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Boris Choy

Boris Choy

PhD ImpLond M.Phil Chinese HK BSc(Hons) Leeds
Senior Lecturer

Rm 482
H04 - Merewether Building
The University of Sydney
NSW 2006 Australia

Telephone +61 2 9351 2787
Fax +61 2 9351 6409
boris.choy@sydney.edu.au

Bio

Boris Choy received his PhD in Statistics from Imperial College London, MPhil in Statistics from the Chinese University of Hong Kong and BSc. (First Class Honours) in Mathematics from the University of Leeds.

Boris Choy's main research interests focus on robust statistical analysis of financial time series data and insurance data using heavy-tailed distributions via Bayesian computational methods and scale mixtures density representation. In financial applications, he is working on GARCH and stochastic volatility models. In insurance applications, he focuses on accurate calculation of premiums and prediction of loss reserve. His research interests also include statistical consultation, survival analysis in finance, accounting and medicine, etc.

Boris Choy published his papers in the Journal of Royal Statistical Society, Series B, ASTIN Bulletin, etc. He was awarded the status of Chartered Statistician (CStat) by the Royal Statistical Society (UK) in 2002 and he is an Elected Member of the International Statistical  Institute (ISI).

Boris Choy received a Discipline Teaching Excellence Award in 2010  and an inaugural University of Sydney Business School Students' Choice Awards  for Teaching in 2013.

Publications

2014

2
Book Section/s

Wichitaksorn N and Choy STB 2014 Forthcoming 'Bayesian parallel computation for intractable likelihood using griddy-Gibbs sampler' in Current Trends in Bayesian Methodology with Applications, ed. Upadhyay, S., Dey, D.K., Singh, U & Loganathan, A., Chapman & Hall, United States

Choy STB and Bond C 2014 'Statistical analysis of political cycles on Australian stock market returns' in Modeling Dependence in Econometrics: Advances in Intelligent Systems and Computing, ed. Huynh, Van-Nam, Kreinovich, Vladik, Sriboonchitta, Songsak, Springer, Switzerland, pp. 307-328 Link

Chan J, Lam and Choy STB 2014 'An innovative financial time series model: The geometric process model' in Modeling Dependence in Econometrics: Advances in Intelligent Systems and Computing, ed. Huynh, Van-Nam, Kreinovich, Vladik, Sriboonchitta, Songsak, Springer, Switzerland, pp. 81-99 Link

4
Journal Article/s

Choy STB, Chen CWS and Lin EMH 2014 'Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations', Quantitative Finance, vol.14:7, pp. 1297-1313 Link

Chan JSK, Choy STB and Lam CPY 2014 'Modeling Electricity Price Using A Threshold Conditional Autoregressive Geometric Process Jump Model (Special Section: Stochastic Process and Probability Models)', Communications in Statistics - Theory and Methods (Special Issue: Advances in Probability and Statistics), vol.43:10-12, pp. 2505-15 Link

Wichitaksorn N, Choy STB and Gerlach R 2014 Forthcoming 'A Generalized Class of Skew Distributions and Associated Robust Quantile Regression Models', Canadian Journal of Statistics

5
Conference Paper/s

Choy STB 2014 Forthcoming 'A flexible class of bivariate distributions: Estimation and applications', Bayes on the Beach 2014 - 10th International Workshop for the Australasian Chapter of the International Society for Bayesian Analysis (ISBA) and the Annual Meeting of the Bayesian Statistics section of the Statistical Society of Australia, Inc (SSAI), Surfers Paradise, Australia, 12th November 2014

Choy STB 2014 'Flexible Multivariate Stochastic Methods for Estimating Aggregated Loss Reserves in General Insurance', 8th International Congress on Insurance: Mathematics & Economics, Shanghai, China, 12th March 2014

2013

4
Journal Article/s

Wang JJJ, Choy STB and Chan JSK 2013 'Modelling Stochastic Volatility using Generalised t distribution', Journal of Statistical Computation and Simulation, vol.83:2, pp. 340-54 Link

