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Work

Other IDs

Scopus Author ID: 24467617500
SciProfiles: 2134482

Keywords

Generalised linear model, Bayesian analysis, Financial time series, EM algorithm, Loss reserve model

Biography

Graduated from the Chinese University of Hong Kong and University of New South Wales.

Activities

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Employment (4)

The University of Sydney: Sydney, NSW, AU

2017-01-01 to present | Associate Professor (School of Mathematics and Statistics)
Employment
Source: Self-asserted source
Jennifer So Kuen Chan

The University of Sydney: Sydney, NSW, AU

2011-01-01 to 2016-12-31 | Senior Lecturer (Mathematics and Statistics)
Employment
Source: Self-asserted source
Jennifer So Kuen Chan

The University of Sydney: Sydney, NSW, AU

1996-08-01 to 2010-12-31 | Lecturer (Mathematics and Statistics)
Employment
Source: Self-asserted source
Jennifer So Kuen Chan

The University of Hong Kong: Hong Kong, HK

1996-09-01 to 2006-07-31 | Lecturer (Statistics and Actuarial Science)
Employment
Source: Self-asserted source
Jennifer So Kuen Chan

Education and qualifications (1)

University of New South Wales: Sydney, NSW, AU

1993 to 1996 | PhD (School of Mathematics and Statistics)
Education
Source: Self-asserted source
Jennifer So Kuen Chan

Works (50 of 51)

Items per page:
Page 1 of 2

Stochastic modelling of volatility and inter-relationships in the Australian electricity markets

Communications in Statistics - Simulation and Computation
2023-08-03 | Journal article
DOI: 10.1080/03610918.2021.1949469
Contributors: Joanna J. J. Wang; Jennifer S. K. Chan
Source: check_circle
Crossref

Semi-Metric Portfolio Optimization: A New Algorithm Reducing Simultaneous Asset Shocks

Econometrics
2023-03-07 | Journal article
DOI: 10.3390/econometrics11010008
Contributors: Nick James; Max Menzies; Jennifer Chan
Source: check_circle
Crossref
grade
Preferred source (of 2)‎

Predicting Returns, Volatilities and Correlations of Stock Indices Using Multivariate Conditional Autoregressive Range and Return Models

Mathematics
2022-12-20 | Journal article
DOI: 10.3390/math11010013
Contributors: Shay Kee Tan; Kok Haur Ng; Jennifer So-Kuen Chan
Source: check_circle
Crossref
grade
Preferred source (of 2)‎

Variable Selection Algorithm for a Mixture of Poisson Regression for Handling Overdispersion in Claims Frequency Modeling Using Telematics Car Driving Data

Risks
2022-04 | Journal article | Author
DOI: 10.3390/risks10040083
Contributors: Jennifer So Kuen Chan; S. T. Boris Choy; Udi Makov; Ariel Shamir; Vered Shapovalov
Source: check_circle
Multidisciplinary Digital Publishing Institute
grade
Preferred source (of 2)‎

Forecasting trade durations via ACD models with mixture distributions

Quantitative Finance
2019-12-02 | Journal article
DOI: 10.1080/14697688.2019.1618896
Contributors: R. P. Yatigammana; J. S. K. Chan; R. H. Gerlach
Source: check_circle
Crossref

A new look at Cryptocurrencies

Economics Letters
2018 | Journal article
DOI: 10.1016/j.econlet.2017.11.020
EID:

2-s2.0-85035342592
Contributors: Phillip, A.; Chan, J.; Peiris, S.
Source: Self-asserted source
Jennifer So Kuen Chan via Scopus - Elsevier

Efficient estimation of financial risk by regressing the quantiles of parametric distributions: An application to CARR models

Studies in Nonlinear Dynamics and Econometrics
2018 | Journal article
DOI: 10.1515/snde-2017-0012
EID:

2-s2.0-85053168225
Contributors: Chan, J.S.K.; Ng, K.-H.; Nitithumbundit, T.; Peiris, S.
Source: Self-asserted source
Jennifer So Kuen Chan via Scopus - Elsevier

Modelling insurance losses using contaminated generalised beta type-II distribution

ASTIN Bulletin
2018 | Journal article
DOI: 10.1017/asb.2017.37
EID:

