Alan T. K. Wan

City University of Hong Kong (CityU) - Department of Management Sciences

Tat Chee Avenue

Kowloon Tong

Kowloon

Hong Kong

  • City University of Hong Kong (CityU) - Department of Management Sciences

SCHOLARLY PAPERS

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Scholarly Papers (4)

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1.

Improved Estimators of Hedonic Housing Price Models

Downloads 513 (107,417)
Citation 1

Improved Estimators of Hedonic Housing Price Models

Number of pages: 26 Posted: 18 Sep 2006
Helen X. H. Bao and Alan T. K. Wan
Department of Land Economy, University of Cambridge and City University of Hong Kong (CityU) - Department of Management Sciences
Downloads 299 (196,101)
Citation 1

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Stein Rule, Shrinkage, Double-k Class, Hong Kong

Improved Estimators of Hedonic Housing Price Models

Journal of Real Estate Research, Vol. 29, No. 3, 2007
Number of pages: 36 Posted: 15 Nov 2007
Helen X. H. Bao and Alan T. K. Wan
Department of Land Economy, University of Cambridge and City University of Hong Kong (CityU) - Department of Management Sciences
Downloads 214 (273,677)

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Hedonic price models, shrinkage estimators, Stein rule, valuation, Hong Kong, non-sample information

2.

A High-Low Model of Daily Stock Price Ranges

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Citation 5

A High-Low Model of Daily Stock Price Ranges

CESifo Working Paper Series No. 2387
Number of pages: 45 Posted: 08 Sep 2008
Stephen Yan-Leung Cheung, Yin-Wong Cheung and Alan T. K. Wan
City University of Hong Kong (CityU) - Department of Economics & Finance, University of California, Santa Cruz - Department of Economics and City University of Hong Kong (CityU) - Department of Management Sciences
Downloads 263 (223,894)

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daily high, daily low, VECM model, forecast performance, implied volatility

3.

Least Squares Model Combining by Mallows Criterion

Number of pages: 11 Posted: 23 Sep 2008
Xinyu Zhang, Alan T. K. Wan and Guohua Zou
affiliation not provided to SSRN, City University of Hong Kong (CityU) - Department of Management Sciences and Chinese Academy of Sciences - Academy of Mathematics and Systems Science
Downloads 138 (401,589)
Citation 12

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asymptotic optimality, continuous weights, Mallows criterion, non-nested models

4.

High-Dimensional Inference for Heterogeneous Autoregressive Models

Number of pages: 40 Posted: 22 Jun 2024
Alan T. K. Wan, Huiling Yuan, Guodong Li, Kexin Lu and Yong ZHOU
City University of Hong Kong (CityU) - Department of Management Sciences, affiliation not provided to SSRN, The University of Hong Kong - Department of Statistics & Actuarial Science, The University of Hong Kong and East China Normal University (ECNU)
Downloads 17 (1,020,993)

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Calendar effect, Heterogenous autoregressive model, High-dimensional analysis, High-frequency data, Tensor technique.