CHAN, Ngai Hang 陈毅恒Position Professor
Email ngaihangchan [at] cuhk.edu.hk
Phone Number 3943 8519
Fax Number 2603 5188
Address LSB G18B
Homepage https://www.sta.cuhk.edu.hk/nhchan/


Academic BackgroundB.Sc. (CUHK)
Ph.D. (University of Maryland College Park)
Research InterestFinance and EconometricsInference for Stochasitc ProcessesOceanographyRisk Management and Statistical FinanceTime Series
Selected PublicationHuang, 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 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.




BooksChan, N.H. (2002).? Time Series:? Applications to Finance.? Wiley, New York.
Chan, N.H. (2004). 风险管理精义
明报出版社, 香港 / 中国统计出版社 (2006)
Chan, N.H. (2004).? 时间序列 与 金融数据分析
中国统计出版社
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软件操作入门
中国统计出版社
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 ServicesManaging 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




Teaching2021-2022 Term 1: RMSC 4003, RMSC 5101. STAT6040
2019-2020 Term 2: RMSC 5102




Honours and AwardsFellow, 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