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Details about Jennifer S.K. Chan

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

Last updated 2020-05-04. Update your information in the RePEc Author Service.

Short-id: pch754


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Working Papers

2020

  1. Changes to the extreme and erratic behaviour of cryptocurrencies during COVID-19
    Papers, arXiv.org Downloads
  2. Semi-metric portfolio optimisation: a new algorithm reducing simultaneous asset shocks
    Papers, arXiv.org Downloads
  3. Time-varying neural network for stock return prediction
    Papers, arXiv.org Downloads

2014

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

2007

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

Journal Articles

2020

  1. MULTIVARIATE LONG-MEMORY COHORT MORTALITY MODELS
    ASTIN Bulletin, 2020, 50, (1), 223-263 Downloads View citations (1)
  2. On the speculative nature of cryptocurrencies: A study on Garman and Klass volatility measure
    Finance Research Letters, 2020, 32, (C) Downloads View citations (1)

2019

  1. Bayesian return forecasts using realised range and asymmetric CARR model with various distribution assumptions
    International Review of Economics & Finance, 2019, 61, (C), 188-212 Downloads View citations (1)
  2. 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 Downloads View citations (1)
  3. Forecasting trade durations via ACD models with mixture distributions
    Quantitative Finance, 2019, 19, (12), 2051-2067 Downloads View citations (1)
  4. On long memory effects in the volatility measure of Cryptocurrencies
    Finance Research Letters, 2019, 28, (C), 95-100 Downloads View citations (12)
  5. 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 Downloads View citations (1)

2018

  1. A new look at Cryptocurrencies
    Economics Letters, 2018, 163, (C), 6-9 Downloads View citations (82)
  2. Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and applications
    Studies in Nonlinear Dynamics & Econometrics, 2018, 22, (3), 29 Downloads View citations (1)
  3. MODELLING INSURANCE LOSSES USING CONTAMINATED GENERALISED BETA TYPE-II DISTRIBUTION
    ASTIN Bulletin, 2018, 48, (2), 871-904 Downloads

2017

  1. 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 Downloads View citations (2)

2016

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

2015

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

2014

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

2013

  1. Bayesian analysis of loss reserving using dynamic models with generalized beta distribution
    Insurance: Mathematics and Economics, 2013, 53, (2), 355-365 Downloads View citations (9)

2012

  1. A Bayesian conditional autoregressive geometric process model for range data
    Computational Statistics & Data Analysis, 2012, 56, (11), 3006-3019 Downloads View citations (6)

2011

  1. Bayesian analysis of robust Poisson geometric process model using heavy-tailed distributions
    Computational Statistics & Data Analysis, 2011, 55, (1), 687-702 Downloads View citations (3)
  2. Bayesian approach to analysing longitudinal bivariate binary data with informative dropout
    Computational Statistics, 2011, 26, (1), 121-144 Downloads
  3. Classification in segmented regression problems
    Computational Statistics & Data Analysis, 2011, 55, (7), 2276-2287 Downloads View citations (1)
  4. Stochastic volatility models with leverage and heavy-tailed distributions: A Bayesian approach using scale mixtures
    Computational Statistics & Data Analysis, 2011, 55, (1), 852-862 Downloads View citations (21)

2010

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

2009

  1. 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 Downloads

2008

  1. Robust Bayesian Analysis of Loss Reserves Data Using the Generalized-t Distribution
    ASTIN Bulletin, 2008, 38, (1), 207-230 Downloads View citations (8)
    See also Working Paper (2007)

2007

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

2006

  1. Statistical Exploration from SARS
    The American Statistician, 2006, 60, 81-91 Downloads

2005

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

2004

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

1998

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