{"id":124,"date":"2018-01-10T07:13:02","date_gmt":"2018-01-10T12:13:02","guid":{"rendered":"https:\/\/carleton.ca\/bchu\/?page_id=124"},"modified":"2018-01-10T07:20:47","modified_gmt":"2018-01-10T12:20:47","slug":"research","status":"publish","type":"page","link":"https:\/\/carleton.ca\/bchu\/research\/","title":{"rendered":"Research"},"content":{"rendered":"<h3>Research Interests<strong><em>\u00a0<\/em><\/strong><\/h3>\n<p>Optimal Asset Allocation, Time-Series Econometrics, and Non\/Semi-Parametric Econometrics<\/p>\n<p><a href=\"https:\/\/carleton.ca\/bchu\/wp-content\/uploads\/Research_Statement_Chu.pdf\" target=\"_blank\" rel=\"noopener\">Research Statement<\/a><\/p>\n<h3>Selected Publications<\/h3>\n<ul>\n<li>&#8220;Optimal Investment and Asymmetric Risk: A Large Deviations Approach,&#8221; (with J. Knight and S. Satchell),\u00a0<em>Optimization<\/em>, 59(1), 2010, pp. 3-27.<\/li>\n<li>&#8220;Modeling the Contemporaneous Duration Dependence for High-frequency Stock Prices,&#8221; (with M. Voia),\u00a0<em>Financial Research Letters<\/em>, 7(3), 2010, pp. 148-162.<\/li>\n<li>&#8220;Spurious Regressions of Stationary AR(p) Processes with Structural Breaks,&#8221; (with R. Kozhan),\u00a0<em>Studies in Nonlinear Dynamics &amp; Econometrics<\/em>, 15(1), 2010, pp. 1-23.<\/li>\n<li>&#8220;Large Deviations Theorems for Optimal Investment Problems with Large Portfolios,&#8221; (with J. Knight and S. Satchell),\u00a0<em>European Journal of Operational Research<\/em>, 211(3), 2011, pp. 533 555.<\/li>\n<li>&#8220;Recovering Copulas from Limited Information and An Application to Asset Allocation,&#8221;\u00a0<em>Journal of Banking and Finance<\/em>, 35(7), 2011, pp. 1824-1842.<\/li>\n<li>&#8220;<a href=\"http:\/\/onlinelibrary.wiley.com\/doi\/10.1111\/j.1467-9892.2011.00727.x\/abstract\">Limit Theorems for the Discount Sums of Moving Averages,<\/a>&#8221; forthcoming on\u00a0<em>Journal of Time Series Analysis<\/em>.<\/li>\n<li>&#8220;<a href=\"http:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=1835046\">k-Nearest Neighbour Estimation of Inverse-Density-Weighted Expectations with Dependent Data,<\/a>&#8221; (with D. T. Jacho-Chavez), forthcoming on\u00a0<em>Econometric Theory<\/em>.<\/li>\n<li>&#8220;<a href=\"http:\/\/www.springerlink.com\/content\/314239758884140n\">Large Deviations Estimation of theWindfall and Shortfall Probabilities for Optimal Diversified Portfolios,<\/a>&#8221; forthcoming on\u00a0<em>\u00a0Annals of Finance<\/em>.<\/li>\n<li>&#8220;<a href=\"https:\/\/carleton.ca\/bchu\/wp-content\/uploads\/risk7.pdf\" target=\"_blank\" rel=\"noopener\">Approximation of Asymmetric Multivariate Return Distributions<\/a>,&#8221; forthcoming on\u00a0<em>Asia-Pacific Financial Markets<\/em>\u00a0<em>(the official journal of the Japanese Association of Financial Econometrics and Engineering (JAFEE)).<\/em><\/li>\n<\/ul>\n","protected":false},"excerpt":{"rendered":"<p>Research Interests\u00a0 Optimal Asset Allocation, Time-Series Econometrics, and Non\/Semi-Parametric Econometrics Research Statement Selected Publications &#8220;Optimal Investment and Asymmetric Risk: A Large Deviations Approach,&#8221; (with J. Knight and S. Satchell),\u00a0Optimization, 59(1), 2010, pp. 3-27. &#8220;Modeling the Contemporaneous Duration Dependence for High-frequency Stock Prices,&#8221; (with M. Voia),\u00a0Financial Research Letters, 7(3), 2010, pp. 148-162. &#8220;Spurious Regressions of Stationary [&hellip;]<\/p>\n","protected":false},"author":4,"featured_media":0,"parent":0,"menu_order":0,"comment_status":"closed","ping_status":"closed","template":"","meta":{"_relevanssi_hide_post":"","_relevanssi_hide_content":"","_relevanssi_pin_for_all":"","_relevanssi_pin_keywords":"","_relevanssi_unpin_keywords":"","_relevanssi_related_keywords":"","_relevanssi_related_include_ids":"","_relevanssi_related_exclude_ids":"","_relevanssi_related_no_append":"","_relevanssi_related_not_related":"","_relevanssi_related_posts":"","_relevanssi_noindex_reason":"","_mi_skip_tracking":false,"_exactmetrics_sitenote_active":false,"_exactmetrics_sitenote_note":"","_exactmetrics_sitenote_category":0,"footnotes":"","_links_to":"","_links_to_target":""},"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v21.2 - https:\/\/yoast.com\/wordpress\/plugins\/seo\/ -->\n<title>Research - Ba Chu<\/title>\n<meta name=\"description\" content=\"Research Interests\u00a0 Optimal Asset Allocation, Time-Series Econometrics, and Non\/Semi-Parametric Econometrics Research Statement Selected Publications\" \/>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/carleton.ca\/bchu\/research\/\" \/>\n<meta name=\"twitter:label1\" content=\"Est. reading time\" \/>\n\t<meta name=\"twitter:data1\" content=\"1 minute\" \/>\n<script type=\"application\/ld+json\" class=\"yoast-schema-graph\">{\"@context\":\"https:\/\/schema.org\",\"@graph\":[{\"@type\":\"WebPage\",\"@id\":\"https:\/\/carleton.ca\/bchu\/research\/\",\"url\":\"https:\/\/carleton.ca\/bchu\/research\/\",\"name\":\"Research - 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