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Details about Ba M. Chu

Workplace:Department of Economics, Carleton University, (more information at EDIRC)
Centre for Monetary and Financial Economics (CMFE), Department of Economics, Carleton University, (more information at EDIRC)

Access statistics for papers by Ba M. Chu.

Last updated 2011-04-14. Update your information in the RePEc Author Service.

Short-id: pch959


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Working Papers

2009

  1. Spurious Regressions of Stable AR(p) Processes with Structural Breaks
    Working Papers, Warwick Business School, Finance Group Downloads

2006

  1. An Asymptotics of Stationary and Nonstationary AR(1) Processes with Multiple Structural Breaks in Mean
    Working Papers, Warwick Business School, Finance Group Downloads
  2. Optimal Investment and Asymmetric Risk for a Large Portfolio: A Large Deviations Approach
    Working Papers, Warwick Business School, Finance Group Downloads
  3. Optimal Long Term Investment in a Jump Diffusion Setting: A Large Deviation Approach
    Working Papers, Warwick Business School, Finance Group Downloads
  4. The Asymptotic Properties of AR(1) Process with the Occasionally Changing AR Coefficient
    Working Papers, Warwick Business School, Finance Group Downloads

Journal Articles

2011

  1. Large deviations theorems for optimal investment problems with large portfolios
    European Journal of Operational Research, 2011, 211, (3), 533-555 Downloads View citations (1)

2010

  1. Modeling the contemporaneous duration dependence for high-frequency stock prices
    Finance Research Letters, 2010, 7, (3), 148-162 Downloads
  2. Spurious Regressions of Stationary AR(p) Processes with Structural Breaks
    Studies in Nonlinear Dynamics & Econometrics, 2010, 15, (1), 1-25 Downloads View citations (1)
 
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