DEPT OF STATISTICS & ACTUARIAL SCIENCE
| Researcher : Chan WS |
| Project Title: | Living To 100 and Beyond Society of Actuaries International Symposium The Lee-Carter Model for Forecasting Mortality Revisited |
| Investigator(s): | Chan WS |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | URC/CRCG - Conference Grants for Teaching Staff |
| Start Date: | 01/2005 |
| Researcher : Cheng X |
| List of Research Outputs |
| Cheng X., Li W.K., Yu P.L.H., Zhou X., Wang C. and Lo P.H., Modeling Threshold Conditional Heteroscedasticity with Regime-Dependent Skewness and Kurtosis, Computational Statistics and Data Analysis. Holland, Elsevier, 2011, 55: 2590-2604. |
| Researcher : Cheung ECK |
| Project Title: | Joint analysis of ruin-related quantities in insurance risk theory |
| Investigator(s): | Cheung ECK |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | Seed Funding Programme for Basic Research |
| Start Date: | 03/2011 |
| List of Research Outputs |
| Cheung E.C.K., A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium, Insurance: Mathematics and Economics. Amsterdam, Elsevier, 2011, 48(3): 384-397. |
| Cheung E.C.K., A risk model under periodic dividend decisions, School of Actuarial Studies, Australian School of Business, University of New South Wales. 2011. |
| Cheung E.C.K., A two-dimensional risk model with proportional reinsurance, HKU-Stanford Conference in Quantitative Finance. 2010. |
| Cheung E.C.K., A two-dimensional risk model with proportional reinsurance, Montreal Seminar of Actuarial and Financial Mathematics. 2011. |
| Cheung E.C.K., A variant of the Gerber-Shiu function in the dual risk model and its applications, Department of Statistics, Chinese University of Hong Kong. 2010. |
| Cheung E.C.K., Discussion article of 'A direct approach to the discounted penalty function', North American Actuarial Journal. USA, Society of Actuaries, 2010, 14(4): 441-445. |
| Cheung E.C.K., On a class of stochastic models with two-sided jumps, Queueing Systems: Theory and Applications. Europe, Springer, 2011, 69(1): 1-28. |
| Cheung E.C.K. and Landriault L., On a risk model with surplus-dependent premium and tax rates, Methodology and Computing in Applied Probability. Europe, Springer, 2010. |
| Cheung E.C.K., Recent generalizations of the Gerber-Shiu expected discounted penalty function, Quantitative Finance Day, Hong Kong Consortium of Quantitative Finance. 2011. |
| Researcher : Cheung KC |
| Project Title: | Portfolio choice under the cumulated prospect theory |
| Investigator(s): | Cheung KC |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | Seed Funding Programme for Basic Research |
| Start Date: | 06/2009 |
| Project Title: | Conditional comonotonicity and its application in actuarial science and financial economics |
| Investigator(s): | Cheung KC |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | General Research Fund (GRF) |
| Start Date: | 10/2009 |
| List of Research Outputs |
| Cheung K.C., Characterizing comonotonic random vector by the distribution of the sum of its components, Insurance: Mathematics and Economics. 2010, 47: 130-136. |
| Dong J., Cheung K.C. and Yang H., Upper comonotonicity and convex upper bounds for sums of random variables, Insurance: Mathematics and Economics. Elsevier B.V., 2010, 47: 159-166. |
| Researcher : Chung YK |
| List of Research Outputs |
| Chung Y.K., Hu Y., Zhu D.G. and Fung T.W.K., Evaluation of DNA mixtures accounting for sampling variability., In: Yves Lechevallier, Gilbert Saporta, Proceedings of the 19th International Symposium on Computational Statistics. Heidelberg, Physica-Verlag, 2010, 437-444. |
| Chung Y.K., Fung T.W.K. and Hu Y., Familial database search on two-person mixture, Computational Statistics & Data Analysis . 2010, 54: 2046-2051. |
| Chung Y.K. and Fung T.W.K., The evidentiary values of “cold-hits” in a DNA database search on two-person mixture., Science and Justice. Elsevier, 2011, 51: 10-15. |
| Fung T.W.K. and Chung Y.K., Forensic DNA: Statistics, In: Miodrag Lovric, International Encyclopedia of Statistical Science . Heidelberg: Springer, 2010, 539-541. |
| Researcher : Fung TWK |
| Project Title: | 56th Session of the International Statistical Institute (Lisboa 2007) Estimating variance and covariance parameters by generalized estimating equations for credibility models |
| Investigator(s): | Fung TWK |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | URC/CRCG - Conference Grants for Teaching Staff |
| Start Date: | 08/2007 |
| Project Title: | Transmission disequilibrium test under imprinting for quantitative traits based on case-parents trios and for qualitative traits when only one parent is available |
| Investigator(s): | Fung TWK |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | General Research Fund (GRF) |
| Start Date: | 10/2007 |
| Completion Date: | 09/2010 |
| Project Title: | Statistical genomics: DNA mixtures and genomic imprinting |
| Investigator(s): | Fung TWK |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | Croucher Senior Research Fellowships in Natural Sciences, Technology and Medicine |
| Start Date: | 09/2008 |
| Project Title: | Research Output Prize |
| Investigator(s): | Fung TWK, Hu Y |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | Research Output Prize (in Faculty) |
| Start Date: | 12/2009 |
| List of Research Outputs |
| Bai Y., Fung T.W.K. and Zhu Z.Y., Weighted empirical likelihood for generalized linear models with longitudinal data, Journal of Statistical Planning and Inference. Elsevier B.V., 2010, 140: 3446-3456. |
