Ba M. Chu

Carleton University

Department of Economics

Ottawa, Ontario K1S 5B6

Canada

SCHOLARLY PAPERS

11

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CITATIONS
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4

Scholarly Papers (11)

The Most Entropic Canonical Copula with an Application To 'Style' Investment

Number of pages: 57 Posted: 04 Sep 2008
Stephen E. Satchell and Ba M. Chu
University of Cambridge - Faculty of Economics and Politics and Carleton University
Downloads 108 (248,675)

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Entropy, Relative entropy measure of joint dependence, Copula, Most entropic

The Most Entropic Canonical Copula with an Application To 'Style' Investment

Number of pages: 57 Posted: 21 Feb 2009
Stephen E. Satchell and Ba M. Chu
University of Cambridge - Faculty of Economics and Politics and Carleton University
Downloads 103 (257,245)

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Entropy, Relative entropy measure of joint dependence, Copula, Most entropic

2.

Spurious Regressions of Stationary AR(p) Processes with Structural Breaks

Number of pages: 38 Posted: 12 Jul 2010
Ba M. Chu and Roman Kozhan
Carleton University and University of Warwick - Warwick Business School
Downloads 207 (144,544)

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Spurious Regression, Weak Dependence, Structural Breaks, Strictly Stationary, Autoregressive Processes

3.

A Note on the Link between Asymmetric Risk and Shortfall Risk

Number of pages: 21 Posted: 03 Oct 2008
Ba M. Chu
Carleton University
Downloads 128 (218,314)

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Linear exponential weighted mean square risk, Exponential weighted mean square risk, second order stochastic dominance, Large deviations, asymmetric risk, shortfall risk, utility function, optimal portfolio

4.

Testing Distributional Assumptions: A L-Moment Approach

Number of pages: 39 Posted: 04 Sep 2008
Ba M. Chu and Mark Salmon
Carleton University and University of Cambridge - Faculty of Economics and Politics
Downloads 112 (240,980)

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L-moment, Stein Equation, GMM, Bahadur Effciency, Likelihood Ratio

5.

Two-Step Semiparametric Generalized Empirical Likelihood Estimation and Inference with Dependent Data

Number of pages: 68 Posted: 07 Jul 2012 Last Revised: 17 Apr 2013
University of York - Department of Economics and Related Studies, Carleton University and Emory University - Department of Economics
Downloads 90 (279,113)
Citation 1

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Alpha-Mixing, Empirical Processes, Generalised Empirical Likelihood, Kernel Smoothing, Stochastic Equicontinuity, Uniform Law of Large Numbers

6.

Optimal Long Term Investment in a Jump Diffusion Setting: A Large Deviation Approach

Number of pages: 29 Posted: 04 Sep 2008
Ba M. Chu
Carleton University
Downloads 88 (283,068)

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Large Deviations, Jump Diffusion, Exponential Utility Function

7.

k-Nearest Neighbour Estimation of Inverse-Density-Weighted Expectations with Dependent Data

Econometric Theory, Vol. 28, No. 4, 2012
Number of pages: 38 Posted: 10 May 2011 Last Revised: 27 Aug 2012
Ba M. Chu and David T. Jacho-Chávez
Carleton University and Emory University - Department of Economics
Downloads 84 (291,396)
Citation 2

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Semiparametric estimation, nearest neighbour density estimation, Bartlett's estimator

8.

When Do the Discount Sums of Moving Averages Converge to the Normality?

Number of pages: 22 Posted: 04 Sep 2008
Ba M. Chu and Soosung Hwang
Carleton University and Sungkyunkwan University - Department of Economics
Downloads 62 (344,996)

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Absolutely regular mixing, CLT (FCLT), Discount sums, Moving average

9.

Limit Theorems for the Discount Sums of Moving Averages

Journal of Time Series Analysis, Vol. 33, Issue 1, pp. 1-12, 2012
Number of pages: 12 Posted: 28 Dec 2011
Ba M. Chu
Carleton University
Downloads 2 (626,701)
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Absolutely regular mixing, CLT (FCLT), discount sums, Abel sums, moving average, Beinstein's blocking technique, the Beveridge–Nelson (BN) decomposition, the OLS estimates

10.

Linear and Non‐Linear Granger Causality between Short‐Term and Long‐Term Interest Rates: A Rolling Window Strategy

Metroeconomica, Vol. 68, Issue 4, pp. 882-902, 2017
Number of pages: 21 Posted: 31 Oct 2017
Azadeh Rahimi and Ba M. Chu
affiliation not provided to SSRN and Carleton University
Downloads 0 (657,341)
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11.

Optimal Investment and Asymmetric Risk for a Large Portfolio: A Large Deviations Approach

Posted: 04 Sep 2008
University of Western Ontario, Faculty of Social Science, Deparment of Economics (Deceased), University of Cambridge - Faculty of Economics and Politics and Carleton University

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Optimal portfolio, The Edgeworth expansion, Asymmetric Risk, Large deviations, Asymmetric Gamma distribution, Nonlinear correlations, Value at Risk