Wan, P. and Davis, R. (2022). Goodness-of-fit testing for time series models via distance covariance Journal of Econometrics, 227(1):4--24.
Phyllis Wan
University
Erasmus University Rotterdam
E-mail
Research field
Econometrics
Interests
Econometrics, Finance, Risk Management, Time Series Econometrics
Website
Biography
Phyllis Wan is an Assistant Professor at the Department of Econometrics, Erasmus University Rotterdam. Her academic interests include statistical and econometric methods, quantitative risk management, high-dimensional data and machine learning. Her recent research focuses on extreme value analysis and its applications in economics, finance, meteorology and hydrology. She holds a PhD from Columbia University.
Key publications
List of publications
Wan, P. and Davis, R. (2022). Goodness-of-fit testing for time series models via distance covariance Journal of Econometrics, 227(1):4--24.
Auerbach, J. and Wan, P. (2020). Forecasting the Urban Skyline with Extreme Value Theory International Journal of Forecasting, 36(3):814--828.
Wan, P. (2020). Discussion of: Graphical models for extremes Journal of the Royal Statistical Society. Series B. Statistical Methodology, 82(4):871--932.