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 Shrinkage Estimation of Time-varying Covariance Matrices in Financial Time Series

So, Mike Ka Pui; Liu, Wing Ki; Chu, Man Ying
Advances in Decision Sciences, v. 22(A), 2018, p. 1-35
Business Statistics

Empirical Analysis of Bitcoin Prices Using Threshold Time Series Models

De guzman, Rodolfo Angelo M. III Katigbak ISOM; So, Mike Ka Pui
Annals of Financial Economics, v. 13, (4), 2018, article number 1850017
Business Statistics

Bayesian Spatial–temporal Modeling of Air Pollution Data With Dynamic Variance and Leptokurtosis

Chu, A.M.Y. ; Li, Raymond W.M.; So, Mike Ka Pui
Spatial Statistics, v. 26, Agust 2018, p. 1-20
Business Statistics

Stochastic Volatility Models Based on OU-Gamma Time Change: Theory and Estimation

James, Lancelot; Müller, Gernot; Zhang, Zhiyuan
Journal of Business & Economic Statistics, v. 36, (1), 2018, p. 75-87
Business Statistics

A Unified Approach to Volatility Estimation in the Presence of Bothrounding and Random Market Microstructure Noise

Li, Yingying; Zhang, Zhiyuan; Li, Yichu
Journal of Econometrics, v. 203, (2), 2018, p. 187-222
Business Statistics

Multivariate Modelling of Spatial Extremes Based on Copulas

Chan, Raymond K. S. ISOM; So, Mike Ka Pui
Journal of Statistical Computation and Simulation, v. 88, (12), 2018, p. 2404-2424
Business Statistics

Bayesian Poisson Calculus for Latent Feature Modeling via Generalized Indian Buffet Process Priors

James, Lancelot
Annals of Statistics, v. 45, (5), 2017, p. 2016-2045
Business Statistics

Statistical Properties of Microstructure Noise

Jacod, Jean; Li, Yingying; Zheng, Xinghua
Econometrica, v. 85, (4), 2017, p. 1133-1174
Business Statistics

Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale

Li, Yingying; Zheng, Xinghua
Journal of Financial Econometrics, v. 16, (4), 2018, p. 583-587
Business Statistics

On the Maximal Displacement of Subcritical Branching Random Walks

Neuman, Eyal; Zheng, Xinghua
Probability Theory and Related Fields, v. 167, (3-4), 2017, p. 1137-1164