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

Bayesian Model Selection for Heteroskedastic Models

Chen, Cathy W.S.; Gerlach, Richard H.; So, Mike Ka Pui
Advances in Econometrics, 23, 567-594
Business Statistics

A Multivariate Threshold Stochastic Volatility Model

So, Mike Ka Pui; Choi, C.Y.
Mathematics and computers in simulation, v. 79, (3), 2008, p. 306-317
Business Statistics

Heavy-tailed-distributed Threshold Stochastic Volatility Models in Financial Time Series

Chen, Cathy W.S.; Liu, F.C.; So, Mike Ka Pui
Australian & New Zealand journal of statistics, v. 50, (1), 2008, p. 29-51
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

Modelling Financial Time Series with Threshold Nonlinearity in Returns and Trading Volume

So, Mike Ka Pui; Chen, Cathy W.S.; Chiang, Thomas C.; Lin, Doris S.Y.
Applied stochastic models in business and industry, v. 23, (4), 2007, p. 319-338
Business Statistics

Are Volatility Estimators Robust with Respect to Modeling Assumptions?

Li, Yingying; Mykland, Per A.
Bernoulli, v. 13, (3), 2007, p. 601-622
Business Statistics

Asymmetries in Return and Volatility and Composite News from Stock Markets

Chiang, Thomas C.; Chen, Cathy W.S.; So, Mike Ka Pui
Multinational Finance Journal, 11, 179-210
Business Statistics

Comparison of Nonnested Asymmetric Heteroskedastic Models

Chen, Cathy W.S.; Gerlach, Richard; So, Mike Ka Pui
Computational statistics & data analysis, v. 51, (4), 2006, p. 2164-2178