| Chung Y.K., Hu Y., Zhu D.G. and Fung T.W.K., Evaluation of DNA mixtures accounting for sampling variability., In: Yves Lechevallier, Gilbert Saporta, Proceedings of the 19th International Symposium on Computational Statistics. Heidelberg, Physica-Verlag, 2010, 437-444. |
| Chung Y.K., Fung T.W.K. and Hu Y., Familial database search on two-person mixture, Computational Statistics & Data Analysis . 2010, 54: 2046-2051. |
| Chung Y.K. and Fung T.W.K., The evidentiary values of “cold-hits” in a DNA database search on two-person mixture., Science and Justice. Elsevier, 2011, 51: 10-15. |
| Fung T.W.K. and Chung Y.K., Forensic DNA: Statistics, In: Miodrag Lovric, International Encyclopedia of Statistical Science . Heidelberg: Springer, 2010, 539-541. |
| Mao J., Zhu Z.Y. and Fung T.W.K., Joint estimation of mean-covariance model for longitudinal data with basis function approximations, Computational Statistics and Data Analysis. Elsevier B.V., 2011, 55: 983-992. |
| Yang C.T., Fung T.W.K. and Tam W...M..., Analysis of breath alcohol measurements using compartmental and generalized linear models, Proceedings of COMPSTAT'2010 : 19th International Conference on Computational Statistics. Paris-France, August 22-27, 2010 . Heidelberg: Physica-Verlag, 2010, 1693-1700. |
| Zang Y. and Fung T.W.K., Robust tests for matched case-control genetic association studies, BMC Genetics. BioMed Central Ltd, 2010, 11: 91-104. |
| Zhou Y., Han G.N., Shi N.Z., Fung T.W.K. and Guo J.H., Maximum likelihood estimates of recombination fractions under restrictions for family data with multiple offspring, Scientia Sinica Mathematica. Science China Press, 2010, 40(10): 971-984. |
| Researcher : Gerber HU |
| List of Research Outputs |
| Albrecher H., Gerber H.U. and Yang H., A direct approach to the discounted penalty function. Discussion , North American Actuarial Journal . Schaumburg, Ill. : Society of Actuaries, 2010, 14(4): 434-447. |
| Albrecher H., Gerber H.U. and Yang H., A direct approach to the discounted penalty function, North American Actuarial Journal. Schaumburg, Ill. : Society of Actuaries, 2010, 14(4): 420-434. |
| Gerber H.U. and Yang H., Obtaining the dividends-penalty identities by interpretation, Insurance: Mathematics and Economics . Elsevier B.V., 2010, 47(2): 206-207. |
| Researcher : Hu Y |
| List of Research Outputs |
| Chung Y.K., Hu Y., Zhu D.G. and Fung T.W.K., Evaluation of DNA mixtures accounting for sampling variability., In: Yves Lechevallier, Gilbert Saporta, Proceedings of the 19th International Symposium on Computational Statistics. Heidelberg, Physica-Verlag, 2010, 437-444. |
| Chung Y.K., Fung T.W.K. and Hu Y., Familial database search on two-person mixture, Computational Statistics & Data Analysis . 2010, 54: 2046-2051. |
| Researcher : Kwan CW |
| List of Research Outputs |
| Lou V.W., Chui E.W.T., Leung A.Y.M., Tang K., Chi I., Leung Wong E.K.S. and Kwan C.W., Factors affecting long-term care use in Hong Kong, Hong Kong Medical Journal. 2011, 17(3). |
| Lou V.W., Gui S.X., Ting K.F. and Kwan C.W., Spouse caregiving for frail elders in Shanghai China: A selection, optimization and compensation analysis, In: Research, Education and Practice Committee, The Gerontological Society of America's 63rd Annual Scientific Meeting. New Orleans, LA., The Gerontological Society of America, 2010, 66-67. |
| Lou V.W., Gui S... .X..., Ting K... .F... and Kwan C.W., 有关上海居家养老服务劵的思考, 社会工作专业发展的现实与未来, 2010. |
| Researcher : Lam K.F. |
| Project Title: | Covariate-dependent frailty model with cured proportions |
| Investigator(s): | Lam KF |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | Small Project Funding |
| Start Date: | 01/2011 |
| List of Research Outputs |
| Li K...Y..., Wong M...C...M..., Lam K...F... and Schwarz E..., Age, period, and cohort analysis of regular dental care behavior and edentulism: A marginal approach, BMC Oral Health. 2011, 11: 9. |
| Researcher : Lam KF |
| Project Title: | Covariate-dependent frailty model with cured proportions |
| Investigator(s): | Lam KF |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | Small Project Funding |
| Start Date: | 01/2011 |
| List of Research Outputs |
| Cheung K.Y., Wong M.C.M., Lam K.F., Leung W.K., Wan C.P., Wong R.M.S. and Corbet E.F., Healing response to non-surgical periodontal therapy: Time-varying effect of smoking, Journal of Dental Research. 2011, 90 (Spec Iss A): 2837. |
| Lam T.P., Wun Y.T. and Lam K.F., Doctors’ preference on which physician to treat depression in Hong Kong (Letter), Psychiatric Services. 2011, 62: 565-566. |
| Lam T.P., Chow R.W.M., Lam K.F., Lennox I.M., Chan F.H.W. and Tsoi S.L.T., Evaluation of the learning outcomes of a year-long postgraduate training course in community geriatrics for primary care doctors, Archives of Gerontology and Geriatrics. 2011, 52: 350-6. |
| Lam T.P., Yeung C.K. and Lam K.F., What are the learning outcomes of a short postgraduate training course in dermatology for primary care doctors?, BMC Medical Education. 2011, 11: 20. |
| Li K.Y., Wong M.C.M., Lam K.F. and Schwarz E., School dental care affects utilizatoin of dental services and edentulousness, Journal of Dental Research. 2010, 89 (Spec Iss B): 3692. |
| Wong M.C.M., Lam K.F. and Lo E.C.M., Analysis of multilevel grouped survival data with time-varying regression coefficients, Statistics in Medicine. 2011, 30: 250-259. |
| Wun Y.T., Lam T.P., Lam K.F., Li D.K.T. and Yip K.C., Family medicine training in Hong Kong: similarities and differences between family and non-family doctors, The Hong Kong Medical Journal. 2011, 17: 47-53. |
| Wun Y.T., Lam T.P., Lam K.F., Goldberg D., Li D.K.T. and Yip K.C., How Do Patients Choose Their Doctors for Primary Care in a Free Market?, Journal of Evaluation in Clinical Practice. Wiley-Blackwell, 2010, 16: 1215-1220. |