5
Conference Paper/s

Choy STB, Chan JSK and Walker SG 2013 'A New Method to Estimate the Shape Parameter of a Symmetric Distribution', 9th International Chinese Statistical Association International Conference ICSA 2013 - "Challenges of Statistical Methods for Interdisciplinary Research and Big Data", Hong Kong, (China), 23rd December 2013

Choy STB, Gerlach R and Wichitaksorn N 2013 'Bayesian Analysis of Stochastic Volatility Model and Quantile Regression using Asymmetric Laplace Error via Uniform Scale Mixtures', 22nd South Taiwan Statistics Conference, Kaohsiung, Taiwan, 29th June 2013

Choy STB, Gerlach R and Wichitaksorn N 2013 'Bayesian Analysis of Stochastic Volatility Model and Quantile Regression using Asymmetric Laplace Error via Uniform Scale Mixtures', International Symposium on Forecasting ISF 2013, Seoul, Korea, (South) Republic of, 26th June 2013

Choy STB 2013 'Estimation of Bivariate Copula-based Seemingly Unrelated Tobit Models (Invited Presentation)', 6th International Conference of the Thailand Econometric Society TES2013, Chiang Mai, Thailand, 11th January 2013

2012

4
Journal Article/s

Chan JSK, Lam CPY, Yu PLH, Choy STB and Chen CWS 2012 'A Bayesian conditional autoregressive geometric process model for range data', Computational Statistics and Data Analysis, vol.56:11, pp. 3006-19 Link

5
Conference Paper/s

Choy STB, Chan JSK and Makov UE 2012 'Contaminated Transformed Beta Distribution for Loss Reserving', 16th International Congress on Insurance: Mathematics and Economics IME2012, Hong Kong, (China), 30th June 2012

Choy STB and Bond C 2012 'A New Method to Model Dependence in Loss Reserves Triangles', International Conference on Actuarial Science and Risk Management ASRM2012, Xiamen, China, 27th June 2012

6
Conference Proceeding/s

Wichitaskorn N and Choy STB 2012 'Modeling dependence of seemingly unrelated Tobit model through copula: A Bayesian analysis', Proceedings of the 4th International Conference of the Thailand Econometrics Society (13-14 January 2011), Chiang Mai , Thailand, 1st January 2012-31st December 2012

2011

2
Book Section/s

Choy STB and Wichitaskorn N 2011 'Contribution to the discussion of “Bayesian variable selection for random intercept modelling of Gaussian and non-Gaussian data” by Frühwirth-Schnatter, S. & Wagner H' in Bayesian Statistics 9, Oxford University Press, Oxford, United Kingdom, pp. 189-91

4
Journal Article/s

Wang JJJ, Chan JSK and Choy STB 2011 'Stochastic volatility models with leverage and heavy-tailed distributions: A Bayesian approach using scale mixtures', Computational Statistics and Data Analysis, vol.55:1, pp. 852-862

5
Conference Paper/s

Wichitaskorn N and Choy STB 2011 'Modeling dependence of seemingly unrelated Tobit model through copula: A Bayesian analysis', Fourth International Conference of the Thailand Econometric Society, Chiang-Mai , Thailand, 15th January 2011

6
Conference Proceeding/s

Choy STB 2011 'Comparison of Different Heavy-tailed Stochastic Volatility Models for Financial Data in Thailand', Proceedings of the 3rd Conference of the Thailand Econometrics Society (7-8 January 2010): Econometric Leadership of the Knowledge-based Service Economy, Chiang Mai, Thailand, 1st January 2011-31st December 2011

2010

4
Journal Article/s

Chen CWS, Gerlach R, Choy STB and Lin C 2010 'Estimation and inference for exponential smooth transition nonlinear volatility models', Journal of Statistical Planning and Inference, vol.140:3, pp. 719-33

