Research Interest:
Quantitative finance; Econometric time series; Macroeconomics;
Sequential analysis; Multiple change-point analysis with applications in
biology, engineering and climate sciences
Books:
1.
Lai, T. L. and Xing, H. (2008). Statistical Models and Methods for
Financial Markets. Springer, New York.
2.
Lai, T.L. and Xing, H. (To be published in 2012).
Risk Management and Surveillance: Financial Models and
Statistical Methods. Chapman & Hall/CRC, New York.
Published Paper:
13. Xing, H., Sun, N., and Chen, Y. (2012). Credit rating dynamics in the
presence of unknown structural breaks. Journal of Banking and Finance.
36, 78-89.
.pdf .
12. Chen, H., Xing, H. and Zhang, N. (2011). Estimation of parent
specific DNA copy number in tumors using high-density genotyping
arrays. PLoS Computational Biology. 7, 1-15.
.pdf ;
Suppliment
.
11. Lai, T.L., Xing, H. and Chen, Z. (2011). Mean-variance portfolio
optimization when means and covariances of asset returns are unknown.
The Annals of Applied Statistics. 5, 798-823.
.pdf .
10. Lai, T.L. and Xing, H. (2011). A simple Bayesian approach to multiple
change-points. Statistica Sinica. 21, 539-569.
.pdf .
9. Lai, T.L. and Xing H. (2010). Sequential change-point detection when
the pre- and post-change parameters are unknown. Sequential
Analysis. 29, 162-175.
.pdf .
8. Lai, T. L., and Xing, H. (2010) Time series modeling and forecasting
of volatilities of asset returns. Handbook of Quantitative Finance and Risk
Management (C.F. Lee, A.C. Lee and J. Lee, eds.), 1417-1426, 2010.
Springer-Verlag, New York.
.pdf .
7. Lai, T.L., Liu, T. and Xing, H. (2009). A Bayesian approach to
sequential surveillance in exponential families. Communications in
Statistics, Theory and Methods. 38, 2958-2968.
.pdf .
6. Lai, T.L. and Xing, H. (2009). Discussion on "Optimal sequential
surveillance for finance, public health and other areas" by Marianne
Frisen. Sequential Analysis. 28, 360-364.
.pdf .
5. Lai, T.L. and Xing, H. (2008). A hidden Markov filtering approach to
multiple change-point models. Proceedings of 2008 IEEE conference on
detection and control. 1914-1919.
.pdf .
4. Lai, T.L., Xing, H., and Zhang, N. (2008).
Stochastic segmentation models for array-based comparative genomic
hybridization data analysis. Biostatistics. 9, 290-307.
.pdf ;
Supplement
.
3. Lai, T. L., and Xing, H. (2007). Nonparametric functionals of spectral
distributions and their applications to time series analysis.
Journal of Statistical Planning and Inference. 137, 1066-1075.
.pdf .
2. Lai, T. L., and Xing, H. (2006) Structural change as an alternative to
long memory in financial time series. Advances in Econometrics (H. Carter
and T. Fomby, eds.), Vol 20 (Econometric Analysis of Economic and
Financial Time Series), 209-228.
.pdf .
1. Lai, T. L., Liu, H., and Xing, H. (2005)
Autoregressive models with piecewise constant volatility and regression
parameters. Statistica Sinica. 15, 279-301.
.pdf .
Preprint:
. Xing, H. and Sun, N. (2011). A Markov switching model with stochastic
regimes for business cycles.
. Xing, H., Yu, Y. and Lim, T.W. (2011). European option pricing under
jump diffusion with proprotional transaction costs.
. Xing, H. and Ying, Z. (2011). A semiparametric change-point
regression model for longitudinal observations.
. Xing, H., Sun, N. and Ying, Z. (2011). A semiparametric change-point
model for recurrent events time.
. Xing, H., Mo, Y., Liao, W. and Zhang, M. (2011).
A novel Bayesian change-point model for genome-wide analysis of
diverse ChIP-seq data types.
. Xing, H. (2011). A hidden Markov modeling approach to multiple
structural breaks in biology and economic research.
Working paper:
. Lai, T.L., Pong, C.K. and Xing, H. (2011). Functional time series models
of yield curves and applications to forecasting interest rate derivative
prices.
. Lai, T.L. and Xing, H. (2011). Stochastic change-point ARX-GARCH models
of econometric time series and their applications.
. Lai, T.L. and Xing, H. (2011). Sequential surveillance, filtering and
control of change-point generalized linear systems.