| Wun Y.T., Lam T.P., Lam K.F., Goldberg D., Li D.K.T. and Yip K.C., Introducing family medicine in a pluralistic health care system: how patients and doctors see it, Family Practice. 2011, 28: 49-55. |
| Wun Y.T., Lam T.P., Goldberg D., Lam K.F., Li D.K.T. and Yip K.C., Reasons for preferring a primary care physician for care if depressed, Family Medicine. 2011, 43: 344-50. |
| Xu Y., Cheung Y.B., Lam K.F., Tan S.H. and Miligan P., A simple approach to the estimation of incidence rate difference, In: Moyses Szklo, MD, DrPH, American Journal of Epidemiology. Cary, NC, Oxford University Press, 2010, 172: 334-343. |
| Yiu K.H., Yeung C.K., Chan K.H.T., Wong R.M.Y., Tam S., Lam K.F., Yan G., Yue W., Chan H.H.L. and Tse H.F., Increased arterial stiffness in patients with psoriasis is associated with active systemic inflammation, British Journal of Dermatology. British Association of Dermatologists, 2011, 164: 514-520. |
| Researcher : Lam Y |
| List of Research Outputs |
| Liang X., Lam Y. and Li Z., Optimal replacement policy for a general geometric process model with d-shock, International Journal of Systems Science. Taylor & Francis, 2010, 1-14. |
| Researcher : Lee H |
| List of Research Outputs |
| Lam K., Yu P.L.H. and Lee H., A Margin Scheme that Advises on when to Change Required Margin, In: R. Slowinski, European Journal of Operational Research. Elsevier, 2010, 207: 524-530. |
| Lee H. and Yu P.L.H., Mixtures of weighted distance-based models for ranking data, In: Yves Lechevallier, Gilbert Saporta, Proceedings of COMPSTAT' 2010. Physica-Verlag, 517-524. |
| Yu P.L.H., Wan W.M. and Lee H., Decision Tree Modeling for Ranking Data, In: Fürnkranz, Johannes; Hüllermeier, Eyke (Eds.), Preference Learning. Springer-verlag, 2010, 83-106. |
| Researcher : Lee H |
| List of Research Outputs |
| Lam K., Yu P.L.H. and Lee H., A Margin Scheme that Advises on when to Change Required Margin, In: R. Slowinski, European Journal of Operational Research. Elsevier, 2010, 207: 524-530. |
| Lee H. and Yu P.L.H., Mixtures of weighted distance-based models for ranking data, In: Yves Lechevallier, Gilbert Saporta, Proceedings of COMPSTAT' 2010. Physica-Verlag, 517-524. |
| Yu P.L.H., Wan W.M. and Lee H., Decision Tree Modeling for Ranking Data, In: Fürnkranz, Johannes; Hüllermeier, Eyke (Eds.), Preference Learning. Springer-verlag, 2010, 83-106. |
| Researcher : Lee SMS |
| Project Title: | An adaptive combination of parametric and nonparametric bagged predictors |
| Investigator(s): | Lee SMS |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | General Research Fund (GRF) |
| Start Date: | 01/2008 |
| Completion Date: | 12/2010 |
| Project Title: | A new class of data depths based on goodness-of-fit tests |
| Investigator(s): | Lee SMS |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | General Research Fund (GRF) |
| Start Date: | 01/2009 |
| List of Research Outputs |
| Lok W.S. and Lee S.M.S., Robustness diagnosis for bootstrap inference, Journal of Computational and Graphical Statistics. 2011, 20: 448-460. |
| Wei B. and Lee S.M.S., Procedures for estimating optimal bootstrap sample size for the m out of n bootstrap, Research Report. Department of Statistics and Actuarial Science, HKU, 2011, 483: 1-32. |
| Wei B. and Lee S.M.S., Second-order accuracy of depth-based bootstrap confidence regions , Research Report. Department of Statistics and Actuarial Science, HKU, 2010, 476: 1-33. |
| Yu Z. and Lee S.M.S., Uniformly consistent bootstrap confidence intervals under smooth function models, Research Report. Department of Statistics and Actuarial Science, HKU, 2011, 479: 1-33. |
| Researcher : Li G |
| Project Title: | Test for non-stationary autoregressive processes with generalized bootstrap approximation. |
| Investigator(s): | Li G |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | General Research Fund (GRF) |
| Start Date: | 07/2010 |
| List of Research Outputs |
| Kwan W., Li W.K. and Li G., On The Threshold Hyperbolic GARCH Models, Statistics and Its Interface. USA, International Press of Boston, 2011, 4: 159-166. |
| Li G., Invited speaker, 2010 Joint Statistical Meetings, Vancouver, Canada, August, 2010. 2010. |
| Li G., Invited speaker, Workshop on Recent Advances in Nonlinear Time Series Analysis, National University of Singapore, February, 2011 (It is an invitation-based workshop.). 2011. |
| Li G. and Li W.K., Testing A Linear Time Series Models Against Its Threshold Extension, Biometrika. 2011, 98: 243-250. |
| Researcher : Li G. |
| Project Title: | Test for non-stationary autoregressive processes with generalized bootstrap approximation. |
| Investigator(s): | Li G |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | General Research Fund (GRF) |
| Start Date: | 07/2010 |
| List of Research Outputs |
| Li G..., Leng C. and Tsai C.L., A hybrid bootstrap approach to unit root tests, Research Report. Department of Statistics and Actuarial Science, HKU, 2011, 482: 1-30. |
| Researcher : Li WK |
| Project Title: | Statistical Inference for the Hyberbolic Generalized Conditional Autoregressive Heteroscedastic (HYGARCH) Model and Extensions |
| Investigator(s): | Li WK |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | General Research Fund (GRF) |
| Start Date: | 01/2009 |
| List of Research Outputs |
| Cheng X., Li W.K., Yu P.L.H., Zhou X., Wang C. and Lo P.H., Modeling Threshold Conditional Heteroscedasticity with Regime-Dependent Skewness and Kurtosis, Computational Statistics and Data Analysis. Holland, Elsevier, 2011, 55: 2590-2604. |
