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

Linkage Vector Autoregressive Model

Asai, Manabu, So, Ka Pui
Applied Stochastic Models in Business and Industry, January 2024
Business Statistics

Realized BEKK-CAW Models

Asai, Manabu, So, Ka Pui
Journal of Time Series Econometrics, v. 15, (1), January 2023, p. 49-77
Business Statistics

Testing Specification of Distribution in Stochastic Frontier Analysis

Cheng, Ming-yen; Wang, Shouxia; Xia, Lucy; Zhang, Xibin
Journal of Econometrics, 2022
Business Statistics

Efficient Estimation of High-dimensional Dynamic Covariance by Risk Factor Mapping: Applications for Financial Risk Management

So, Mike Ka Pui; Chan, Wing Chun; Chu, Amanda M.Y.
Journal of Econometrics, v. 227, (1), 2022, p. 151-167
Business Statistics

Dynamic Covariance Modeling with Artificial Neural Networks

Liu, Wing Ki; So, Mike Ka Pui; Chu, Man Ying
Communications in Statistics: Case Studies, Data Analysis and Applications, 2021
Business Statistics

Volatility Measurement with Pockets of Extreme Return Persistence

Andersen, Torben G.; Li, Yingying; Todorov, Viktor; Zhou, Bo
Journal of Econometrics, 2021
Business Statistics

Volatility of Volatility: Estimation and Tests Based on Noisy High Frequency Data with Jumps

Li, Yingying; Liu, Guangying; Zhang, Zhiyuan
Journal of Econometrics, v. 229, (2), 2022, p. 422-451
Business Statistics

Volatility and Dynamic Dependence Modeling: Review, Applications, and Financial Risk Management

So, Mike Ka Pui; Chu, Amanda M.Y.; Lo, Cheuk Yan Cliff; Ip, Chun Yin
Wiley Interdisciplinary Reviews: Computational Statistics, 2021, article number e1567
Business Statistics

Quasi-maximum Likelihood Estimation of Conditional Autoregressive Wishart Models

Asai, Manabu; So, Mike Ka Pui
Journal of Time Series Analysis, v. 42, (3), 2021, p. 271-294
Business Statistics

A GARCH Model with Artificial Neural Networks

Liu, Wing Ki; So, Mike Ka Pui; Chu, Man Ying
Information, v. 11, (10), 2020, article number 489, p. 1-17