-517.
- Li, Y., Chan, N.H., Yau, C.Y. and Zhang, R.M. (2021). Group orthogonal greedy algorithm for change-point estimation of multivariate time series. Journal of Statistical Planning and Inference 212, 14-33.
- Chan, N.H., Ng, W.L., Yau, C.Y. and Yu, H. (2021). Optimal change-point estimation in time series. Ann. Statist. 49, 2366-2355.
- Zhang, R.M. and Chan, N.H. (2021). Nonstationary linear processes with in finite variance GARCH errors. Econometric Theory 37, 892-925.
- Chan, N.H., Zhang, R.M. and Yau, C.Y. (2022). Inference for structural breaks in spatial models. Statistica Sinica 31, in press.
- Chan, N.H. and Zhang, R.M. (2022). Cointegration rank estimation for high-dimensional time series with breaks. Statistica Sinica 32, in press.
- Chan, N.H., Gao, L. and Palma, W. (2022). Simultaneous variable selection and structural identification for time-varying coefficient models. Journal of Time Series Analysis 43, in press.
- Huang, H.H., Chan, N.H., Chen, K. and Ing, C.K. (2022). Consistent order selection for ARFIMA processes. Ann. Statist. 50, in press.
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, 2nd Edition. Wiley, New York.
- Chan, N.H. and Wong, H.Y. (2013). Simulation: Practical Case Studies in Risk Management.
Wiley, New York. - Chan, N.H. and Wong, H.Y. (2015). Simulation Techniques in Financial Risk Management. 2nd
Ed. Wiley, New York
Professional Services
- Managing Editor, International Journal of Theoretical and Applied Finance
- Co-Editor, Journal of Time Series Analysis
- Co-Editor, Journal of Forecasting
- Associate Editor, Journal of the American Statistical Association
- Associate Editor, Statistica Sinica
- Associate Editor, Electronic Journal of Statistics
- Associate Editor, Sankhya
Teaching
- 2021-2022 Term 1: RMSC 4003, RMSC 5101. STAT6040
- 2019-2020 Term 2: RMSC 5102
Honours and Awards
- Fellow, Institute of Mathematical Statistics
- Fellow, American Statistical Association
- Exemplary Honorary Member, Hong Kong Statistical Society
- Elected Member, International Statistical Institute
- Multa Scripsit Award, Econometric Theory, Cambridge University Press
- Distinguished Author Award, Journal of Time Series Analysis, John Wiley and Sons
- Chang Jiang Chair Professor of Statistics, Renmin University of China, Ministry of Education, Beijing, China
Research Grants
- Safety, Reliability, and Disruption Management of High Speed Rail and Metro Systems. Research
Grants Council of Hong Kong: Theme-Based Research Fund, 2016-2021. T32-101/15-R, Co-
Principal Investigator - Nearly Nonstationary Time Series: A Prediction Perspective. Research Grants Council of Hong
Kong: General Research Fund, 2017-2020. RGC14325216. Principal Investigator - Inference for Multiple Change-Points in High-Dimensional Time Series. Research Grants Council
of Hong Kong: General Research Fund, 2019-2022. RGC14308218. Principal Investigator - Statistical Modeling of Big Data Networks. Research Grants Council of Hong Kong: General Research Fund, 2022-2025. RGC14307921. Principal Investigator