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Dr. Ng Chi Tim
BSc, MPhil., PhD. |
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Office Email
Telephone
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HJ616, Stanley Ho Building
machitim@inet.polyu.edu.hk
2766 7864
2362 9045 |
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Teaching
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Research Interests
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- Option Pricing Theory
- Statistical Interference of Time Series Models
- Stochastic Calculus
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Publications
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H. Joe, J. Qu, T. Ng and Y. Lee, Composite Likelihood Approach to Stochastic Volatility Models, Submitted, 2009
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H. Joe and T. Ng, Composite Likelihood Methods for Statistical Inference for Autoregressive Stochastic Volatility Models, Submitted, 2009
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S. Lee and T. Ng, Trimmed Portmanteau Test for Linear Process with Infinite Variance, Submitted, 2009
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J. Lim, K.S. Hahn and T. Ng, Testing Stochastic Orders in Tails of Contingency Tables, Submitted, 2009
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N.H. Chan and T. Ng, Stochastic Integrals Driven by Fractional Brownian Motion and Arbitrage, A Tale of Two Integrals, To be appear in Quantitative Finance, 2009
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T. Ng, Statistical Inference for FIGARCH and Related Models, Ph.D. Dissertation, 2007
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N.H. Chan and T.Ng, Fractional Constant Elasticity of Variance Model, Time Series and Related Topics, 149-164, 2006
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