Dr. Wing Hong Chan

Associate Professor (Economics)

Contact Information

Email: wchan@wlu.ca
Phone: 519.884.0710 ext.3650
Fax: 519.888.1015
Office Location: P3042
Office Hours: Winter 2010: By appointment only
Personal Website: http://www.wlu.ca/~wwwsbe/faculty/wchan/

Academic Background

Biography

Wing Chan obtained his MA and PhD in Economics from the University of Alberta (1996, 2002). His doctoral work was development of nonlinear models for applications in financial markets. Prof. Chan's main research interest is in financial econometrics. This includes research on ARCH/GARCH, stochastic volatility, and jumps for applications in asset pricing, hedging, and option trading. 

RESEARCH INTERESTS

Econometrics, Derivatives, Risk Management, Asset Pricing Models

CURRENT RESEARCH PROJECTS 

• Conditional Regime-Switiching Jumps in Bear and Bull Stock Market Returns
• Extreme News Events, Long-memory Volatility, and Time Varying Risk Premia in Stock Market Returns
• Weather, Inventory and Common Jump Dynamics in Natural Gas Futures and Spot Markets
• Forecasting Horizon and the Predictability of Market Volatility
• Do Derivatives Markets Contain Useful Information for Signaling "Hot Money" Flows?
  

GRANTS AND AWARDS

• Research Prize for Top Ph.D. Paper Award at the Midwest Finance Association Meeting (2009) “Extreme News Events, Long-Memory Volatility and Time Varying Risk Premia", with LiLing Feng.
• Research Prize for Best Paper on Derivatives at the Northern Finance Association Meeting (2004) “The Economic Value of Trading with Realized Volatility in the S&P 500 Index Options Market,” with Ranjini Jha and Madhu Kalimipalli.
• RGC Competitive Earmarked Research Grant (CERG), Hong Kong University Grant Committee (UGC) "Does a financial crisis change relationship? The case of a housing market" (2007-2009) HKD$449,000 (with Charles Leung)
• Standard Research Grant, Social Sciences and Humanities Research Council of Canada SSHRC, (2004-2007), “Extreme Events in Financial Markets,” CAD$33,826.

PUBLICATIONS

• Chan, W. H., (2010), “Optimal Hedge Ratios in the Presence of Common Jumps ”, Journal of Futures Markets, forthcoming. (pdf)
• Chan, W. H. and D. Young, (2009), “Conditional Jump Dynamics in Copper Futures Returns”, Review of Futures Markets, 18 (1), 75-85. (pdf)
• Chan, W. H., R. Jha and M. Kalimipalli (2009), “The Economic Value of Using Realized Volatility in Forecasting Future Implied Volatility," Journal of Financial Research, forthcoming. (pdf)
• Chan, W. H. (2008), “Dynamic Hedging with Foreign Currency Futures in the Presence of Jumps," Studies in Nonlinear Dynamics & Econometrics, 12 (2) art 4.  (pdf)
• Chan, W. H. and D. Rich, (2006), “Occupational Labor Demand and the Sources of Nonneutral Technical Change”, Oxford Bulletin of Economics & Statistics, 68 (1) pp. 23-43. (pdf) 
• Chan, W. H. and D. Young, (2006), “Jumping Hedges: An Examination of Movements in Copper Spot and Futures Markets”, Journal of Futures Markets, 26 (2) pp.169-188. (pdf)
• McMillan, M. and W. H. Chan, (2006), “Comparing University Efficiency Using Stochastic and Non-Stochastic Methods: The Case of Canadian Universities”, Education Economics, 14 (1) pp. 1-30. (pdf)
• Boxall, P., W. H. Chan, and M. McMillan, (2005), “The Impact of Oil and Natural Gas Facilities on Rural Residential Property Values”, Resources & Energy Economics, 27, pp.248-269. (pdf)  
• Chan, W. H., (2004), “Conditional Correlated Jump Dynamics in Foreign Exchange”, Economics Letters, 83, pp.23-28. (pdf)
• Chan, W. H., (2003), “A Correlated Bivariate Poisson Jump Model for Foreign Exchange”, Empirical Economics, 28, pp.669-689.  (CBP-GARCH-Jump code in Matlab) (pdf)
• Chan, W. H. and J. M. Maheu, (2002), “Conditional Jump Dynamics in Stock Market Returns”, Journal of Business & Economic Statistics, 20 (3), pp.377-389.  (ARJI-GARCH code provided by RATS Estima)  (pdf)
• Buse, A. and W. H. Chan, (2000), “Invariance, Price Indices, and Estimation in Demand Analysis”, Empirical Economics, 25, pp.519-539.  (pdf)