16 citations · 34 across the 7 of their papers we have counts for
4 papers · 1 filter
Block Sampling under Strong Dependence
Ting Zhang, Hwai-Chung Ho, Martin Wendler +1
The paper considers the block sampling method for long-range dependent processes. Our theory generalizes earlier ones by Hall, Jing and Lahiri (1998) on functionals of Gaussian pro…
On Berry--Esseen bounds for non-instantaneous filters of linear processes
Tsung-Lin Cheng, Hwai-Chung Ho
Let , where the are i.i.d. with mean 0 and at least finite second moment, and the are assumed to satisfy with $β>1/…
Time Series and Related Topics. In Memory of Ching-Zong Wei
Hwai-Chung Ho, Ching-Kang Ing, Tze Leung Lai
A major research area of Ching-Zong Wei (1949--2004) was time series models and their applications in econometrics and engineering, to which he made many important contributions. A…
Estimation errors of the Sharpe ratio for long-memory stochastic volatility models
Hwai-Chung Ho
The Sharpe ratio, which is defined as the ratio of the excess expected return of an investment to its standard deviation, has been widely cited in the financial literature by resea…