Professor
Mike K P SO
Business Statistics
Professor
immkpso@ust.hk
Mike K P SO

Research Interests

  • Nonlinear time series analysis
  • Financial time series modeling
  • Market volatility study
  • Modeling the dynamic structure of economic data
  • Value at Risk estimation in financial markets

Academic Qualification

  • PhD September 1996 University of Hong Kong, Statistics
  • B.Sc. June 1991 University of Hong Kong, Applied Mathematics

Academic And Professional Experience

  • Professor of ISOM, Hong Kong University of Science and Technology (HKUST), 2019 - present
  • Associate Professor of ISOM, Hong Kong University of Science and Technology (HKUST), 2004-2019
  • Assistant Professor of ISMT, Hong Kong University of Science and Technology (HKUST), 1998-2004
  • Visiting Assistant Professor of ISMT, HKUST, July 1996-June 1998
  • Assistant Lecturer of Statistics, The University of Hong Kong, 1994-1996

Selected Publications

  • Asai, Manabu, Chu, Amanda M. Y., and So, Ka Pui, "Dynamic Network Poisson Autoregression with Application to COVID-19 Count Data", Journal of Data Science, v. 23, (1), January 2025, p. 208-224
  • Chu, Amanda M. Y., Tsang, Jenny T. Y., Chan, Sophia S. C., Chan, Shun Hin, and So, Mike Ka Pui, "Utilizing Google Trends Data to Enhance Forecasts and Monitor Long COVID Prevalence", Communications Medicine, v. 5, May 2025, article number 179
  • Chu, Amanda Man Ying, Woo, Damen H.Y., Tiwari, Agnes, Yuk, Helina, and So, Mike Ka Pui, "Which Types of Family Caregivers are More Prone to Developing Depression? Leveraging Non-financial Social Support to Mitigate Depression", Current Psychology, v. 44, (1), January 2025, p. 73-84
  • Chu, Amanda M. Y., Chan, Shun Hin, Chang, Stephen S. Y., Tiwari, Agnes, Yuk, Helina, and So, Ka Pui, "Applications of Bayesian Networks in Assessing the Effects of Family Resilience on Caregiver Behavioral Problems, Depressive Symptoms, and Burdens", Journal of Computational Social Science, May 2024
  • So, Mike Ka Pui, Chan, Wing Chun, and Chu, Amanda Man Ying, "Bayesian Systemic Risk Analysis using Latent Space Network Models", Data Science in Science, v. 3, (1), December 2024, article number 2381724
  • Chu, Amanda Man Ying, Tsang, Jenny Tsun Yee, Tiwari, Agnes, Yuk, Helina, and So, Ka Pui, "Child-friendly Family Reduces Parenting Stress in Chinese Families: the Mediating Role of Family Resilience", Frontiers in Psychology, v. 15, October 2024, article number 1430005
  • Chu, Amanda Man Ying, Kwok, Patrick Wing Hong, Chan, Ngai Lam, and So, Ka Pui, "COVID-19 Pandemic Risk Assessment: Systematic Review", Risk Management and Healthcare Policy, v. 17, April 2024, p. 903-925
  • Lam, Benson Shu Yan, Chu, Amanda Man Ying, Chan, Ngai Lam, and So, Ka Pui, "Do Scholars Respond Faster Than Google Trends in Discussing COVID-19 Issues? An Approach to Textual Big Data", Health Data Science, v. 4, February 2024
  • Asai, Manabu, and So, Ka Pui, "Linkage Vector Autoregressive Model", Applied Stochastic Models in Business and Industry, January 2024
  • Chan, Shun Hin, Chu, Amanda M. Y., and So, Ka Pui, "A Moving-window Bayesian Network Model for Assessing Systemic Risk in Financial Markets", PLoS ONE, v. 18, (1), January 2023, article number e0279888
  • Chu, Amanda M. Y., Omori, Yasuhiro, So, Hing Yu, and So, Ka Pui, "A Multivariate Randomized Response Model for Sensitive Binary Data", Econometrics and Statistics, v. 27, July 2023, p. 16-35