2-s2.0-85043308586
Contributors: Chan, J.S.K.; Choy, S.T.B.; Makov, U.E.; Landsman, Z.
Source: Self-asserted source
Jennifer So Kuen Chan via Scopus - Elsevier

On generalized bivariate student-t Gegenbauer long memory stochastic volatility models with leverage: Bayesian forecasting of cryptocurrencies with a focus on Bitcoin

Econometrics and Statistics
2018 | Journal article
DOI: 10.1016/j.ecosta.2018.10.003
EID:

2-s2.0-85057262188
Contributors: Phillip, A.; Chan, J.; Peiris, S.
Source: Self-asserted source
Jennifer So Kuen Chan via Scopus - Elsevier

On long memory effects in the volatility measure of Cryptocurrencies

Finance Research Letters
2018 | Journal article
DOI: 10.1016/j.frl.2018.04.003
EID:

2-s2.0-85046133659
Contributors: Phillip, A.; Chan, J.; Peiris, S.
Source: Self-asserted source
Jennifer So Kuen Chan via Scopus - Elsevier

On the speculative nature of cryptocurrencies: A study on Garman and Klass volatility measure

Finance Research Letters
2018 | Journal article
DOI: 10.1016/j.frl.2018.12.023
EID:

2-s2.0-85059073257
Contributors: Tan, S.-K.; Chan, J.S.-K.; Ng, K.-H.
Source: Self-asserted source
Jennifer So Kuen Chan via Scopus - Elsevier

Quantile range-based volatility measure for modelling and forecasting volatility using high frequency data

North American Journal of Economics and Finance
2018 | Journal article
DOI: 10.1016/j.najef.2018.06.010
EID:

2-s2.0-85048867218
Contributors: Tan, S.-K.; Ng, K.-H.; Chan, J.S.-K.; Mohamed, I.
Source: Self-asserted source
Jennifer So Kuen Chan via Scopus - Elsevier

Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and applications

Studies in Nonlinear Dynamics & Econometrics
2018-06-26 | Journal article
DOI: 10.1515/snde-2015-0110
Contributors: Andrew Phillip; Jennifer S.K. Chan; Shelton Peiris
Source: check_circle
Crossref
grade
Preferred source (of 2)‎

Efficient modelling and forecasting with range based volatility models and its application

North American Journal of Economics and Finance
2017 | Journal article
DOI: 10.1016/j.najef.2017.08.009
EID:

2-s2.0-85028048680
Contributors: Ng, K.H.; Peiris, S.; Chan, J.S.-K.; Allen, D.; Ng, K.H.
Source: Self-asserted source
Jennifer So Kuen Chan via Scopus - Elsevier

Autoregressive conditional duration model with an extended weibull error distribution

Studies in Computational Intelligence
2016 | Book
DOI: 10.1007/978-3-319-27284-9_5
EID:

2-s2.0-84952700802
Contributors: Yatigammana, R.P.; Choy, S.T.B.; Chan, J.S.K.
Source: Self-asserted source
Jennifer So Kuen Chan via Scopus - Elsevier

Bayesian analysis of Cannabis offences using generalized Poisson geometric process model with flexible dispersion

Journal of Statistical Computation and Simulation
2016 | Journal article
DOI: 10.1080/00949655.2016.1167211
EID:

2-s2.0-84963591461
Contributors: Chan, J.S.K.; Wan, W.Y.
Source: Self-asserted source
Jennifer So Kuen Chan via Scopus - Elsevier

Bayesian informative dropout model for longitudinal binary data with random effects using conditional and joint modeling approaches

Biometrical Journal
2016 | Journal article
DOI: 10.1002/bimj.201400064
EID:

2-s2.0-84952019391
Contributors: Chan, J.S.K.
Source: Self-asserted source
Jennifer So Kuen Chan via Scopus - Elsevier

Robust Bayesian analysis of loss reserving data using scale mixtures distributions

Journal of Applied Statistics
2016 | Journal article
DOI: 10.1080/02664763.2015.1063115
EID:

2-s2.0-84953837390
Contributors: Choy, S.T.B.; Chan, J.S.K.; Makov, U.E.
Source: Self-asserted source
Jennifer So Kuen Chan via Scopus - Elsevier

