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A Brief Introduction of Professor Tai-Leung Terence CHONG
By Anny Peng
Professor Tai-Leung Terence CHONG is the economics professor of the
Professor Tai-Leung Terence CHONG is outstandingly original, creative, and productive and has published extensively in a wide variety of prestigious journals.
On Econometrics
[37] "A Class Test for Fractional Integration" (with Melvin Hinich), Studies in Nonlinear Dynamics & Econometrics, forthcoming.
[36] "Estimation of Autoregressive Model in the Presence of Measurement" (with Venus Liew, Yuanxiu Zhang and Chi-Leung Wong), Economics Bulletin, 3, May 2006, no. 12, pp. 1-10.
[35] "The Polynominal Aggregated AR(1) Model", Econometrics Journal, 9, March 2006, pp. 98-122.
[34] "Autoregressive Lag Length Selection Criteria in the Presence of ARCH Errors " (with Venus Liew), Economics Bulletin, 3, April 2005, no. 19, pp. 1- 5.
[33] "Generic Consistency of the Break-Point Estimator under Specification Errors," Econometrics Journal, 6, June 2003, pp. 167-192.
[32] "Time Series Properties of the Aggregated AR(2) Processes," (with K.T. Wong), Economics Letters, 73, December 2001, pp. 325-332.
[31] "Structural Change in AR(1) Models," Econometric Theory, 17, No. 1, February 2001, pp. 87-155.
[30] "Estimating the Locations and Number of Change Points by the Sample-Splitting Method," Statistical Papers, 42, No. 1, 2001, pp. 53-79
[29] "Estimating the Differencing Parameter via the Partial Autocorrelation Function," Journal of Econometrics, 97, August 2000, 365-381.
[28] "Estimation of and Testing for Structural Break in the Error-in-Variables Model," Journal of Applied Statistical Science, 9 No. 2, 2000, pp. 147-158.
[27] "Asymptotic Distribution of the Sup-Wald Statistic under Specification Errors," Structural Change and Economic Dynamics, 10, 1999, pp. 421-430
[26] "Estimating the Location of Breaks in Restricted Structural Change Models," Journal of Applied Statistical Science, 9, No. 1, 1999, pp. 39-59.
[25] "Estimating the Fractionally Integrated Process in the Presence of Measurement Errors" (with C.S. Lui), Economics Letters, 63, June 1999, pp. 285-294.
[24] "Distribution of the Change-Point Estimator for Nearly-Integrated Processes,"
[23] "Estimating the Unit Root Process in the Presence of Measurement Errors," Journal of Applied Statistical Science, 6, No. 2/3, 1997, pp. 105-120.
[22] "Partial Parameter Consistency in a Misspecified Structural Change Model," Economics Letters, 49, October 1995, pp. 351-357.
On Finance
[21] "The Impact of the 1997 Handover on the Efficiency of the Hong Kong Stock Market" (with Lily Lok), Singapore Economic Review, forthcoming.
[20] "Technical Analysis and the London Stock Exchange: Testing the MACD and RSI Rules using the FT30" (with W.K. Ng), Applied Economics Letters, forthcoming.
[19] "On the Convergence of the Chinese and Hong Kong Stock Markets: A Cointegration Analysis of the A and H Shares" (with Qian Su and Isabel Yan), Applied Financial Economics, forthcoming.
[18] "Determining the Contribution to Price Discovery for Chinese Cross-listed Stocks" (with Qian Su), Pacific Basin Finance Journal, forthcoming.
[17] "The Risk-Adjusted Trading Rule Profits in Currency Spot Cross-rates" (with Thomas C.S. Shik), Applied Financial Economics Letters, forthcoming.
[16] "Profitability of the Directional Indicators" (with Vincent Lam), Applied Financial Economics Letters, forthcoming.
[15] "Profitability of Intraday and Interday Momentum Strategies" (with Vincent Lam and W. K. Wong), Applied Economics Letters, forthcoming.
[14] "A Comparison of MA and RSI Returns with Exchange Rate Intervention" (with Thomas C.S. Shik), Applied Economics Letters, forthcoming.
[13] "Has the 911 Incident Induced any Structural Change in the
[12] "On the Co-movement of the A and H Shares" (with Qian Su), The Chinese Economy, forthcoming.
[11] "Do the Technical Indicators Reward Chartists in Greater
[10] "Prostick vs Candlestick: A comparison of trading strategies using modal and closing price data," (with Quincy C.F. Chan), The Technical Analyst, April 2004, pp. 32-34.
[9] "An Empirical Comparison of Moving Average Envelopes and Bollinger Bands," (with Joseph M.J. Leung), Applied Economics Letters, 10, May 2003, pp. 339-341.
On Exchange Rate and International Economics
[8] "The Revaluation and Future Adjustment of Renminbi" (with Ben Everard), The Chinese Economy, forthcoming.
[7] "Is the Yen-European Cross-rate Market Efficient?" (with L.M. Chiang and Venus Liew), International Economics and Finance Journal, 1, no. 1, June 2006, pp. 29-46.
[6] "Are Asian Real Exchange Rates Stationary?" (with Venus Liew and A.Z. Baharumshah), Economics Letters, 83, June 2004, pp. 313-316.
[5] "The Inadequacy of Linear Autoregressive model for Real Exchange Rates: Empirical Evidence from Asian Economies," (with K.P. Lim and Venus Liew), Applied Economics, 5, August 2003, pp. 1387-1392.
[4] "Metzler's Paradox and the Optimum Tariff in a Monetary Economy," (with T. Palivos and C.K. Yip), Journal of Economic Integration, 13(2), June 1998, pp. 218-233.
On Applied Economics and Economic Theory
[3] "Hedonic Pricing Models for Vehicle Registration Marks" (with Xin Du), Pacific Economic Review, forthcoming.
[2] "Two-sided Matching, Who Marries Whom? And what Happens upon Divorce?" Economics Bulletin, 4, June, 2006, no. 21, pp. 1-7.
[1] "Coase Theorem in Two-sided Matching Marriage Games," Seoul Journal of Economics, 11, No. 3, Fall 1998, 283-293.
Professor Tai-Leung Terence CHONG has won a lot of research grants, which has brought great renown and prestige to the
Selected Research Grants
HK$80,000. "Profitability of Time-Series Model Trading Rules," funded by the Direct Grant for Research 2005, The Chinese University of
HK$387,817. "Estimating of and Testing for a Break in the Differencing Parameter," funded by the Research Grants Council of Hong Kong (RGC) 2000/01
HK$220,000. "Testing the Null Hypothesis of ARFIMA Processes against the Alternative of Non-ARFIMA Processes," funded by the Research Grants Council of Hong Kong (RGC) 1998/99
HK$210,790. "Generic Consistency of the Break-Point Estimator under Specification Errors," funded by the Research Grants Council of Hong Kong (RGC) 1997/98
HK$47,000. "Estimating Structural Change Models with Nonstationary Regressors," funded by the Direct Grant for Research 1996, The Chinese University of
HK$50,500. "Estimating the Location of Breaks in Restricted Structural Change Models," funded by the Research Funds for New Recruits 1995, The Chinese University of
HK$4,500. "Testing for Stochastic Unit Root Process," funded by the Student Campus Work Scheme 1995/96, The Chinese University of
Fellowships
University Fellowship and Tuition Fellowship, 1992-1995,
Sung Han Chang Memorial Scholarship and Research Fund, 1991, The
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