Financial statistics and Risk management
Non-stationary time series analysis
High frequency data analysis
Functional data analysis
Research team members:
· Elected Member since March 2016
Board of Director ordinary member of the
Faculty member in NUS Graduate School for Integrative Sciences and Engineering since July 2016
· Associate Editor of Digital Finance.
· Associate Editor of (Impact factor in 2015 2.933 which is the second highest among all statistical journals that publish original articles)
· Associate Editor of
· Associate Editor of the Journal Operations Research and Decisions
· Co-chair of international organizing committee of the 9th conference of the Asian Regional Section (ARS) of the International Association for Statistical Computing (IASC) to be hosted by the Department of Statistics and Applied Probability, National University of Singapore from December 17th to 19th, 2015.
· Co-organize the Thematic Program on Financial time series analysis: high-dimensionality, non-stationarity and the financial crisis, at Institute for Mathematical Sciences, National University of Singapore, 1-22 June 2012.
· Program committee for Applicable Nonparametrics organized by CASE in Berlin, Germany, October 2013.
· Organize an invited session of Forecasting with High Frequency Data at International Symposium on Forecasting organized by IIF (International Institute of Forecasters) in Seoul, Korea, June 2013
Publications and Working Papers:
1. Chen and Li (2015), An Adaptive Functional Autoregressive Forecast Model to Predict Electricity Price Curves, Journal of Business and Economic Statistics, Accepted, DOI:10.1080/07350015.2015.1092976.
2. Chen and Spokoiny (2015), Modeling Nonstationary and Leptokurtic Financial Time Series, Econometric Theory, Volume 31, Issue 04, pp 703-728.
3. Weisman, Pelphrey, Leckman, Feldman, Lu, Chong, Chen, Monakhov, Chew and Ebstein (2015), The association between 2D:4D ratio and cognitive empathy is contingent on a common polymorphism in the oxytocin receptor gene (OXTR rs53576), Psychoneuroendocrinology, Accepted.
4. Chen and Niu (2014), Adaptive Dynamic Nelson-Siegel Term Structure Model with Applications, Journal of Econometrics, Vol. 180, pp. 98 – 115.
5. Chen, Chen and Härdle (2014), TVICA -- Time Varying Independent Component Analysis and Its Application to Financial Data, Journal of Computational Statistics and Data Analysis, Vol. 74, 95-109.
6. Chen, Li and Niu (2013), A Local Vector Autoregressive Framework and its Applications to Multivariate Time Series Monitoring and Forecasting, Statistics and Its Interface, Vol. 6(4), 499-509
7. Chen and Li (2012), Forecasting Yield Curves in an Adaptive Framework, Central European Journal of Economic Modelling and Econometrics, vol. 3, issue 4, pages 237-259.
8. Chen, Härdle and Pigorsch (2010), Localized Realized Volatility Modelling, Journal of the American Statistical Association, Vol. 105, No. 492: 1376-393.
9. Chen and Lu (2010), Value at Risk Estimation, chapter in Handbook of Computational Finance (Editors: Jin-Chuan Duan, James E. Gentle, and Wolfgang Härdle), Springer.
10. Chen, Härdle and Spokoiny (2010), GHICA -- Risk Analysis with GH distributions and Independent Components, Journal of Empirical Finance, Volume 17, Issue 2, March 2010, Pages 255-269
11. Chen, Härdle and Jeong (2008), Nonparametric Risk Management with Generalized Hyperbolic Distributions, Journal of the American Statistical Association, 14, 910 - 923.
12. Chen, Härdle and Spokoiny (2007), Portfolio Value at Risk Based on Independent Components Analysis, Journal of Computational and Applied Mathematics, 205, 594 - 607.
13. 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.
14. 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.