| Franke J., Stockis J.P., Tadjuidje-Kamgaing J. and Li W.K., Mixtures of Nonparametric Autoregressions, Journal of Nonparametric Statistics. USA, Taylor & Francis, 2011, 23: 287-303. |
| Karunasingha D. .S. .K., Jayawardena A. .W. and Li W.K., Evolutionary Product Unit Based Neural Networks for Hydrological Time Series Analysis, Journal of Hydroinformatics. UK, International Water Association, 2011, 13: 825-841. |
| Kwan W., Li W.K. and Li G., On The Threshold Hyperbolic GARCH Models, Statistics and Its Interface. USA, International Press of Boston, 2011, 4: 159-166. |
| Li D., Li W.K. and Ling S.Q., On the Least Square Estimation of Threshold Autoregressive Moving-Average Models, Statistics and Its Interface. USA, International Press of Boston, 2011, 4: 183-196. |
| Li G. and Li W.K., Testing A Linear Time Series Models Against Its Threshold Extension, Biometrika. 2011, 98: 243-250. |
| Li J., Li W.K., Wat K.P. and Yuen K.C., With a randomized dividend strategy in the compound binomial risk processes with delayed claims (presented by Kam Pui Wat, PhD student) , the 15th International Congress on Insurance: Mathematics and Economics, Trieste, Italy. 2011. |
| Li W.K., Book review on "Introductory Time Series with R" authored by Cowpertwait & Metcalfe, Biometrics. USA, Wiley-Blackwell, 2011, 67: 329. |
| Li W.K., Guest Co-Editor: Nonlinear Time Series: Threshold Modelling and Beyond , Special Issue of the Journal Statistics and Its Interface. International Press of Boston, 2011. |
| Li W.K., Invited speaker. Eighth International Chinese Statistical Association International Conference. Guangzhou University, Guangzhou, China, December 19-22, 2010. 2010. |
| Wang C. and Li W.K., Some statistical properties of the autopersistence functions and autopersistence graphs of a binary autoregressive time series , Research Report. Department of Statistics and Actuarial Science, HKU, 2010, 475: 1-19. |
| Wong S.T. and Li W.K., A Threshold Approach for Peak-Over-Threshold Modeling with Maximum Products of Spacings, Statistica Sinica. Taipei, Academia Sinica, 2010, 20: 1257-1272. |
| Yu P.L.H., Li W.K. and Jin S., On some models for value-at-risk, Econometric Reviews. Taylor & Francis Group, LLC, 2010, 29: 622-641. |
| Yuen K.C., Wat K.P. and Li W.K., On a discrete-time risk model with delayed claims and dividends. , International Conference on Applied Statistics and Actuarial Mathematics (ASFM 2010), Hong Kong. 2010. |
| Yuen K.C., Wat K.P. and Li W.K., Ruin Analysis of correlated aggregate claims using a multivariate time-series model. First Singapore Conference in Statistical Science, Singapore, 2010. |
| Researcher : Lok WS |
| List of Research Outputs |
| Lok W.S. and Lee S.M.S., Robustness diagnosis for bootstrap inference, Journal of Computational and Graphical Statistics. 2011, 20: 448-460. |
| Researcher : Lui GCS |
| List of Research Outputs |
| Lau D.C., Dumont C., Lui G.C.S. and Qiu J.W., Effectiveness of a small marine reserve in south China in protecting the harvested sea urchin Anthocidaris crassispina: a mark-and-recapture study, Biological Conservation . 2011, doi:10.1016/j.biocon.2011.07.027. |
| Researcher : Ng KW |
| Project Title: | Compositional Data Analysis Workshop (CoDaWork'03) Compositional Hypotheses of Subcompositional Stability and Specific Perturbation Change and Their Testing |
| Investigator(s): | Ng KW |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | URC/CRCG - Conference Grants for Teaching Staff |
| Start Date: | 10/2003 |
| Project Title: | Further Properties and New Applications for the family of Nested Dirichlet Distributions |
| Investigator(s): | Ng KW, Tian G |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | Small Project Funding |
| Start Date: | 08/2009 |
| List of Research Outputs |
| Chen A., Li J., Hou Z. and Ng K.W., Decay properties and quasi-stationary distributions for stopped Markovian bulk-arrival and bulk-service queues , Queueing Systems. Springer, 2010, 66: 275-311. |
| Chen Y., Chen A. and Ng K.W., The strong law of large numbers for extended negatively dependent random variables, Journal of Applied Probability. Applied Probability Trust, 2010, 47: 908-922. |
| Chen Y.Q., Yuen K.C. and Ng K.W., Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims , Applied Stochastic Models in Business and Industry. John Wiley & Sons, Ltd., 2011, 27(3): 290-300. |
| Ng K.W., Tian G. and Tang M.L., Dirichlet and Related Distributions: Theory, Methods and Applications, John Wiley & Sons (Wiley Series in Probability and Statistics), New York, USA. 2011. |
| Ng K.W. and Tong H., Inversion of Bayes Formula and measures of Bayesian information gain and pairwise dependence , Research Report. Department of Statistics and Actuarial Science, HKU, 2010, 477: 1-22. |
| Ng K.W. and Tong H., Inversion of Bayes formula and measures of Bayesian information gain and pairwise dependence, Statistics and Its Interface. International Press, 2011, 4(1): 95-103. |
| Ng K.W., Inversion of Bayes' Formula for Events, In: Miodrag Lovric, International Encyclopedia of Statistical Science. Springer, 2010, 690-695. |
| Researcher : Tian G |
| Project Title: | Accelerating the Quadratic Lower-Bound (QLB) Algorithm via Optimizing Shrinkage Parameter |
| Investigator(s): | Tian G |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | Seed Funding Programme for Basic Research |
| Start Date: | 04/2010 |
| Project Title: | New Non-randomized Response Techniques for Surveys with Sensitive Questions in the Epidemiological and Public Health Studies |
| Investigator(s): | Tian G |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | General Research Fund (GRF) |
| Start Date: | 11/2010 |
