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 Analysis of Long Memory Stochastic Volatility Models

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

Long-Term Memory in Stock Market Volatility

So, Mike Ka Pui
Applied Financial Economics, v. 10, 2000, p. 519-524
Business Statistics

Forecasting and Trading Strategies based on a Price Trend Model

Kwan, JWC; Lam, K.; So, Mike Ka Pui; Yu, PLH
Journal of forecasting, v. 19, (6), 2000, p. 485-498
Business Statistics

Bayesian Unit-root Testing In Stochastic Volatility Models

So, Mike Ka Pui; Li, WK
Journal of business & economic statistics, v. 17, (4), 1999, p. 491-496
Business Statistics

Forecasting Exchange Rate Volatility using Autoregressive Random Variance Model

So, Mike Ka Pui; Lam, K.; Li, W.K.
Applied Financial Economics, v. 9, (6), 1999, p. 583-591
Business Statistics

A Stochastic Volatility Model with Markov Switching

So, Mike K.P.; Lam, K. ; Li, W. K.
Journal of business & economic statistics, v. 16, (2), 1998, p. 244-253
Business Statistics

Multivariate Modelling of the Autoregressive Random Variance Process

So, Mike Ka Pui .; Li, W.K.; Lam, K.
Journal of Time Series Analysis, v. 18, 1997, p. 429-446