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

On Hysteretic Vector Autoregressive Model with Applications

Chen, Cathy W. S.; Hong, Than-Thi; So, Mike Ka Pui
JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION, v. 89, (2), 2019, p. 191-210
Business Statistics

A Simulation Smoother for Long Memory Time Series with Correlated and Heteroskedastic Additive Noise

Asai, Manabu; So, Mike Ka Pui
Communications in Statistics: Simulation and Computation, v. 50, (2), 2021, p. 388-399
Business Statistics

Autoregressive Conditional Negative Binomial Model Applied to Over-Dispersed Time Series of Counts

Chen, Cathy W.S.; So, Mike Ka Pui; Li, Jessica C.; Sriboonchitta, Songsak
Statistical Methodology, v. 31, 2016, p. 73-90
Business Statistics

Model Selection of a Switching Mechanism for Financial Time Series

Truong, Buu-Chau; Chen, Cathy W.S.; So, Mike Ka Pui
Applied Stochastic Models in Business and Industry, v. 32, (6), 2016, p. 836-851
Business Statistics

Statistical Inference for Conditional Quantiles in Nonlinear Time Series Models

So, Mike Ka Pui; Chung, Siu Wa
Journal of Econometrics, v. 189, (2), 2015, p. 457-472
Business Statistics

Bayesian Analysis of Tail Asymmetry Based on a Threshold Extreme Value Model

So, Mike Ka Pui; Chan, Raymond Ka Shing
Computational Statistics and Data Analysis, v. 71, 2014, p. 568-587
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

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

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

Bayesian Mixture of Autoregressive Models

Lau, John W.; So, Mike Ka Pui
Computational statistics & data analysis, v. 53, (1), 2008, p. 38-60