Wing H. Chan

Wilfrid Laurier University - School of Business & Economics

Waterloo, Ontario N2L 3C5

Canada

City University of Hong Kong (CityUHK) - Department of Economics & Finance

Visiting Associate Professor

83 Tat Chee Avenue

Kowloon

Hong Kong

SCHOLARLY PAPERS

19

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12

CROSSREF CITATIONS

11

Scholarly Papers (19)

The Economic Value of Using Realized Volatility in the Index Options Market

Number of pages: 49 Posted: 22 Jun 2006
Madhu Kalimipalli, Wing H. Chan and Ranjini Jha
Lazaridis School of Business and Economics, Wilfrid Laurier University, Wilfrid Laurier University - School of Business & Economics and University of Waterloo - School of Accounting and Finance
Downloads 309 (106,450)
Citation 5

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realized volatility, ARFIMA models, implied volatility, encompassing regressions, combination forecasts, volatility timing, option trading strategies

The Economic Value of Using Realized Volatility in Forecasting Future Implied Volatility

Number of pages: 42 Posted: 19 Nov 2006 Last Revised: 26 Dec 2008
Wing H. Chan, Ranjini Jha and Madhu Kalimipalli
Wilfrid Laurier University - School of Business & Economics, University of Waterloo - School of Accounting and Finance and Lazaridis School of Business and Economics, Wilfrid Laurier University
Downloads 303 (108,796)
Citation 1

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realized volatility, implied volatility, combination forecasts, volatility timing, option strategie

2.

Holding Bitcoin Longer: The Dynamic Hedging Abilities of Bitcoin

Quarterly Review of Economics and Finance, doi: 10.1016/j.qref.2018.07.004, Forthcoming
Number of pages: 25 Posted: 21 Dec 2017 Last Revised: 19 Jul 2018
Wing H. Chan, Minh Le and Yan Wendy Wu
Wilfrid Laurier University - School of Business & Economics, Wilfrid Laurier University and Wilfrid Laurier University
Downloads 288 (115,507)
Citation 5

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Bitcoin; hedge; risk management; diversify; cryptocurrency, frequency dependent, frequency decomposition

3.

A Correlated Bivariate Poisson Jump Model for Foreign Exchange

Number of pages: 24 Posted: 15 Apr 2005
Wing H. Chan
Wilfrid Laurier University - School of Business & Economics
Downloads 252 (132,779)

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Correlated Poisson jump, bivariate GARCH, time-varying jump intensity

4.

Extreme News Events, Long-Memory Volatility, and Time Varying Risk Premia in Stock Market Returns

Number of pages: 25 Posted: 29 Jul 2008 Last Revised: 18 Aug 2008
Wing H. Chan and LiLing Feng
Wilfrid Laurier University - School of Business & Economics and City University of Hong Kong (CityUHK) - Department of Economics & Finance
Downloads 206 (161,265)
Citation 2

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Time Varying Risk Premium, Poisson Jumps, Component GARCH, FIGARCH, Autoregressive Jump Intensity

5.

Weather, Inventory and Common Jump Dynamics in Natural Gas Futures and Spot Markets

Number of pages: 31 Posted: 18 Jan 2010
Wing H. Chan, George H. K. Wang and Li Yang
Wilfrid Laurier University - School of Business & Economics, George Mason University - Department of Finance and UNSW Australia Business School, School of Banking and Finance
Downloads 160 (201,886)
Citation 1

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Weather, Inventory, Volatility Jump Dynamics, Natural Gas Futures, Spot Markets

6.

Do Derivative Markets Contain Useful Information for Signaling 'Hot Money' Flows?

HKIMR Working Paper No.12/2010
Number of pages: 48 Posted: 22 Jun 2010
Joseph K. W. Fung, Robert I. Webb and Wing H. Chan
Hong Kong Baptist University, University of Virginia - McIntire School of Commerce and Wilfrid Laurier University - School of Business & Economics
Downloads 136 (230,520)

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7.

Optimal Hedge Ratios in the Presence of Common Jumps

Journal of Futures Markets, Forthcoming
Number of pages: 9 Posted: 15 Jul 2009
Wing H. Chan
Wilfrid Laurier University - School of Business & Economics
Downloads 105 (278,928)

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Optimal Hedge Ratio, Common Jumps, Multivariate GARCH Model, Autoregressive Jump Intensity

8.

Conditional Correlated Jump Dynamics in Foreign Exchange

Number of pages: 7 Posted: 12 Apr 2005
Wing H. Chan
Wilfrid Laurier University - School of Business & Economics
Downloads 93 (302,174)

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Correlated jump, autoregressive jump intensity

9.

