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

A Threshold Factor Multivariate Stochastic Volatility Model

So, Mike Ka Pui; Choi, C.Y.
Journal of forecasting, v. 28, (8), 2009, p. 712-735
Business Statistics

Microstructure Noise in the Continuous Case: The Pre-Averaging Approach

Li, Yingying; Jacod, Jean; Mykland, Per A.; Podolskij, Mark; Vetter, Mathias
Stochastic Processes and Their Applications, v. 119, (7), 2009, p. 2249-2276
Business Statistics

Posterior Analysis for Normalized Random Measures with Independent Increments

James, Lancelot; Lijoi, Antonio; Prünster, Igor
Scandinavian journal of statistics, v. 36, (1), 2009, p. 76-97
Business Statistics

Optimal Compensation with Hidden Action and Lump-Sum Payment in a Continuous-Time Model

Cvitanic, Jaksa; Wan, Xuhu; Zhang, Jianfeng
Applied Mathematics and Optimization, v. 59, (1), 2009, p. 99-146
Business Statistics

Dynamic Modeling of Tail Risk: Applications to China, Hong Kong and other Asian Markets

So, Mike Ka Pui; Tse, A.S.L.
Asia-Pacific Financial Markets, v. 16, (3), 2009, p. 183-210
Business Statistics

Simplified Specifications of a Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model

Yip, Iris W.H.; So, Mike Ka Pui
Mathematics and computers in simulation, v. 80, (2), 2009, p. 327-340
Business Statistics

Discussion of Nested Dirichlet Process paper by Rodriguez, Dunson and Gelfand

James, Lancelot
Journal of the American Statistical Association, v. 483, 2008, p. 1131-1154
Business Statistics

The Nested Dirichlet Process Comment

James, Lancelot
Journal of the American Statistical Association, v. 103, (483), 2008, p. 1151-1153
Business Statistics

Distributions of Linear Functionals of Two Parameter Poisson-Dirichlet Random Measures

James, Lancelot; Lijoi, Antonio; Prunster, Igor
ANNALS OF APPLIED PROBABILITY, v. 18, (2), 2008, p. 521-551
Business Statistics

An Empirical Evaluation of Fat-Tailed Distributions in Modeling Financial Time Series

So, Mike Ka Pui; Chen, Cathy W.S.; Lee, Jen-Yu; Chang, Yi-Ping
Mathematics and computers in simulation, v. 77, (1), 2008, p. 96-108