Chuba

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Ba M. Chu

Associate Professor

Languages spoken other than English: Vietnamese, Chinese (Mandarin)

Research fields: optimal asset allocation, risk management, dependence modelling, asymptotic theory

Expertise:• estimating VaR using the large deviations approach• copulas• goodness-of-fit testing using L-moments• order-based measures of non-linear dependence

Refereed Publications in the Last 6 Years:

“Predicting the COVID-19 pandemic in Canada and the US,” (with Shafiullah Qureshi), Economics Bulletin, 40(3), 2020, pp. 2565-2585.

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“Standard Errors for Nonparametric Regression,” (with D.T. Jacho-Chavez & O.B. Linton), Econometric Reviews, 39, 2020, pp. 674-690.

“Polynomial Regression with Dynamic Heterogeneous Panel Data,” (with J.-T. Bernard, L. Khalaf, and M. Voia), Annals of Economics và Statistics, 134, 2019, pp. 79-108.

“On the Evolution of the United Kingdom Price Distributions,” (with D.T. JachoChávez, K. Huynh, and O. Kryvtsov), Annals of Applied Statistics, 12(4), 2018, 2618-2646.

“Semiparametric GEL-Based Inference in Unconditional Moment Restriction Models with Unknown Functions,” (with David T. Jacho-Chavez and Francesco Bravo), Journal of Nonparametric Statistics, 29(1), 2017, pp. 108-136.

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“Generalized Empirical Likelihood M Testing for Semiparametric Models with Time Series Data,” (with David T. Jacho-Chavez & Francesco Bravo), Econometrics and Statistics, 4, 2017, pp. 18-30.

“Recovering the Most Entropic Copulas from Preliminary Knowledge of Dependence,” (with Steve Satchell), Econometrics, 4(2), 2016, phường 20.

Most Significant Career Research Contributions:

“Large Deviations Estimation of the Windfall and Shortfall Probabilities for Optimal Diversified Portfolios,” Annals of Finance, Volume 8, Number 1, February 2012, Pages 97–122.

“Limit Theorems for the Discount Sums of Moving Averages,” Journal of Time Series Analysis, Volume 33, Number 1, January 2012, Pages 1–12.

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“Recovering Copulas from Limited Information & an Application lớn Asset Allocation,” Journal of Banking và Finance, Volume 35, Number 7, July 2011, Pages 1824–1842.

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