Publications

Our Faculty members are frequent contributors to world-renowned journals and serve on editorial boards of top IS, OR and Statistics academic journals.

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Business Statistics

Volatility of Volatility: Estimation and Tests Based on Noisy High Frequency Data with Jumps

Li, Yingying; Liu, Guangying; Zhang, Zhiyuan
Journal of Econometrics, v. 229, (2), 2022, p. 422-451
Business Statistics

On The Predictive Power Of Network Statistics For Financial Risk Indicators

Song, Jianhua; Zhang, Zhepei; So, Mike Ka Pui
Journal of International Financial Markets Institution & Money, v. 75, 2021, article number 101420
Business Statistics

Predicting Standardized Absolute Returns using Rolling-sample Textual Modelling

Tang, Ka Kit; Li, Ka Ching; So, Mike Ka Pui
PLoS ONE, v. 16, (12), Decmber 2021, article number e0260132
Business Statistics

Dynamic Covariance Modeling with Artificial Neural Networks

Liu, Wing Ki; So, Mike Ka Pui; Chu, Man Ying
Communications in Statistics: Case Studies, Data Analysis and Applications, 2021
Business Statistics

False Discovery Rate Control Under General Dependence By Symmetrized Data Aggregation

Du, Lilun; Guo, Xu; Sun, Wenguang; Zou, Changliang
Journal of the American Statistical Association, 2021
Business Statistics

Gibbs Partitions, Riemann-Liouville Fractional Operators, Mittag-Leffler Functions, and Fragmentations Derived from Stable Subordinators

Ho, Jason Man Wai; James, Lancelot; Lau, John W.
Journal of Applied Probability, v. 58, (2), 2021, p. 314-334
Business Statistics

Robo-advising Risk Profiling through Content Analysis for Sustainable Development in the Hong Kong Financial Market

So, Mike Ka Pui
Sustainability (Switzerland), v. 13, (3), 2021, article number 1306, p. 1-15
Business Statistics

Volatility and Dynamic Dependence Modeling: Review, Applications, and Financial Risk Management

So, Mike Ka Pui; Chu, Amanda M.Y.; Lo, Cheuk Yan Cliff; Ip, Chun Yin
Wiley Interdisciplinary Reviews: Computational Statistics, 2021, article number e1567
Business Statistics

Intentional Control of Type I Error over Unconscious Data Distortion: a Neyman-Pearson Approach to Text Classification

Xia, Lucy; Zhao, Richard; Wu, Yanhui; Tong, Xin
Journal of the American Statistical Association, v. 116, (533), Mrch 2021, p. 68-81
Business Statistics

Neyman-Pearson classification: parametrics and sample size requirement

Tong, Xin; Xia, Lucy; Wang, Jiacheng; Feng, Yang
Journal of Machine Learning Research, v. 21, 2020, article number 12