| Publications:
Man, K., Wang, J., and Wu, C., "Price discovery in the U.S. treasury market: automation vs. intermediation," Management Science, forthcoming. Man, K.S., "Extended fractional Gaussian noise and simple ARFIMA approximations," Journal of Time Series Econometrics, 2010, Vol. 2: Iss. 1, article 7. Available at: http://www.bepress.com/jtse/vol2/iss1/art7. Man, K.S. and Wu, C., "Empirical analysis and forecasting of volatility dynamics in high frequency returns with time-varying components," Journal of Forecasting, 2010, vol. 29, 595-616. published online Oct 2009. Man, K.S. and Tiao, G.C., "ARFIMA approximation and forecasting of the limiting aggregate structure of long memory process," Journal of Forecasting, 2009, vol. 28, 89-101. Man, K. and Chen, C., "On a stepwise hypotheses testing procedure and information criterion in identifying dynamic relations between time series," Journal of Data Science, 2009, vol. 7, no.2, 139-159. Man, K.S. and Tiao, G.C., “Aggregation effect and forecasting temporal aggregates of long memory processes,” International Journal of Forecasting , 2006, vol. 22, issue 2, 267-281. Man, K. and Chen, C., “On multiple hypotheses testing and model selection,” 2004, Proceedings of the First Sino-International Symposium on Probability, Statistics, and Quantitative Management, page 33-49. Man, K.S. “Linear prediction of temporal aggregates under model misspecification,” International Journal of Forecasting, 2004, vol. 20, issue 4, 659-670. Chen, P., Man, K., and Wu, C. “The information content in trades of inactive Nasdaq stocks,” the Journal of Entrepreneurial Finance & Business Ventures, 2003, vol. 8, issue 2, 25-53. Man, K.S., “Long memory time series and short term forecasts,”
International Journal of Forecasting,
|
|