Details about Jennifer S.K. Chan

Access statistics for papers by Jennifer S.K. Chan.

Last updated 2021-01-31. Update your information in the RePEc Author Service.

Short-id: pch754

Working Papers

2023

1. Semi-metric portfolio optimization: a new algorithm reducing simultaneous asset shocks
   Papers, arXiv.org View citations (6)

2021

2. Time-varying neural network for stock return prediction
   Papers, arXiv.org

2020

3. Changes to the extreme and erratic behaviour of cryptocurrencies during COVID-19
   Papers, arXiv.org View citations (6)
   See also Journal Article Changes to the extreme and erratic behaviour of cryptocurrencies during COVID-19, Physica A: Statistical Mechanics and its Applications, Elsevier (2021) View citations (26) (2021)

2014

4. Risk Margin Quantile Function Via Parametric and Non-Parametric Bayesian Quantile Regression
   Papers, arXiv.org

2007

5. Robust Bayesian Analysis of Loss Reserves Data Using the Generalized-t Distribution
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (7)
   See also Journal Article Robust Bayesian Analysis of Loss Reserves Data Using the Generalized-t Distribution, ASTIN Bulletin, Cambridge University Press (2008) View citations (11) (2008)

Journal Articles

2021

1. Changes to the extreme and erratic behaviour of cryptocurrencies during COVID-19
   Physica A: Statistical Mechanics and its Applications, 2021, 565, (C) View citations (26)
   See also Working Paper Changes to the extreme and erratic behaviour of cryptocurrencies during COVID-19, Papers (2020) View citations (6) (2020)

2020

2. MULTIVARIATE LONG-MEMORY COHORT MORTALITY MODELS
   ASTIN Bulletin, 2020, 50, (1), 223-263 View citations (4)
3. On generalized bivariate student-t Gegenbauer long memory stochastic volatility models with leverage: Bayesian forecasting of cryptocurrencies with a focus on Bitcoin
   Econometrics and Statistics, 2020, 16, (C), 69-90 View citations (3)
4. On the speculative nature of cryptocurrencies: A study on Garman and Klass volatility measure
   Finance Research Letters, 2020, 32, (C) View citations (19)

2019

5. Bayesian return forecasts using realised range and asymmetric CARR model with various distribution assumptions
   International Review of Economics & Finance, 2019, 61, (C), 188-212 View citations (4)
6. Efficient estimation of financial risk by regressing the quantiles of parametric distributions: An application to CARR models
   Studies in Nonlinear Dynamics & Econometrics, 2019, 23, (2), 22 View citations (1)
7. Forecasting trade durations via ACD models with mixture distributions
   Quantitative Finance, 2019, 19, (12), 2051-2067 View citations (4)
8. On long memory effects in the volatility measure of Cryptocurrencies
   Finance Research Letters, 2019, 28, (C), 95-100 View citations (35)
9. Quantile range-based volatility measure for modelling and forecasting volatility using high frequency data
   The North American Journal of Economics and Finance, 2019, 47, (C), 537-551 View citations (8)

2018

10. A new look at Cryptocurrencies
    Economics Letters, 2018, 163, (C), 6-9 View citations (153)
11. MODELLING INSURANCE LOSSES USING CONTAMINATED GENERALISED BETA TYPE-II DISTRIBUTION
    ASTIN Bulletin, 2018, 48, (2), 871-904 View citations (2)

2017

12. Efficient modelling and forecasting with range based volatility models and its application
    The North American Journal of Economics and Finance, 2017, 42, (C), 448-460 View citations (4)

2016

13. Robust Bayesian analysis of loss reserving data using scale mixtures distributions
    Journal of Applied Statistics, 2016, 43, (3), 396-411

2015

14. RISK MARGIN QUANTILE FUNCTION VIA PARAMETRIC AND NON-PARAMETRIC BAYESIAN APPROACHES
    ASTIN Bulletin, 2015, 45, (3), 503-550 View citations (7)

2014

15. A Poisson geometric process approach for predicting drop-out and committed first-time blood donors
    Journal of Applied Statistics, 2014, 41, (7), 1486-1503 View citations (1)
16. Multivariate generalized Poisson geometric process model with scale mixtures of normal distributions
    Journal of Multivariate Analysis, 2014, 127, (C), 72-87 View citations (2)

2013

17. Bayesian analysis of loss reserving using dynamic models with generalized beta distribution
    Insurance: Mathematics and Economics, 2013, 53, (2), 355-365 View citations (11)

2012

18. A Bayesian conditional autoregressive geometric process model for range data
    Computational Statistics & Data Analysis, 2012, 56, (11), 3006-3019 View citations (8)

2011

19. Bayesian analysis of robust Poisson geometric process model using heavy-tailed distributions
    Computational Statistics & Data Analysis, 2011, 55, (1), 687-702 View citations (4)
20. Bayesian approach to analysing longitudinal bivariate binary data with informative dropout
    Computational Statistics, 2011, 26, (1), 121-144
21. Classification in segmented regression problems
    Computational Statistics & Data Analysis, 2011, 55, (7), 2276-2287 View citations (1)
22. Stochastic volatility models with leverage and heavy-tailed distributions: A Bayesian approach using scale mixtures
    Computational Statistics & Data Analysis, 2011, 55, (1), 852-862 View citations (22)

2010

23. Binary geometric process model for the modeling of longitudinal binary data with trend
    Computational Statistics, 2010, 25, (3), 505-536 View citations (3)

2009

24. Nonignorable dropout models for longitudinal binary data with random effects: An application of Monte Carlo approximation through the Gibbs output
    Computational Statistics & Data Analysis, 2009, 53, (12), 4530-4545

2008

25. Robust Bayesian Analysis of Loss Reserves Data Using the Generalized-t Distribution
    ASTIN Bulletin, 2008, 38, (1), 207-230 View citations (11)
    See also Working Paper Robust Bayesian Analysis of Loss Reserves Data Using the Generalized-t Distribution, Research Paper Series (2007) View citations (7) (2007)

2007

26. Bayesian analysis of constant elasticity of variance models
    Applied Stochastic Models in Business and Industry, 2007, 23, (1), 83-96

2006

27. Statistical Exploration from SARS
    The American Statistician, 2006, 60, 81-91 View citations (1)

2005

28. Monte Carlo approximation through Gibbs output in generalized linear mixed models
    Journal of Multivariate Analysis, 2005, 94, (2), 300-312 View citations (2)

2004

29. Statistical inference for geometric processes with gamma distributions
    Computational Statistics & Data Analysis, 2004, 47, (3), 565-581 View citations (7)

1998

30. Statistical inference for geometric processes with lognormal distribution
    Computational Statistics & Data Analysis, 1998, 27, (1), 99-112 View citations (14)