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

Dynamic Seasonality in Time Series

So, Mike Ka Pui; Chung, Siu Wa
Computational statistics & data analysis, v. 70, 2014, p. 212-226
Business Statistics

Vine-copula GARCH Model with Dynamic Conditional Dependence

So, Mike Ka Pui; Yeung, Cherry Y.T.
Computational Statistics and Data Analysis, v. 76, 2014, p. 655-671
Business Statistics

Aggregation of affine estimators

Dai, Dong; Rigollet, Philippe; Xia, Lucy; Zhang, Tong
Electronic Journal of Statistics, v. 8, (1), 2014, p. 302-327
Business Statistics

On Simulation and Properties of the Stable Law

Devroye, Luc; James, Lancelot
Statistical Methods and Applications, v. 23, (3), 2014, p. 307-343
Business Statistics

A Phase Transition for Measure-valued SIR Epidemic Processes

Lalley, Steven P.; Perkins, Edwin A.; Zheng, Xinghua
The Annals of Probability, v. 42, (1), 2014, p. 237-310
Business Statistics

Threshold Variable Selection of Asymmetric Stochastic Volatility Models

Chen, Cathy Wan Chu; Liu, Feng-Chi; So, Mike Ka Pui
Computational Statistics, v. 28, (6), 2013, p. 2415-2447
Business Statistics

Discrete Fractal Dimensions of the Ranges of Random Walks in Z<sup>d</sup> Associate with Random Conductances

Xiao, Yimin; Zheng, Xinghua
Probability Theory and Related Fields, v. 156, (1-2), 2013, p. 1-26
Business Statistics

Forecasting Intraday Volatility and Value-at-Risk with High-Frequency Data

So, Mike Ka Pui .; Xu, R.
Asia-Pacific Financial Markets, v. 20, (1), 2013, p. 83-111
Business Statistics

The leverage effect puzzle: Disentangling sources of bias at high frequency

Ait-sahalia, Yacine ; Fan, Jianqing; Li, Yingying
Journal of financial economics, v. 109, (1), 2013, p. 224-249
Business Statistics

Generalized Predictive Information Criteria for the Analysis of Feature Events

So, Mike Ka Pui .; Ando, Tomohiro
Electronic Journal of Statistics, v. 7, (1), 2013, p. 742-762