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 Multivariate Long Memory Stochastic Volatility Model

So, Mike Ka Pui; Kwok, SWY
PHYSICA a-statistical MECHANICS and ITS APPLICATIONS, v. 362, (2), 20061, p. 450-464
Business Statistics

On a threshold Heteroscedastic Model

Chen, CWS; So, Mike Ka Pui
International journal of forecasting, v. 22, (1), 2006, p. 73-89
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
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
Business Statistics

Assessing and testing for threshold nonlinearity in stock returns

Chen, CWS; So, Mike Ka Pui; Gerlach, RH
Australian & New Zealand journal of statistics, v. 47, (4), 2005,p. 473-488
Business Statistics

Asymmetric Response and Interaction of US and Local News in Financial Markets

Chen, CWS; So, Mike Ka Pui; Gerlach, RH
Applied stochastic models in business and industry, v. 21, (3), 2005, p. 273-288
Business Statistics

A Bayesian threshold nonlinearity test for financial time series

So, Mike Ka Pui; Chen, CWS; Chen, MT
Journal of forecasting, v. 24, (1), 2005, p. 61-75
Business Statistics

On Conditional Moments of Garch mMdels, with Applications to Multiple Period Value at Risk Estimation

Wong, CM; So, Mike Ka Pui
Statistica Sinica, v. 13, (4), 2003,p. 1015-1044
Business Statistics

Assymetrical Reaction to US Stock-Return News: Evidence from Major Stock Markets based on a Double-Threshold Model

Chen, Cathy W.S.; Chiang, Thomas C.; So, Mike Ka Pui
Journal of Economics and Business, v. 55, (5-6), 2003, p. 487-502
Business Statistics

Bayesian Analysis of Long Memory Stochastic Volatility Models

So, Mike Ka Pui
Sankhya, B64(1), 1-10