RISK MARGIN QUANTILE FUNCTION VIA PARAMETRIC and NON-PARAMETRIC BAYESIAN APPROACHES

ASTIN Bulletin
2015 | Journal article
DOI: 10.1017/asb.2015.8
EID:

2-s2.0-84939468664
Contributors: Dong, A.X.D.; Chan, J.S.K.; Peters, G.W.
Source: Self-asserted source
Jennifer So Kuen Chan via Scopus - Elsevier

A Poisson geometric process approach for predicting drop-out and committed first-time blood donors

Journal of Applied Statistics
2014 | Journal article
DOI: 10.1080/02664763.2014.881781
EID:

2-s2.0-84899979253
Contributors: Chan, J.S.K.; Wan, W.Y.; Yu, P.L.H.
Source: Self-asserted source
Jennifer So Kuen Chan via Scopus - Elsevier

An innovative financial time series model: The Geometric Process model

Advances in Intelligent Systems and Computing
2014 | Book
DOI: 10.1007/978-3-319-03395-2_5
EID:

2-s2.0-84897841747
Contributors: Chan, J.S.K.; Lam, C.P.Y.; Boris Choy, S.T.
Source: Self-asserted source
Jennifer So Kuen Chan via Scopus - Elsevier

Modeling electricity price using a threshold conditional autoregressive geometric process jump model

Communications in Statistics - Theory and Methods
2014 | Journal article
DOI: 10.1080/03610926.2013.788714
EID:

2-s2.0-84902477286
Contributors: Chan, J.S.K.; Boris Choy, S.T.; Lam, C.P.Y.
Source: Self-asserted source
Jennifer So Kuen Chan via Scopus - Elsevier

Multivariate generalized Poisson geometric process model with scale mixtures of normal distributions

Journal of Multivariate Analysis
2014 | Journal article
DOI: 10.1016/j.jmva.2014.02.002
EID:

2-s2.0-84897763613
Contributors: Chan, J.S.K.; Wan, W.Y.
Source: Self-asserted source
Jennifer So Kuen Chan via Scopus - Elsevier

Bayesian analysis of loss reserving using dynamic models with generalized beta distribution

Insurance: Mathematics and Economics
2013 | Journal article
DOI: 10.1016/j.insmatheco.2013.07.001
EID:

2-s2.0-84880799826
Contributors: Dong, A.X.D.; Chan, J.S.K.
Source: Self-asserted source
Jennifer So Kuen Chan via Scopus - Elsevier

Modelling stochastic volatility using generalized t distribution

Journal of Statistical Computation and Simulation
2013 | Journal article
DOI: 10.1080/00949655.2011.608067
EID:

2-s2.0-84872536373
Contributors: Wang, J.J.J.; Choy, S.T.B.; Chan, J.S.K.
Source: Self-asserted source
Jennifer So Kuen Chan via Scopus - Elsevier

The relationship between delay discounting, judicial supervision, and substance use among adult drug court clients

Psychology, Public Policy, and Law
2013 | Journal article
DOI: 10.1037/a0034107
EID:

2-s2.0-84887523165
Contributors: Jones, C.G.A.; Kemp, R.I.; Chan, J.S.K.
Source: Self-asserted source
Jennifer So Kuen Chan via Scopus - Elsevier

A Bayesian conditional autoregressive geometric process model for range data

Computational Statistics and Data Analysis
2012 | Journal article
DOI: 10.1016/j.csda.2011.01.006
EID:

2-s2.0-84862008026
Contributors: Chan, J.S.K.; Lam, C.P.Y.; Yu, P.L.H.; Choy, S.T.B.; Chen, C.W.S.
Source: Self-asserted source
Jennifer So Kuen Chan via Scopus - Elsevier

A comparison of estimators for regression models with change points

Statistics and Computing
2011 | Journal article
DOI: 10.1007/s11222-010-9177-0
EID:

2-s2.0-79953666169
Contributors: Chen, C.W.S.; Chan, J.S.K.; Gerlach, R.; Hsieh, W.Y.L.
Source: Self-asserted source
Jennifer So Kuen Chan via Scopus - Elsevier

Bayesian analysis of robust Poisson geometric process model using heavy-tailed distributions

Computational Statistics and Data Analysis
2011 | Journal article
DOI: 10.1016/j.csda.2010.06.011
EID:

