Ngai Hang Chan

Finance · 2002–2015

A researcher in the Science corpus: 7 papers; trusts 17 researchers and is trusted by 4 researchers here, as inferred from the citation graph.

Subfields

• Finance — 33 citations into it; #6,686 of 10,518 by trust here, #8,309 by citations
• Statistics and Probability — 31 citations into it; #10,612 of 12,932 by trust here, #11,487 by citations
• Economics and Econometrics — 25 citations into it; #14,513 of 23,481 by trust here, #20,730 by citations
• Control and Systems Engineering — 8 citations into it
• Management Science and Operations Research — 8 citations into it

Whom Ngai Hang Chan trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Robert Tibshirani
2. Peter M. Robinson
3. Art B. Owen
4. S. Ling
5. Tim Bollerslev
6. Robert F. Engle
7. Kevin Dowd
8. Richard A. Davis
9. Zaïd Harchaoui
10. Peter Hall

Who trusts Ngai Hang Chan overall

1. Andrew J. Patton
2. Dong Li
3. M. Nieto
4. Yanqin Fan
5. Claudia Czado
6. Howell Tong
7. Aleksey Min
8. Esther Ruiz
9. Ulf Schepsmeier

Papers from Ngai Hang Chan's perspective

Ordered by how strongly the researchers Ngai Hang Chan trusts endorse each paper. Same corpus, a different order for every researcher.

1. Generalized autoregressive conditional heteroskedasticity
2. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
3. Regression Shrinkage and Selection via the Lasso
4. Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach
5. Computation and Analysis of Multiple Structural-Change Models
6. Least absolute deviations estimation for ARCH and GARCH models
7. Empirical Likelihood Ratio Confidence Regions
8. Convergence of Probability Measures
9. Sparsity and smoothness via the fused lasso
10. Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series

Their papers

• Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence (2007) — 49 citations
• LASSO estimation of threshold autoregressive models (2015) — 53 citations
• Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations (2007) — 106 citations
• Group LASSO for Structural Break Time Series (2014) — 121 citations
• STATISTICAL INFERENCE FOR MULTIVARIATE RESIDUAL COPULA OF GARCH MODELS (2009) — 51 citations
• EMPIRICAL LIKELIHOOD FOR GARCH MODELS (2006) — 66 citations
• EMPIRICAL LIKELIHOOD FOR AUTOREGRESSIVE MODELS, WITH APPLICATIONS TO UNSTABLE TIME SERIES (2002) — 77 citations