Wong, Albert Chun-shan（黃鎮山）

Teaching Area and Research Interest

Financial Time Series Analysis
Actuarial Science

• Publications & Working Papers
  • Albert C. S. Wong, Wai-sum Chan, and P. L. Kam (2009), “A Student t-mixture Autoregressive Model with Applications to Heavy-Tailed Financial Data,” Biometrika, 96,  751-760.
  • Wai-sum Chan, Albert C. S. Wong, and H. L. Chung (2009), “Modelling Australian Interest Rate Swap Spreads by Mixture Autoregressive Conditional Heteroscedastic Processes,” Mathematics and Computers in Simulation, 79, 2779-2786.
  • P. W. Fong, and Albert C. S. Wong (2008), “Stress-Testing Banks’ Credit Risk Using Mixture Vector Autoregressive Models,” Stress-testing for Financial Institutions, 173-193.
  • P. W. Fong, W. K. Li, C. W. Yau, and Albert C. S. Wong (2007), “On a Mixture Vector Autoregressive Model,” Canadian Journal of Statistics, 35(1), 135-150.
  • Albert C. S. Wong and Wai-sum Chan (2005), “Mixture Gaussian Time Series Modelling of Long-Term Market Returns,” North American Actuarial Journal, 9(4), 83-94.
  • Wai-sum Chan, Albert C. S. Wong, and H. Tong (2004), “Some Non-linear Threshold Autoregressive Time Series Models for Actuarial Use,” North American Actuarial Journal, 37-61.
  • K. F. Wong and Albert C. S. Wong (2003), “An Application of the Mixture Autoregressive Model: A Case Study of Modelling Yearly Sunspot Data,”  Advances in Data Mining and Modelling, 142-151.
  • Albert C. S. Wong and W. K. Li (2001), “On A Logistic Mixture Autoregressive Model,” Biometrika, 88, 833-836.
  • Albert C. S. Wong and W. K. Li (2001), “On A Mixture Autoregressive Conditional Heteroscedastic Model,” American Statistical Association, 96, 982-995.
  • Albert C. S. Wong and W. K. Li (2000), “On A Mixture Autoregressive Model,” Journal of Royal Statistical Society, Series B, 62, 95-115.
  • Albert C. S. Wong and W. K. Li (2000), “Testing for Double Threshold Autoregressive Conditional Heteroscedastic Model,” Statistical Sinica, 10, 173-189.
  • Albert C. S. Wong and W. K. Li (1998), “A Note on the Corrected Akaike Information Criterion for Threshold Autoregressive Models,” Journal of Time Series Analysis, 19, 13-124.
  • Albert C. S. Wong and W. K. Li (1997), “Testing for Threshold Autoregression with Conditional Heteroscedasticity,” Biometrika, 84, 407-418.

• Grants
  • “Estimating Portfolio Value-at-Risk with Multivariate Mixture Time Series Models (利用多變數混合時間列序模型估計投資組合的風險值)”, Earmarked Grants awarded by Research Grants Council, 2006-2008
  • “Actuarial Applications of Mixture Gaussian Time Series Models (混合時間列序模型的精算應用)”, Earmarked Grants awarded by Research Grants Council, 2003-2006