| Project Title: | A New Feature Selection Method for Generalized Linear Models with Correlated Covariates |
| Investigator(s): | Tian G |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | Seed Funding Programme for Basic Research |
| Start Date: | 04/2011 |
| List of Research Outputs |
| Liu Z.Q., Chen D.C., Tian G., Tang M.L., Tan M. and Sheng L., Efficient support vector machine method for survival prediction with SEER data , In Advances in Computational Biology (H.R. Arabnia, ed.), 11-18. Springer (Advances in Experimental Medicine and Biology 680), New York. 2010. |
| Ng K.W., Tian G. and Tang M.L., Dirichlet and Related Distributions: Theory, Methods and Applications, John Wiley & Sons (Wiley Series in Probability and Statistics), New York, USA. 2011. |
| Researcher : Tong H |
| Project Title: | Distinguished Visiting Professors in the Department of Statistics and Actuarial Science |
| Investigator(s): | Tong H |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | Distinguished Research Achievement Award |
| Start Date: | 05/2005 |
| List of Research Outputs |
| Ng K.W. and Tong H., Inversion of Bayes Formula and measures of Bayesian information gain and pairwise dependence , Research Report. Department of Statistics and Actuarial Science, HKU, 2010, 477: 1-22. |
| Ng K.W. and Tong H., Inversion of Bayes formula and measures of Bayesian information gain and pairwise dependence, Statistics and Its Interface. International Press, 2011, 4(1): 95-103. |
| Researcher : Wan WM |
| List of Research Outputs |
| Yu P.L.H., Wan W.M. and Lee H., Decision Tree Modeling for Ranking Data, In: Fürnkranz, Johannes; Hüllermeier, Eyke (Eds.), Preference Learning. Springer-verlag, 2010, 83-106. |
| Researcher : Wang C |
| List of Research Outputs |
| Cheng X., Li W.K., Yu P.L.H., Zhou X., Wang C. and Lo P.H., Modeling Threshold Conditional Heteroscedasticity with Regime-Dependent Skewness and Kurtosis, Computational Statistics and Data Analysis. Holland, Elsevier, 2011, 55: 2590-2604. |
| Wang C. and Li W.K., Some statistical properties of the autopersistence functions and autopersistence graphs of a binary autoregressive time series , Research Report. Department of Statistics and Actuarial Science, HKU, 2010, 475: 1-19. |
| Researcher : Wang C |
| List of Research Outputs |
| Cheng X., Li W.K., Yu P.L.H., Zhou X., Wang C. and Lo P.H., Modeling Threshold Conditional Heteroscedasticity with Regime-Dependent Skewness and Kurtosis, Computational Statistics and Data Analysis. Holland, Elsevier, 2011, 55: 2590-2604. |
| Wang C. and Li W.K., Some statistical properties of the autopersistence functions and autopersistence graphs of a binary autoregressive time series , Research Report. Department of Statistics and Actuarial Science, HKU, 2010, 475: 1-19. |
| Researcher : Wat KP |
| List of Research Outputs |
| Li J., Li W.K., Wat K.P. and Yuen K.C., With a randomized dividend strategy in the compound binomial risk processes with delayed claims (presented by Kam Pui Wat, PhD student) , the 15th International Congress on Insurance: Mathematics and Economics, Trieste, Italy. 2011. |
| Yuen K.C., Wat K.P. and Li W.K., On a discrete-time risk model with delayed claims and dividends. , International Conference on Applied Statistics and Actuarial Mathematics (ASFM 2010), Hong Kong. 2010. |
| Yuen K.C., Wat K.P. and Li W.K., Ruin Analysis of correlated aggregate claims using a multivariate time-series model. First Singapore Conference in Statistical Science, Singapore, 2010. |
| Researcher : Wei B |
| List of Research Outputs |
| Wei B. and Lee S.M.S., Procedures for estimating optimal bootstrap sample size for the m out of n bootstrap, Research Report. Department of Statistics and Actuarial Science, HKU, 2011, 483: 1-32. |
| Wei B. and Lee S.M.S., Second-order accuracy of depth-based bootstrap confidence regions , Research Report. Department of Statistics and Actuarial Science, HKU, 2010, 476: 1-33. |
| Researcher : Wei B |
| List of Research Outputs |
| Wei B. and Lee S.M.S., Procedures for estimating optimal bootstrap sample size for the m out of n bootstrap, Research Report. Department of Statistics and Actuarial Science, HKU, 2011, 483: 1-32. |
| Wei B. and Lee S.M.S., Second-order accuracy of depth-based bootstrap confidence regions , Research Report. Department of Statistics and Actuarial Science, HKU, 2010, 476: 1-33. |
| Researcher : Wong ST |
| List of Research Outputs |
| Wong S.T. and Li W.K., A Threshold Approach for Peak-Over-Threshold Modeling with Maximum Products of Spacings, Statistica Sinica. Taipei, Academia Sinica, 2010, 20: 1257-1272. |
| Researcher : Yang CT |
| List of Research Outputs |
| Yang C.T., Fung T.W.K. and Tam W...M..., Analysis of breath alcohol measurements using compartmental and generalized linear models, Proceedings of COMPSTAT'2010 : 19th International Conference on Computational Statistics. Paris-France, August 22-27, 2010 . Heidelberg: Physica-Verlag, 2010, 1693-1700. |
| Researcher : Yang H |
| Project Title: | Absolute ruin probability in a jump diffusion model |
| Investigator(s): | Yang H |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | Small Project Funding |
| Start Date: | 11/2007 |
| Completion Date: | 10/2010 |
| Project Title: | Risk Management of Equity-Linked Insurance Products |
| Investigator(s): | Yang H |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | General Research Fund (GRF) |
| Start Date: | 01/2009 |
| Completion Date: | 12/2010 |
| Project Title: | Option Pricing and ALM in Regime Switching Models |
| Investigator(s): | Yang H, Yin GG |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | General Research Fund (GRF) |
