Publications

Our Faculty members are frequent contributors to world-renowned journals and serve on editorial boards of top IS, OM and Statistics academic journals.

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Business Statistics

Estimation of Multiple Period Expected Shortfall and Median Shortfall for Risk Management

So, Mike Ka Pui; Wong, Chi-Ming
Quantitative finance, v. 12, (5), 2012, p. 739-754
Business Statistics

Optimal Compensation and Pay-performance Sensitivity in a Continuous-time Principal-agent Model

Ju, Nengjiu; Wan, Xuhu
Management Science, v. 58, (3), 2012, p. 641-657
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