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

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

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

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

Volatility Forecasting with Double Markov Switching GARCH Models

Chen, Cathy W.S.; So, Mike Ka Pui; Lin, Edward M.H.
Journal of forecasting, v. 28, (8), 2009, p. 681-697
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

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
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

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

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

Best Subset Selection of Autoregressive Models with Exogenous Variables and Generalized Autoregressive Conditional Heteroscedasticity Errors

So, Mike Ka Pui; Chen, Cathy W.S.; Liu, Feng Chi
Journal of the Royal Statistical Society. Series C: Applied Statistics, v. 55, (2), 2006, p. 201-224