Wong, Albert Chun-shan（黄镇山） BSocSc (HKU); Dip.Math.Stat. (Cantab); PhD (HKU); FSA



Associate Professor
Director, Insurance, Financial & Actuarial Analysis Programme
ContactDepartment of Finance

Room 1211, 12/F
Cheng Yu Tung Building
12 Chak Cheung Street
Shatin, N.T., Hong Kong

+852 3943 7648

albertw@baf.cuhk.edu.hk


Links
Curriculum Vitae

Teaching Area and Research InterestFinancial Time Series Analysis
Actuarial Science
Publications & Working PapersAlbert C. S. Wong, Wai-sum Chan, and P. L. Kam (2009), “A Student t-mixture Autoregressive Model with Applications to Heavy-Tailed Financial Data,” Biometrika, 96,? 751-760.
Wai-sum Chan, Albert C. S. Wong, and H. L. Chung (2009), “Modelling Australian Interest Rate Swap Spreads by Mixture Autoregressive Conditional Heteroscedastic Processes,” Mathematics and Computers in Simulation,?79,?2779-2786.
P. W. Fong, and Albert C. S. Wong (2008), “Stress-Testing Banks’ Credit Risk Using Mixture Vector Autoregressive Models,” Stress-testing for Financial Institutions,?173-193.
P. W. Fong, W. K. Li, C. W. Yau, and Albert C. S. Wong (2007), “On a Mixture Vector Autoregressive Model,”?Canadian Journal of Statistics,?35(1),?135-150.
Albert C. S. Wong and Wai-sum Chan (2005), “Mixture Gaussian Time Series Modelling of Long-Term Market Returns,” North American Actuarial Journal, 9(4),?83-94.
Wai-sum Chan, Albert C. S. Wong, and H. Tong (2004), “Some Non-linear Threshold Autoregressive Time Series Models for Actuarial Use,”?North American Actuarial Journal, 37-61.
K. F. Wong and Albert C. S. Wong (2003), “An Application of the Mixture Autoregressive Model: A Case Study of Modelling Yearly Sunspot Data,” ?Advances in Data Mining and Modelling, 142-151.
Albert C. S. Wong and W. K. Li (2001), “On A Logistic Mixture Autoregressive Model,” Biometrika,?88,?833-836.
Albert C. S. Wong and W. K. Li (2001), “On A Mixture Autoregressive Conditional Heteroscedastic Model,” American Statistical Association,?96, 982-995.
Albert C. S. Wong and W. K. Li (2000), “On A Mixture Autoregressive Model,” Journal of Royal Statistical Society, Series B, 62,?95-115.
Albert C. S. Wong and W. K. Li (2000), “Testing for Double Threshold Autoregressive Conditional Heteroscedastic Model,” Statistical Sinica, 10,?173-189.
Albert C. S. Wong and W. K. Li (1998), “A Note on the Corrected Akaike Information Criterion for Threshold Autoregressive Models,” Journal of Time Series Analysis, 19, 13-124.
Albert C. S. Wong and W. K. Li (1997), “Testing for Threshold Autoregression with Conditional Heteroscedasticity,”?Biometrika,?84,?407-418.

Grants“Estimating Portfolio Value-at-Risk with Multivariate Mixture Time Series Models (利用多变数混合时间列序模型估计投资组合的风险值)”, Earmarked Grants awarded by Research Grants Council, 2006-2008
“Actuarial Applications of Mixture Gaussian Time Series Models (混合时间列序模型的精算应用)”, Earmarked Grants awarded by Research Grants Council, 2003-2006