| Start Date: | 01/2010 |
| Project Title: | The 7th. Symposium on Risk Management and Cyber-Informatics (RMCI 2010) Pricing Options and Equity-Indexed Annuities in a Regime-switching Model by Trinomial Tree Method |
| Investigator(s): | Yang H |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | URC/CRCG - Conference Grants for Teaching Staff |
| Start Date: | 06/2010 |
| Completion Date: | 07/2010 |
| Project Title: | 15th International Congress on Insurance Mathematics and Economics On optimal portfolios with derivatives in a regime-switching market |
| Investigator(s): | Yang H |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | URC/CRCG - Conference Grants for Teaching Staff |
| Start Date: | 06/2011 |
| Completion Date: | 06/2011 |
| List of Research Outputs |
| Albrecher H., Gerber H.U. and Yang H., A direct approach to the discounted penalty function. Discussion , North American Actuarial Journal . Schaumburg, Ill. : Society of Actuaries, 2010, 14(4): 434-447. |
| Albrecher H., Gerber H.U. and Yang H., A direct approach to the discounted penalty function, North American Actuarial Journal. Schaumburg, Ill. : Society of Actuaries, 2010, 14(4): 420-434. |
| Chen P. and Yang H., Markowitz's mean-variance asset-liability management with regime switching: a multi-period model, Applied Mathematical Finance. 2011, 18(1): 29-50. |
| Dong J., Cheung K.C. and Yang H., Upper comonotonicity and convex upper bounds for sums of random variables, Insurance: Mathematics and Economics. Elsevier B.V., 2010, 47: 159-166. |
| Gerber H.U. and Yang H., Obtaining the dividends-penalty identities by interpretation, Insurance: Mathematics and Economics . Elsevier B.V., 2010, 47(2): 206-207. |
| Jin Z., Yin G. and Yang H., Numerical methods for dividend optimization using regime-switching jump-diffusion models, Mathematical Control and Related Fields. America Institute of Mathematical Sciences, 2011, 1(1): 21-40. |
| Wei J., Yang H. and Wang R., Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching, Journal of Optimization Theory and Applications. Springer, 2010, 147(2): 358-377. |
| Wei J., Yang H. and Wang R., Optimal Threshold Dividend Strategies under the Compound Poisson Model with Regime Switching , In: A. Kohatsu-Higa, N. Privault and S.J. Sheu in Progress in Probability, Stochastic Analysis with Financial Applications . Springer Basel AG, 2011, 65: 413-429. |
| Wei J., Yang H. and Wang R., Optimal reinsurance and dividend strategies under the Markov-modulated insurance risk model, Stochastic Analysis and Applications. Taylor & Francis Group, LLC, 2010, 28: 1078-1105. |
| Yang H., 2010 China Risk Management and Actuarial Science Forum. Renmin University of China, China, 2010. |
| Yang H., 6th IMT-GT International Conference on Mathematics, Statistics and Its Applications . Kuala Lumpur, 2010. |
| Yang H., Associate Editor, Acta Mathematicae Applicatae Sinica. 2010. |
| Yang H., Associate Editor, Insurance: Mathematics and Economics. 2010. |
| Yang H., Associate Editor, Stochastics: An International Journal of Probability and Stochastic Processes. 2010. |
| Yang H., Editor, Advances in Statistics, Probability and Actuarial Science. World Scientific, 2010. |
| Yang H., Guest Editor, Special Issue of the Risk and Decision Analysis. 2010. |
| Yang H., Memorable Actuarial Research Conference. Leuven, 2011. |
| Yang H., Plenary speaker at Actuarial Risk, CIMAT. Guanajuato Mexico, 2010. |
| Yang H., The International Conference on Applied Statistics and Financial Mathematics. Hong Kong, 2010. |
| Yao D., Yang H. and Wang R., Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs, European Journal of Operational Research. Elsevier B.V., 2011, 211: 568-576. |
| Yao D., Yang H. and Wang R., Optimal financing and dividend strategies in a dual model with proportional costs, Journal of Industrial and Management Optimization. America Institute of Mathematical Sciences, 2010, 6(4): 761-777. |
| Yin G., Jin Z. and Yang H., Asymptotically optimal dividend policy for regime-switching compound Poisson models, Acta Mathematicae Applicatae Sinica. 2010, 26(4): 529-542. |
| Yuen F.L. and Yang H., Pricing options and equity-indexed annuities in a regime-switching model by trinomial tree method, Proceedings of The 14th World Multi-Conference on Systemics, Cybernetics and Informatics. Orlando, 2010, III: 321-325. |
| Zhang Z., Yang H. and Yang H., On the absolute ruin in a MAP risk model with debit interest, Advances in Applied Probability. Applied Probability Trust, 2011, 43(1): 77-96. |
| Researcher : Yao J.J. |
| List of Research Outputs |
| Passemier D. and Yao J...J..., On determining the number of spikes in a high-dimensional spiked population model , Research Report. Department of Statistics and Actuarial Science, HKU, 2011, 480: 1-20. |
| Yao J...J..., A note on a Marčenko-Pastur type theorem for time series , Research Report. Department of Statistics and Actuarial Science, HKU, 2011, 481: 1-11. |
| Researcher : Yao JJ |
| List of Research Outputs |
| Bai Z.D., Chen J. and Yao J.J., ON ESTIMATION OF THE POPULATION SPECTRAL DISTRIBUTION FROM A HIGH-DIMENSIONAL SAMPLE COVARIANCE MATRIX, Australian & New Zealand Journal of Statistics. Wiley, 2010, 52: 423–437. |
| Chen J., Delyon B. and Yao J.J., On a model selection problem from high-dimensional sample covariance matrices, Journal of Multivariate Analysis. Elsevier, 2011, 102: 1388-1398. |
| Crivelli T., Cernuschi-Friasa B., Bouthemy P. and Yao J.J., Mixed-state causal modeling for statistical KL-based motion texture tracking, Pattern Recognition Letters. Elsevier, 2010, 31: 2286-2294. |
