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 infinite 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 identi- cation 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.
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
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
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
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