CHEN
Ying
|
Location |
: |
S16-06-114 |
Research Interests:
- Risk management
- Adaptive (local parametric) estimation
- Application of heavy-tailed distribution in financial
analysis
- Dimension reduction such as Independent component
analysis (ICA)
- High frequency data analysis (ICA)
Education:
- Ph.D. in Statistics (2007) by Prof.
Dr. Wolfgang Härdle (Humboldt
university in Berlin, Germany) and Prof. Dr. Vladimir
Spokoiny (Weierstrass Institute
for Applied Analysis and Stochastics, Germany)
- M.Sc. in Statistics (2005) Humboldt university in Berlin and Freie university in Berlin, Germany
- M.A. in Economics and management science (2002) Humboldt university in Berlin, Germany
- B.Sc. in Economics (1998) Renmin University of China, China
Teaching:
- ST4232 Nonparametric Statistics, SEM1 AY 2007-2008
- ST3240 Multivariate
Statistical Analysis, SEM2 AY 2007-2008
- ST5218 Advanced Statistical Methods in Finance, SEM2 AY
2008-2009
- ST3233 Applied Time Series Analysis: SEM1 AY2009-2010
Link to IVLE
Publications and Working Papers:
- Chen, Härdle and Spokoiny (2009), GHICA – Risk Analysis
with GH distributions and Independent Components, Journal of Empirical
Finance, accepted.
- Chen, Härdle and Jeong (2008), Nonparametric Risk
Management with Generalized Hyperbolic Distributions, Journal of the
American Statistical Association, 14, 910 - 923.
- Chen, Härdle and Spokoiny (2007), Portfolio Value at
Risk Based on Independent Components Analysis, Journal of Computational
and Applied Mathematics, 205, 594 - 607.
- Chen, Härdle and Schulz (2004), Prognose mit
nichtparametrischen Verfahren (Prediction using nonparametric methods),
appeared in the book "Prognoserechnung" (Editor: Peter Mertens)
6. Edition, Physica -Verlag Heidelberg.
- Chen, Pigorsch and Härdle (2009), Localized Realized
Volatility Modelling, submitted.
- Chen (2009), Value at Risk Estimation, chapter in Handbook of
Computational Finance (Editors: Jin-Chuan Duan, James E.
Gentle, and Wolfgang Härdle), Springer.
- Chen (2009), High frequency data analysis, working
paper.
- Chen and Capirig Sorongon (2008), Nonparametric
Analysis of Realized Volatility and Implied Volatility, accepted by the
Joint Meeting of 4th World Conference of the IASC and 6th Conference of
the Asian Regional Section of the IASC on Computational Statistics &
Data Analysis.
- Chen and Spokoiny (2006), Robust Risk Management.
Accounting for Nonstationarity and Heavy Tails, submitted.