2-s2.0-77958040694
Contributors: Wan, W.-Y.; Chan, J.S.-K.
Source: Self-asserted source
Jennifer So Kuen Chan via Scopus - Elsevier

Bayesian approach to analysing longitudinal bivariate binary data with informative dropout

Computational Statistics
2011 | Journal article
DOI: 10.1007/s00180-010-0213-5
EID:

2-s2.0-79251596999
Contributors: Chan, J.S.K.; Wan, W.Y.
Source: Self-asserted source
Jennifer So Kuen Chan via Scopus - Elsevier

Classification in segmented regression problems

Computational Statistics and Data Analysis
2011 | Journal article
DOI: 10.1016/j.csda.2011.01.015
EID:

2-s2.0-79953668691
Contributors: Chen, C.W.S.; Chan, J.S.K.; So, M.K.P.; Lee, K.K.M.
Source: Self-asserted source
Jennifer So Kuen Chan via Scopus - Elsevier

Stochastic volatility models with leverage and heavy-tailed distributions: A Bayesian approach using scale mixtures

Computational Statistics and Data Analysis
2011 | Journal article
DOI: 10.1016/j.csda.2010.07.008
EID:

2-s2.0-77958061971
Contributors: Wang, J.J.J.; Chan, J.S.K.; Choy, S.T.B.
Source: Self-asserted source
Jennifer So Kuen Chan via Scopus - Elsevier

Binary geometric process model for the modeling of longitudinal binary data with trend

Computational Statistics
2010 | Journal article
DOI: 10.1007/s00180-010-0190-8
EID:

2-s2.0-77954534665
Contributors: Chan, J.S.K.; Leung, D.Y.P.
Source: Self-asserted source
Jennifer So Kuen Chan via Scopus - Elsevier

A new approach for handling longitudinal count data with zero-inflation and overdispersion: Poisson geometric process model

Biometrical Journal
2009 | Journal article
DOI: 10.1002/bimj.200800162
EID:

2-s2.0-70350733299
Contributors: Wan, W.-Y.; Chan, J.S.K.
Source: Self-asserted source
Jennifer So Kuen Chan via Scopus - Elsevier

Nonignorable dropout models for longitudinal binary data with random effects: An application of Monte Carlo approximation through the Gibbs output

Computational Statistics and Data Analysis
2009 | Journal article
DOI: 10.1016/j.csda.2009.07.020
EID:

2-s2.0-69449085181
Contributors: Chan, J.S.K.; Leung, D.Y.P.; Boris Choy, S.T.; Wan, W.Y.
Source: Self-asserted source
Jennifer So Kuen Chan via Scopus - Elsevier

Robust Bayesian analysis of loss reserves data using the generalized-t distribution

ASTIN Bulletin
2008 | Journal article
DOI: 10.2143/AST.38.1.2030411
EID:

2-s2.0-47349108886
Contributors: Chan, J.S.K.; Choy, S.T.B.; Makov, U.E.
Source: Self-asserted source
Jennifer So Kuen Chan via Scopus - Elsevier

Scale mixtures distributions in statistical modelling

Australian and New Zealand Journal of Statistics
2008 | Journal article
DOI: 10.1111/j.1467-842X.2008.00504.x
EID:

2-s2.0-47249119206
Contributors: Choy, S.T.B.; Chan, J.S.K.
Source: Self-asserted source
Jennifer So Kuen Chan via Scopus - Elsevier

Bayesian analysis of constant elasticity of variance models

Applied Stochastic Models in Business and Industry
2007 | Journal article
DOI: 10.1002/asmb.639
EID:

2-s2.0-33847179799
Contributors: Chan, J.S.K.; Choy, S.T.B.; Lee, A.B.W.
Source: Self-asserted source
Jennifer So Kuen Chan via Scopus - Elsevier

Predicting potential drop-out and future commitment for first-time donors based on first 1.5-year donation patterns: The case in Hong Kong Chinese donors

Vox Sanguinis
2007 | Journal article
DOI: 10.1111/j.1423-0410.2007.00905.x
EID:

2-s2.0-34249788680
Contributors: Yu, P.L.H.; Chung, K.H.; Lin, C.K.; Chan, J.S.K.; Lee, C.K.
Source: Self-asserted source
Jennifer So Kuen Chan via Scopus - Elsevier