Evaluating Corporate Credit Risks in Emerging Markets

Number of pages: 52 Posted: 25 Jan 2018 Last Revised: 08 May 2020
Olga Dodd, Madhu Kalimipalli and Wing H. Chan
Auckland University of Technology, Lazaridis School of Business and Economics, Wilfrid Laurier University and Wilfrid Laurier University - School of Business & Economics
Downloads 79 (334,038)

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emerging markets, corporate leverage, credit risk, credit default swaps, post-Global financial crisis

10.

Occupational Labour Demand and the Sources of Non-Neutral Technical Change

Oxford Bulletin of Economics & Statistics, Vol. 68, No. 1, pp. 23-43, February 2006
Number of pages: 21 Posted: 08 May 2006
Wing H. Chan and Daniel P. Rich
Wilfrid Laurier University - School of Business & Economics and Illinois State University - Department of Economics
Downloads 24 (541,080)
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11.

Volatility Spillovers Arising from the Financialization of Commodities

Journal of Risk and Financial Management, 11(4), 72, 2020
Number of pages: 22 Posted: 29 Jul 2020
Wing H. Chan, Bryce Shelton and Yan Wendy Wu
Wilfrid Laurier University - School of Business & Economics, Wilfrid Laurier University - Department of Economics and Wilfrid Laurier University
Downloads 7 (654,043)

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Financialization; realized volatility, commodity markets, non-energy commodities, exchange-traded fund, speculative positions

12.

A New Look at Copper Markets: A Regime-Switching Jump Model

Review of Futures Markets, Forthcoming
Posted: 15 Jul 2009
Wing H. Chan and Denise Young
Wilfrid Laurier University - School of Business & Economics and University of Alberta - Department of Economics

Abstract:

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regime switching, Poisson jump, GARCH volatility, copper futures

13.

The Economic Value of Using Realized Volatility in Forecasting Future Implied Volatility

Journal of Financial Research, Forthcoming
Posted: 15 Dec 2008
Madhu Kalimipalli, Wing H. Chan and Ranjini Jha
Lazaridis School of Business and Economics, Wilfrid Laurier University, Wilfrid Laurier University - School of Business & Economics and University of Waterloo - School of Accounting and Finance

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realized volatility, implied volatility, combination forecasts, volatility timing, option strategies

14.

Dynamic Hedging with Foreign Currency Futures in the Presence of Jumps

Studies in Nonlinear Dynamics and Econometrics, Vol. 12, No. 2, 2008
Posted: 03 Aug 2008
Wing H. Chan
Wilfrid Laurier University - School of Business & Economics

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optimal hedging, Poisson jump, bivariate GARCH, foreign exchange

15.

The Impact of Oil and Natural Gas Facilities on Rural Residential Property Values: A Spatial Hedonic Analysis

Resource and Energy Economics, Vol. 27, pp. 248-269, 2004
Posted: 05 Apr 2006
Peter Boxall, Wing H. Chan and Melville McMillan
University of Alberta - Faculty of Agriculture, Forestry & Home Economics, Wilfrid Laurier University - School of Business & Economics and University of Alberta

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Sour gas, Hedonic prices, Property value impacts

16.

Jumping Hedges: An Examination of Movements in Copper Spot and Futures Markets

Journal of Futures Markets, Forthcoming
Posted: 04 Apr 2006
Wing H. Chan and Denise Young
Wilfrid Laurier University - School of Business & Economics and University of Alberta - Department of Economics

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Bivariate GARCH, Autoregressive Jump Intensity, Optimal Hedge Ratio, Copper Prices

17.

University Efficiency: A Comparison and Consolidation of Results from Stochastic and Non-Stochastic Methods

Education Economics, Forthcoming
Posted: 04 Apr 2006
Melville McMillan and Wing H. Chan
University of Alberta and Wilfrid Laurier University - School of Business & Economics

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Universities, efficiency, DEA, stochastic frontier

18.

Conditional Jump Dynamics in Stock Market Returns

Journal of Business & Economic Statistics, Vol. 20, pp. 377-389, 2002
Posted: 12 Apr 2005
Wing H. Chan and John M. Maheu
Wilfrid Laurier University - School of Business & Economics and McMaster University - Michael G. DeGroote School of Business

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Garch, autoregressive jump intensity

19.

Invariance, Price Indices, and Estimation of Almost Ideal Demand System

Posted: 11 Apr 2005
Adolf Buse and Wing H. Chan
affiliation not provided to SSRN and Wilfrid Laurier University - School of Business & Economics

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AIDS model, price indices, invariance, conditional estimation, Monte Carlo