| Crivelli T., Bouthemy P., Cernuschi-Frias B. and Yao J.J., Simultaneous Motion Detection and Background Reconstruction with a Conditional Mixed-State Markov Random Field, International Journal of Computer Vision. Springer, 2011, 94: 295–316. |
| Yao J.J., High-dimensional statistical problems related to sample covariance matrices , Workshop in Probability and Statistics, Zhejiang University. 2011. |
| Yao J.J., Random Matrices: Theory and Applications. World Scientific Publishing, 2011. |
| Researcher : Yin G |
| Project Title: | Bayesian Adaptive Designs in Cancer Clinical Trials |
| Investigator(s): | Yin G |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | General Research Fund (GRF) |
| Start Date: | 09/2010 |
| Project Title: | Society for Clinical Trial 32nd Annual Meeting - 2011 Two-stage Dose Finding for Cytostatic Agents in Phase I Clinical Trials |
| Investigator(s): | Yin G |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | URC/CRCG - Conference Grants for Teaching Staff |
| Start Date: | 05/2011 |
| List of Research Outputs |
| Garcia T.P., Ma Y.Y. and Yin G., Efficiency improvement in a class of survival models through model-free covariate incorporation , Lifetime Data Analysis. Springer, 2011, 1-14. |
| Lei X., Yuan Y. and Yin G., Bayesian phase II adaptive randomization by jointly modeling time-to-event efficacy and binary toxicity, Lifetime Data Analysis. Springer, 2011, 17(1): 156-174. |
| Ma Y.Y. and Yin G., Censored quantile regression with covariate measurement errors, Statistica Sinica. Institute of Statistical Science, Academia Sinica, 2011, 21: 949-971. |
| Ma Y.Y. and Yin G., Semiparametric median residual life model and inference, The Canadian Journal of Statistics. Statistical Society of Canada, 2010, 38(4): 665-679. |
| Yin G. and Yuan Y., Bayesian approach for adaptive design., In: Annpey Pong and Shein-Chung Chow, Handbook of Adaptive Designs in Pharmaceutical and Clinical Development . CRC Press, 2010, 3.1-3.19. |
| Yin G., Bayesian generalized method of moments. Joint Statistical Meeting (JSM), Vancouver, August, 2010., 2010. |
| Yin G., Fractional 3+3 design with late-onset toxicity in phase I clinical trials. Department of Biostatis- tics, The University of Texas, M. D. Anderson Cancer Center, Houston, TX, July, 2010., 2010. |
| Yin G., Invited Speaker in Bayesian Analysis session at JSM to honor the best contributions to Bayesian Analysis, Vancouver, Canada, August 2010., 2010. |
| Yuan Y. and Yin G., Bayesian phase I/II adaptively randomized oncology trials with combined drugs , The Annals of Applied Statistics. Institute of Mathematical Statistics, 2011, 5(2A): 924-942. |
| Yuan Y. and Yin G., Dose-response curve estimation: A semiparametric mixture approach, Biometrics. The International Biometric Society, 2011, 1-12. |
| Yuan Y. and Yin G., On the usefulness of outcome-adaptive randomization, Journal of Clinical Oncology. American Society of Clinical Oncology, 2011, 29(13): e390-e392. |
| Yuan Y. and Yin G., Robust EM continual reassessment method in oncology dose finding, Journal of the American Statistical Association. American Statistical Association, 2011, 1-14. |
| Researcher : Yip PSF |
| Project Title: | 22nd World Congress of the International Association for Suicide Preventation (IASP) Social Burden of Suicide Risk in Hong Kong |
| Investigator(s): | Yip PSF |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | URC/CRCG - Conference Grants for Teaching Staff |
| Start Date: | 09/2003 |
| Project Title: | IBC 2004 XXIInd International Biometric Conference in Parallel with ASC 2004 Australian Statistical Conference A Unification Method of Estimating Population Size via Capture-recapture Experiments |
| Investigator(s): | Yip PSF |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | URC/CRCG - Conference Grants for Teaching Staff |
| Start Date: | 07/2004 |
| Project Title: | XVIII World Congress of the International Association for Suicide Prevention Suicide in Three Chinese Communities: China, Taiwan and Hong Kong |
| Investigator(s): | Yip PSF |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | URC/CRCG - Conference Grants for Teaching Staff |
| Start Date: | 09/2005 |
| Project Title: | HKU Overseas Fellowship Awards 2009-10 |
| Investigator(s): | Yip PSF |
| Department: | Soc Work & Social Administration |
| Source(s) of Funding: | HKU Overseas Fellowship Awards |
| Start Date: | 09/2009 |
| Project Title: | Outstanding Researcher Award 2008-2009 |
| Investigator(s): | Yip PSF |
| Department: | Soc Work & Social Administration |
| Source(s) of Funding: | Outstanding Researcher Award |
| Start Date: | 12/2009 |
| Project Title: | A Comparative Study on Quality of Suicide Prevention Websites in Hong Kong, Taiwan, and Mainland China |
| Investigator(s): | Yip PSF |
| Department: | Soc Work & Social Administration |
| Source(s) of Funding: | Small Project Funding |
| Start Date: | 12/2009 |
| Project Title: | 13th Euorpean symposium on suicide and suicidal behavior Suicide Prevention in Asia: Challenges and Opportunities |
| Investigator(s): | Yip PSF |
| Department: | Soc Work & Social Administration |
| Source(s) of Funding: | URC/CRCG - Conference Grants for Teaching Staff |
| Start Date: | 09/2010 |
| Completion Date: | 09/2010 |
| Project Title: | A study on Suicide Clusters: Hong Kong and Taiwan experiences |
| Investigator(s): | Yip PSF |
| Department: | Soc Work & Social Administration |
| Source(s) of Funding: | General Research Fund (GRF) |
| Start Date: | 10/2010 |
| Project Title: | A Study on Population Health and Health Economicsfor Hong Kong SAR |
| Investigator(s): | Yip PSF |
| Department: | Soc Work & Social Administration |
