Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

Shih-Kang Chao is no longer an active member of the LvB Chair of Statistics. To contact him, please visit  http://www.stat.purdue.edu/people/faculty/skchao74

Research Interest

My research interest lies mainly in statistical learning theory and econometrics, e.g. quantile regression. I am application-driven and I love to work on theory too. I believe that one cannot live without any of the two. The following is a list of specific subjects which I am working on or plan to work on:

• Functional data analysis
• Nonparametric quantile regression 
• Large scale multiple regression
• Multiple testing

Teaching

Multivariate Analysis II (SS 15)

Statistical programming languages (SS 14)

Statistical Tools in Finance and Insurance (WS 13/14)

Multivariate Statistical Analysis II (SS 13)

Statistics II (Übung WS 12/13)

Statistics I ( Übung SS 12)

Lecture Slides

Qunatile Regression: Primary Techniques

Education

Publications

• Chao S.-K., Härdle, W. Wang, W. (2014).Quantile Regression in Risk Calibration, in Lee, C.-F., and Lee, J. C. (eds), Handbook of Financial econometrics and statistics, Springer, New York.[pdf]
• Chao, S.-K., Proksch, K., Dette, H. and Härdle, W. (2015). Confidence corridors for nonparametric multivariate generalized quantile regression, forthcoming in Journal of Business and Economic Statistics [pdf] [R code]

My Citations - Google Scholar (here)

Working Papers

• Pham-Thu, H., Chao, S.-K. and Härdle, W. (2014). Credit Risk Calibration based on CDS Spreads, SFB 649 Discussion Paper 2014-026 [pdf]
• Chao, S.-K., Härdle, W. and Yuan M. (2015). Factorisable Sparse Tail Event Curves, arXiv: 1507.03833 [pdf][Code: Chinese temperature][Code: Sparse Asymmetric Multivariate VaR]

Presentations

Quantile Regression in Risk Calibration

Confidence Corridors for Multivariate Generalized Quantile Regression