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Wing Chan obtained his MA and PhD in Economics from the University of Alberta (1996, 2002).
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.
- Ontario Undergraduate Student Alliance's (OUSA) 2021 Teaching Excellence Award
- 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.
- Dodd, O., M. Kalimipalli, and W.H. Chan (2021) "Evaluating Corporate Credit Risks in Emerging Markets," International Review of Financial Analysis, 73, Jan 2021.
- Chong, T., M. Lu, and W.H. Chan (2020) "Long Range Dependence and Structural Breaks in the Gold Markets," Singapore Economic Review, 65 (2), 257-273.
- Chan, W.H., B. Shelton, and Y.W. Wu (2018) "Volatility Spillovers Arising From the Financialization of Commodities," Journal of Risk and Financial Management, 11(4), 72.
- Chan, W.H., M. Le, and Y.W. Wu (2018) "Holding Bitcoin Longer: The Dynamic Hedging Abilities of Bitcoin," Quarterly Review of Economics and Finance, 71, February 2019, 107-113.
- Chong, T., S.C. Tsui, and W.H. Chan (2017) "Factor Pricing in Commodity Futures and the Role of Liquidity," Quantitative Finance, 17(11), 1745-1757.
- Fung, J., R.I. Webb, and W.H. Chan (2017) "Do Derivative Markets Contain Useful Information for Signaling 'Hot Money' Flows?" Asia-Pacific Journal of Financial Studies, 46(3), 491-527.
- Chong, T., Q. He and W.H. Chan (2017) "From Fixed to Float: A Competing Risks Analysis," International Economic Journal, 30(4), 488-503.
- 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.
Contact Info:
E: wchan@wlu.ca
F: 519.888.1015
Office location: LH3082
Office hours:
Spring 2023:
By appointment only