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On a robust test for SETAR-type nonlinearity in time series analysis

Hung, King Chi; Cheung, Siu Hung; Chan, Wai-Sum; Zhang, … - In: Journal of forecasting 28 (2009) 5, pp. 445

Persistent link: https://www.econbiz.de/10008283811

AN ACTUARIAL APPROACH TO ASSESSING PERSONAL INJURY COMPENSATIONS IN SINGAPORE: THEORY AND PRACTICE

CHAN, FELIX W. H.; CHAN, WAI-SUM; LI, JOHNNY S. H. - In: The Singapore economic review : journal of the Economic … 55 (2010) 4, pp. 705-732

Persistent link: https://www.econbiz.de/10008811998

Modeling investment guarantees in Japan: A risk-neutral GARCH approach

Ng, Andrew Cheuk-Yin; Li, Johnny Siu-Hang; Chan, Wai-Sum - In: International review of financial analysis 20 (2011) 1, pp. 20-27

Persistent link: https://www.econbiz.de/10008818603

Robustness of alternative non-linearity tests for SETAR models

Chan, Wai-Sum; Ng, Man-Wai - In: Journal of forecasting 23 (2004) 3, pp. 215-232

Persistent link: https://www.econbiz.de/10006882673

Some results on ruin probabilities in a two-dimensional risk model

Chan, Wai-Sum; Yang, Hailiang; Zhang, Lianzeng - In: Insurance / Mathematics & economics 32 (2003) 3, pp. 345-358

Persistent link: https://www.econbiz.de/10006887756

Time-simultaneous prediction bands: A new look at the uncertainty involved in forecasting mortality

Li, Johnny Siu-Hang; Chan, Wai-Sum - In: Insurance / Mathematics & economics 49 (2011) 1, pp. 81-89

Persistent link: https://www.econbiz.de/10009132995

Threshold non-linear dynamics between Hang Seng stock index and futures returns

Chung, Hon-Lun; Chan, Wai-Sum; Batten, Jonathan A. - In: The European journal of finance 17 (2011) 7, pp. 471-487

Persistent link: https://www.econbiz.de/10009265651

THE LEAD-LAG RELATION BETWEEN THE S&P500 SPOT AND FUTURES MARKETS: AN INTRADAY-DATA ANALYSIS USING A THRESHOLD REGRESSION MODEL

TSE, YIU-KUEN; CHAN, WAI-SUM - In: The Japanese economic review : the journal of the … 61 (2010) 1, pp. 133-145

Persistent link: https://www.econbiz.de/10008383666

Outliers and financial time series modelling: A cautionary note

Chan, Wai-sum - In: Mathematics and Computers in Simulation (MATCOM) 39 (1995) 3, pp. 425-430

Persistent link: https://www.econbiz.de/10010749640

Pricing options on stocks denominated in different currencies: Theory and illustrations

Ng, Andrew C.Y.; Li, Johnny Siu-Hang; Chan, Wai-Sum - In: The North American Journal of Economics and Finance 26 (2013) C, pp. 339-354

Basket options have long been an important structured product. One can write a basket option on assets denominated in different currencies, but settle the option in one single currency at some fixed exchange rate. This special type of basket options can be found in many life insurance products...

Persistent link: https://www.econbiz.de/10010730247