| Source(s) of Funding: | Public Policy Research |
| Start Date: | 10/2010 |
| Researcher : Yu PLH |
| Project Title: | Development of Data Mining Labs using SAS Enterprise Miner Version 5 |
| Investigator(s): | Yu PLH |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | Run Run Shaw Research and Teaching Endowment Fund - Teaching Grants |
| Start Date: | 06/2007 |
| Project Title: | Two-Dimensional Probabilistic Principal Component Analysis |
| Investigator(s): | Yu PLH |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | Small Project Funding |
| Start Date: | 12/2009 |
| Completion Date: | 05/2011 |
| Project Title: | Bilinear Factor Models for 2D Data and their Applications |
| Investigator(s): | Yu PLH |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | General Research Fund (GRF) |
| Start Date: | 12/2010 |
| List of Research Outputs |
| Cheng X., Li W.K., Yu P.L.H., Zhou X., Wang C. and Lo P.H., Modeling Threshold Conditional Heteroscedasticity with Regime-Dependent Skewness and Kurtosis, Computational Statistics and Data Analysis. Holland, Elsevier, 2011, 55: 2590-2604. |
| Lam K., Yu P.L.H. and Lee H., A Margin Scheme that Advises on when to Change Required Margin, In: R. Slowinski, European Journal of Operational Research. Elsevier, 2010, 207: 524-530. |
| Lee H. and Yu P.L.H., Mixtures of weighted distance-based models for ranking data, In: Yves Lechevallier, Gilbert Saporta, Proceedings of COMPSTAT' 2010. Physica-Verlag, 517-524. |
| Yu P.L.H., Associate Editor, Computational Statistics & Data Analysis. 2011. |
| Yu P.L.H., Wan W.M. and Lee H., Decision Tree Modeling for Ranking Data, In: Fürnkranz, Johannes; Hüllermeier, Eyke (Eds.), Preference Learning. Springer-verlag, 2010, 83-106. |
| Yu P.L.H., Li W.K. and Jin S., On some models for value-at-risk, Econometric Reviews. Taylor & Francis Group, LLC, 2010, 29: 622-641. |
| Zhao J., Yu P.L.H. and Li S..., Separable two-dimensional linear discriminant analysis, In: Yves Lechevallier, Gilbert Saporta, Proceedings of COMPSTAT' 2010. Physica-Verlag, 597-604. |
| Researcher : Yu Z |
| List of Research Outputs |
| Yu Z. and Lee S.M.S., Uniformly consistent bootstrap confidence intervals under smooth function models, Research Report. Department of Statistics and Actuarial Science, HKU, 2011, 479: 1-33. |
| Researcher : Yuen FL |
| List of Research Outputs |
| Yuen F.L. and Yang H., Pricing options and equity-indexed annuities in a regime-switching model by trinomial tree method, Proceedings of The 14th World Multi-Conference on Systemics, Cybernetics and Informatics. Orlando, 2010, III: 321-325. |
| Researcher : Yuen KC |
| Project Title: | Ruin analysis of some insurance risk model with heavy-tailed claims and risky investment |
| Investigator(s): | Yuen KC |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | Small Project Funding |
| Start Date: | 12/2009 |
| Completion Date: | 05/2011 |
| Project Title: | The Seventh International Conference on MMR (MMR 2011) The expected discounted penalty function for the compound binomial risk model with delayed claims and randomized dividends |
| Investigator(s): | Yuen KC |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | URC/CRCG - Conference Grants for Teaching Staff |
| Start Date: | 06/2011 |
| Completion Date: | 06/2011 |
| List of Research Outputs |
| Chen Y.Q., Yuen K.C. and Ng K.W., Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims , Applied Stochastic Models in Business and Industry. John Wiley & Sons, Ltd., 2011, 27(3): 290-300. |
| Li J., Li W.K., Wat K.P. and Yuen K.C., With a randomized dividend strategy in the compound binomial risk processes with delayed claims (presented by Kam Pui Wat, PhD student) , the 15th International Congress on Insurance: Mathematics and Economics, Trieste, Italy. 2011. |
| Yuen K.C., Computational Statistics and Data Analysis , Associate Editor , 2011. |
| Yuen K.C., Wat K.P. and Li W.K., On a discrete-time risk model with delayed claims and dividends. , International Conference on Applied Statistics and Actuarial Mathematics (ASFM 2010), Hong Kong. 2010. |
| Yuen K.C. and Yin C., On optimality of the barrier strategy for a general Levy risk process, Mathematical and Computer Modelling. Elsevier Ltd., 2011, 53: 1700-1707. |
| Yuen K.C., Li J. and Wu R., On the compound binomial risk model with delayed claims and dividend payments , Research Report. Department of Statistics and Actuarial Science, HKU, 2010, 478: 1-16. |
| Yuen K.C., Wat K.P. and Li W.K., Ruin Analysis of correlated aggregate claims using a multivariate time-series model. First Singapore Conference in Statistical Science, Singapore, 2010. |
| Yuen K.C., Li J. and Wu R., The expected discounted penalty function for the compound binomial risk model with delayed claims and randomized dividends. The Seventh International Conference on Mathematical Methods in Reliability, Beijing, China, 2011. |
| Researcher : Zang Y |
| List of Research Outputs |
| Zang Y. and Fung T.W.K., Robust tests for matched case-control genetic association studies, BMC Genetics. BioMed Central Ltd, 2010, 11: 91-104. |
| Researcher : Zhao J |
| List of Research Outputs |
| Zhao J., Yu P.L.H. and Li S..., Separable two-dimensional linear discriminant analysis, In: Yves Lechevallier, Gilbert Saporta, Proceedings of COMPSTAT' 2010. Physica-Verlag, 597-604. |
| Researcher : Zhou X |
| List of Research Outputs |
| Cheng X., Li W.K., Yu P.L.H., Zhou X., Wang C. and Lo P.H., Modeling Threshold Conditional Heteroscedasticity with Regime-Dependent Skewness and Kurtosis, Computational Statistics and Data Analysis. Holland, Elsevier, 2011, 55: 2590-2604. |