Modelling SARS data using threshold geometric process

Statistics in Medicine
2006 | Journal article
DOI: 10.1002/sim.2376
EID:

2-s2.0-33744802900
Contributors: Chan, J.S.K.; Yu, P.L.H.; Lam, Y.; Ho, A.P.K.
Source: Self-asserted source
Jennifer So Kuen Chan via Scopus - Elsevier

Statistical exploration from SARS

American Statistician
2006 | Journal article
DOI: 10.1198/000313006X91421
EID:

2-s2.0-33644684955
Contributors: Yu, P.L.H.; Chan, J.S.K.; Fung, W.K.
Source: Self-asserted source
Jennifer So Kuen Chan via Scopus - Elsevier

Monte Carlo approximation through Gibbs output in generalized linear mixed models

Journal of Multivariate Analysis
2005 | Journal article
DOI: 10.1016/j.jmva.2004.05.004
EID:

2-s2.0-18644364561
Contributors: Chan, J.S.K.; Kuk, A.Y.C.; Yam, C.H.K.
Source: Self-asserted source
Jennifer So Kuen Chan via Scopus - Elsevier

Analysis of data from a series of events by a geometric process model

Acta Mathematicae Applicatae Sinica
2004 | Journal article
DOI: 10.1007/s10255-004-0167-x
EID:

2-s2.0-42349096294
Contributors: Lam, Y.; Zhu, L.-X.; Chan, J.S.K.; Liu, Q.
Source: Self-asserted source
Jennifer So Kuen Chan via Scopus - Elsevier

Statistical inference for geometric processes with gamma distributions

Computational Statistics and Data Analysis
2004 | Journal article
DOI: 10.1016/j.csda.2003.12.004
EID:

2-s2.0-4944237891
Contributors: Chan, J.S.K.; Lam, Y.; Leung, D.Y.P.
Source: Self-asserted source
Jennifer So Kuen Chan via Scopus - Elsevier

Three ways of implementing the EM algorithm when parameters are not identifiable

Biometrical Journal
2001 | Journal article
EID:

2-s2.0-0039847252
Contributors: Yung Cheung Kuk, A.; So Kuen Chan, J.
Source: Self-asserted source
Jennifer So Kuen Chan via Scopus - Elsevier

Initial stage problem in autoregressive binary regression

Journal of the Royal Statistical Society Series D: The Statistician
2000 | Journal article
DOI: 10.1111/1467-9884.00248
EID:

2-s2.0-0039927441
Contributors: Chan, J.S.K.
Source: Self-asserted source
Jennifer So Kuen Chan via Scopus - Elsevier

The analysis of methadone clinic data using marginal and conditional logistic models with mixture or random effects

Australian and New Zealand Journal of Statistics
1998 | Journal article
DOI: 10.1111/1467-842X.00001
EID:

2-s2.0-0039177382
Contributors: Chan, J.S.K.; Kuk, A.Y.C.; Bell, J.; Mc Gilchrist, C.
Source: Self-asserted source
Jennifer So Kuen Chan via Scopus - Elsevier

A likelihood approach to analysing longitudinal bivariate binary data

Biometrical Journal
1997 | Journal article
DOI: 10.1002/bimj.4710390403
EID:

2-s2.0-0031478066
Contributors: Chan, J.S.K.; Kuk, A.Y.C.; Bell, J.
Source: Self-asserted source
Jennifer So Kuen Chan via Scopus - Elsevier

Maximum likelihood estimation for probit-linear mixed models with correlated random effects

Biometrics
1997 | Journal article
DOI: 10.2307/2533099
EID:

2-s2.0-0030933587
Contributors: Chan, J.S.K.; Kuk, A.Y.C.
Source: Self-asserted source
Jennifer So Kuen Chan via Scopus - Elsevier

Methadone maintenance and drug-related crime

Journal of Substance Abuse
1997 | Journal article
DOI: 10.1016/S0899-3289(97)90003-1
EID:

2-s2.0-0031295674
Contributors: Bell, J.; Mattick, R.; Hay, A.; Chan, J.; Hall, W.
Source: Self-asserted source
Jennifer So Kuen Chan via Scopus - Elsevier
Items per page:
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