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

Statistical Disclosure Control For Continuous Variables Using An Extended Skew-T Copula

Chu, Amanda M.Y.; Ip, Chun Yin; Lam, Benson S.Y.; So, Mike Ka Pui
Applied Stochastic Models in Business and Industry,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

High Dimensional Minimum Variance Portfolio Estimation under Statistical Factor Models

Ding, Yi; Li, Yingying; Zheng, Xinghua
Journal of Econometrics, v. 222, (1), ay 2021, p. 502-515
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

On The Predictive Power Of Network Statistics For Financial Risk Indicators

Song, Jianhua; Zhang, Zhepei; So, Mike Ka Pui
Journal of International Financial Markets Institution & Money, v. 75, 2021, article number 101420
Business Statistics

Predicting Standardized Absolute Returns using Rolling-sample Textual Modelling

Tang, Ka Kit; Li, Ka Ching; So, Mike Ka Pui
PLoS ONE, v. 16, (12), Decmber 2021, article number e0260132
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

False Discovery Rate Control Under General Dependence By Symmetrized Data Aggregation

Du, Lilun; Guo, Xu; Sun, Wenguang; Zou, Changliang
Journal of the American Statistical Association, 2021
Business Statistics

Regularization of Bayesian Quasi-Likelihoods Constructed From Complex Estimating Functions

Chung, Siu Wa; So, Mike Ka Pui; Chu, Amanda M. Y.; Chan, Wing Chun
Computational Statistics & Data Analysis, v. 150, 2020, article number 106977
Business Statistics

A Projection-Based Conditional Dependence Measure With Applications to High-Dimensional Undirected Graphical Models

Fan, Jianqing; Feng, Yang; Xia, Lucy
Journal of Econometrics, v. 218, (1), 2020, p. 119-139