5
Conference Paper/s

Choy STB 2010 'A Modified Multivariate Student-t Distribution: An Application to Stochastic Volatility Models', 9th Valencia International Meeting on Bayesian Statistics and the 2010 World Meeting of the International Society for Bayesian Analysis, Benidorm, Spain, 8th June 2010

Choy STB 2010 'Comparison of different heavy-tailed stochastic volatility models for financial data in Thailand', 3rd Conference of the Thailand Econometrics Society, Chiang Mai, Thailand, 8th January 2010

2009

4
Journal Article/s

Curnow D, Cobbin D, Wyndham J and Choy STB 2009 'Altered motor control, posture and the Pilates method of exercise prescription', Journal of Bodywork and Movement Therapies, vol.13:1, pp. 104-111

Chan JK, Leung DP, Choy STB and Wan WY 2009 'Nonignorable dropout models for longitudinal binary data with random effects: An application of Monte Carlo approximation through the Gibbs output', Computational Statistics and Data Analysis, vol.53:12, pp. 4530-45

8
Magazine Article/s

Choy STB, Chan JK and Makov UE 2009 'Model selection for loss reserves: The growing triangle technique', Life and Pensions, vol.5, pp. 35-40

2008

2
Book Section/s

Choy STB, Wan W and Chan C 2008 'Bayesian student-t stochastic volatility models via scale mixtures' in Advances in Econometrics - Special Issue on Bayesian Econometrics, ed. S Chib, W Griffiths, G Koop & D Terrell, Emerald Group Publishing Limited, Bingley, United Kingdom, pp. 595-618

4
Journal Article/s

Choy STB and Chan JSK 2008 'Scale mixtures distributions in statistical modelling', Australian and New Zealand Journal of Statistics, vol.50:2, pp. 135-46

Chan JSK, Choy STB and Makov UE 2008 'Robust Bayesian analysis of loss reserves data using the generalized-t distribution', ASTIN Bulletin, vol.38, pp. 207-30

Chan JSK and Choy STB 2008 'Analysis of covariance structures in times series', Journal of Data Science, vol.6, pp. 573-89

6
Conference Proceeding/s

Chan JSK, Lam CPY, Chen CWS and Choy STB 2008 'Threshold geometric process model for financial time series', Joint Meeting of 4th World Conference of the IASC and 6th Conference of the Asian Regional Section of the IASC on Computational Statistics & Data Analysis, Yokohama, Japan, 8th December 2008

Choy STB and Chan JSK 2008 'Bayesian analysis of stochastic volatility using the generalized-t distribution', Joint Meeting of 4th World Conference of the IASC and 6th Conference of the Asian Regional Section of the IASC on Computational Statistics & Data Analysis, Yokohama, Japan, 8th December 2008

Loh AWK, Chan CM and Choy STB 2008 'Using Statistical Modeling to Detect Signal in the Presence of Background Noises in the Scope of Building Services Engineering - A Review', Proceedings of the Joint Symposium 2008 Shaping Our Future Environment, the role of Building Services Professionals, Hong Kong, (China), 18th November 2008

2007

4
Journal Article/s

Chan JSK, Choy STB and Lee ABW 2007 'Bayesian analysis of constant elasticity of variance models', Applied Stochastic Models in Business and Industry, vol.23:1, pp. 83-96

Choy STB, Strudwick MW and Hinks RC 2007 'Point injection as an alternative acupuncture technique – an exploratory study of responses in healthy subjects', Acupuncture in Medicine, vol.25:4, pp. 166-74

Strudwick MW, MacMahon KL and Choy STB 2007 'Rapid response of autonomic nervous system to acupuncture in subject under stress', Australian Journal of Acupuncture and Chinese Medicine, vol.2:1, pp. 9-15

Research Expertise

  • Bayesian econometrics/statistics with heavy-tailed distributions

Recent Units Taught