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

Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection

Fan, Jianqing; Li, Yingying; Yu, Ke
Journal of the American Statistical Association, v. 107, (497), 2012, p. 412-428
Business Statistics

Subcritical Branching Processes in a Random Environment Without the Cramer Condition

Vatutin, Vladimir; Zheng, Xinghua
Stochastic Processes and their Applications, v. 122, (7), 2012, p. 2594-2609
Business Statistics

The Sequence Memoizer

Wood, Frank; Gasthaus, Jan; Archambeau, Cedric; James, Lancelot; Teh, Yee Whye
Communications of the ACM, v. 54, (2), 2011, p. 91-98
Business Statistics

Quantile Clocks

James, Lancelot; Zhang, Zhiyuan
The Annals of applied probability, v. 21, (5), 2011, p. 1627-1662
Business Statistics

On the Estimation of Integrated Covariance Matrices of High Dimensional Diffusion Processes

Zheng, Xinghua; LI, Yingying
Annals of Statistics, v. 39 (6), 2011, p. 3121 - 3151
Business Statistics

A Monte Carlo Markov chain algorithm for a class of mixture time series models

Lau, John W.; So, Mike Ka Pui
Statistics and computing, v. 21, (1), 2011, p. 69-81
Business Statistics

Dynamic Relationship among Intraday Realized Volatility, Volume and Number of Trades

Hatrick, K.; So, Mike Ka Pui; Chung, S.W.; Deng, R.
Asia-Pacific financial markets, v. 18, (3), 2011, p. 291-317
Business Statistics

Occupation Statistics of Critical bBranching Random Walks in Two or Higher Dimensions

Lalley, Steven P.; Zheng, Xinghua
The Annals of Probability, v. 39, (1), 2011, p. 327-368
Business Statistics

A Review of Threshold Time Series Models in Finance

Chen, Cathy W.S.; So, Mike Ka Pui; Liu, Feng-Chi
Statistics and Its Interface, v. 4, (2), 2011, p. 167-181
Business Statistics

The Double CFTP Method

Devroye, Luc; James, Lancelot
ACM transactions on modeling and computer simulation, v. 21, (2), 2011