Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

Dr. Shih-Kang Chao

Shih-Kang Chao is no longer an active member of the LvB Chair of Statistics. To contact him, please visit





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



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




Ph.D. in Statistics, Humboldt-Universität zu Berlin, Germany
2009-2011 M.B.A. in Finance, National Taiwan University, Taiwan


B.A. in Finance (Minor in Mathematics), National Taiwan University, Taiwan



  • 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



Quantile Regression in Risk Calibration

Confidence Corridors for Multivariate Generalized Quantile Regression