13 citations · 20 across the 4 of their papers we have counts for
4 papers
Modile as a conservative tail risk measurer: the solution of an optimisation problem with 0-1 loss function
Keming Yu, Rong Jiang, Chi Tim Ng
Quantiles and expectiles, which are two important concepts and tools in tail risk measurements, can be regarded as an extension of median and mean, respectively. Both of these tail…
Regularized LRT for Large Scale Covariance Matrices: One Sample Problem
Young-Geun Choi, Chi Tim Ng, Johan Lim
The main theme of this paper is a modification of the likelihood ratio test (LRT) for testing high dimensional covariance matrix. Recently, the correct asymptotic distribution of t…
Model comparison with composite likelihood information criteria
Chi Tim Ng, Harry Joe
Comparisons are made for the amount of agreement of the composite likelihood information criteria and their full likelihood counterparts when making decisions among the fits of dif…
Fractional constant elasticity of variance model
Ngai Hang Chan, Chi Tim Ng
This paper develops a European option pricing formula for fractional market models. Although there exist option pricing results for a fractional Black-Scholes model, they are estab…