Becoming a Golden Hawk means more than just cheering on our (really good) varsity teams – it means being a student who cares about your community, who works hard in the classroom, and who takes advantage of all the learning opportunities that can happen outside the classroom, too.
Wing Chan obtained his MA and PhD in Economics from the University of Alberta (1996, 2002).
Research Interests / Ongoing Projects
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.
Awards and Achievements
Research Prize for Top PhD 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, (2004-2007), “Extreme Events in Financial Markets,” CAD$33,826.
Chong, T, C. Lu, and W. H. Chan (2012) “Long-Range Dependence in the International Diamond Market,” Economics Letters, 116 (3), 401-403.
Chan, W. H., and L. Feng (2012) “Time Varying Jump Risk Premia in Stock Index Futures Returns,” Journal of Futures Markets, 32(7), 639-659.
Chan, W. H., X. Cheng, and J. Fung (2010), “Forecasting Volatility: Role of High Frequency Data and Forecasting Horizon,” Journal of Futures Markets, 30(12), 1167-1191.
Chan, W. H., G. Wang, and L. Yang (2010), “Weather, Inventory, and Common Jump Dynamics in Natural Gas Spot and Futures Markets,” Review of Futures Markets, 18 (4), 363-384.
Chan, W. H., (2010), “Optimal Hedge Ratios in the Presence of Jumps,” Journal of Futures Markets, 30 (8), 801-80.
Chan, W. H. and D. Young, (2009), “Conditional Jump Dynamics for Copper Prices,” Review of Futures Markets, 18 (1) ,75-85.
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, 32 (3) 231-259.
Chan, W. H. (2008) “Dynamic Hedging with Currency Futures in the Presence of Jumps,” Studies in Nonlinear Dynamics and Econometrics, 12 (2) Article 4.
Fung, J., R. Webb, and W. H. Chan (2008), "Do Derivative Markets Contain Useful Information for Signaling "Hot Money" Flows?" Hong Kong Institute for Monetary Research, Research Report.
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.
Chan, W. H. and D. Rich, (2006), “Occupational Labor Demand and the Sources of Nonneutral Technical Change,” Oxford Bulletin of Economics and Statistics,68 (1) pp.23-43.
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.
Boxall, P., W. H. Chan, and M. McMillan, (2005), “The Impact of Oil and Natural Gas Facilities on Rural Residential Property Values,” Resources and Energy Economics, 27, pp.248-269.
Chan, W. H., (2004), “Conditional Correlated Jump Dynamics in Foreign Exchange,” Economics Letters, 83, pp.23-28.
Chan, W. H., (2003), “A Correlated Bivariate Poisson Jump Model for Foreign Exchange,” Empirical Economics, 28, pp.669-689. (Matlab Program)
Chan, W. H. and J. M. Maheu, (2002), “Conditional Jump Dynamics in Stock Market Returns,” Journal of Business and Economic Statistics, 20 (3), pp.377-389. (Program provided by RATS)
Buse, A. and W. H. Chan, (2000), “Invariance, Price Indices, and Estimation in Demand Analysis,” Empirical Economics, 25, pp.519-539.