  • Ng, Ka Chung, Ke, Ping Fan, So, Ka Pui and Tam, Kar Yan, "Augmenting Fake Content Detection in Online Platforms: A Domain Adaptive Transfer Learning via Adversarial Training Approach", Production and Operations Management, v. 32, (7), July 2023, p. 2101-2122
  • So, Ka Pui, and Chen, Cathy W. S., "Discussion of Multivariate Dynamic Modeling for Bayesian Forecasting of Business Revenue", Applied Stochastic Models in Business and Industry, v. 39, (3), May 2023, p. 310-311
  • Chu, Amanda M. Y., Chong, Andy C. Y., Lai, Nick H. T., Tiwari, Agnes, and So, Ka Pui, "Enhancing the Predictive Power of Google Trends Data Through Network Analysis: Infodemiology Study of COVID-19", JMIR Public Health and Surveillance, v. 9, (1), September 2023, article number e42446
  • Hassan Beygi, Babak, Wang, Kubert Tianghang, Chan, Hiu Lam, Wu, Hui Dong, Hung, Percy Ho Tim, So, Ka Pui, Kwong, Theresa, and Wong, Man Sang, "Fostering Integration Among Students with Different Backgrounds Using an Orthotic Community Service Program", Prosthetics and Orthotics International, v. 47, (4), August 2023, p. 407-415
  • So, Ka Pui, Chu, Amanda M. Y., and Tiwari, Agnes, "Interviewer Bias when Using Multiple Mini-Interviews in Selecting Student Nurses in a Chinese Setting", Nurse Education Today, v. 121, February 2023, article number 105676
  • Wang, Kai Y. K., Chen, Cathy W. S., and So, Ka Pui, "Quantile Three-factor Model with Heteroskedasticity, Skewness, and Leptokurtosis", Computational Statistics and Data Analysis, v. 182, June 2023, article number 107702
  • Asai, Manabu, and So, Ka Pui, "Realized BEKK-CAW Models", Journal of Time Series Econometrics, v. 15, (1), January 2023, p. 49-77
  • So, Ka Pui, Mak, Anson S. W., Chan, Ngai Lam, and Chu, Amanda M. Y., "Standardized Local Assortativity in Networks and Systemic Risk in Financial Markets", PLoS ONE, v. 18, (10), October 2023, article number e0292327
  • Wang, Y., and So, M. K. P., "A Bayesian Hierarchical Model for Spatial Extremes with Multiple Durations", Computational Statistics & Data Analysis, 95, 2016, 39-56
  • Chen, C. W. S., So, M. K. P., and Chiang, T. C., "Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach", Japanese Economic Review, 2015, forthcoming
  • So, M. K. P., and Chung, R. S. W. , "Statistical Inference of Conditional Quantiles in Nonlinear Time Series Models", Journal of Econometrics, 189, 2015, 457-472
  • Asai, M., and So, M. K. P., "Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes", Journal of Time Series Econometrics, 7, 2015, 69-74
  • So, M. K. P., and Yeung, C. Y. T. , "Vine-copula GARCH model with Dynamic Conditional Dependence", Computational Statistics & Data Analysis, 76, 2014, 655-671
  • So, M. K. P., and Chan, R. K. S., "Bayesian Analysis of Fat-tail Behavior and Tail Asymmetry Based on a Threshold Extreme Value Model", Computational Statistics & Data Analysis, 71, 2014, 568-587
  • So, M. K. P., and Chung, R. S. W., "Dynamic Seasonality in Time Series", Computational Statistics & Data Analysis, 70, 2014, 212-226
  • Asai, M., and So, M. K. P., "Stochastic Covariance Models", Journal of Japan Statistical Society, 43, 2013, 127-162
  • So, M. K. P., and Ando, T., "Generalized Predictive Information Criteria for the Analysis of Feature Events", Electronic Journal of Statistics, 7, 2013, 742-762
  • So, M. K. P., Wong, J., and Asai, M., "Stress Testing Correlation Matrices for Risk Management", North American Journal of Economics and Finance, 26, 2013, 310-322
  • So, M. K. P., and Xu, R., "Forecasting Intraday Volatility and Value-at-Risk with High-Frequency Data", Asia-Pacific Financial Markets, 20, 2013, 83-111
  • So, M. K. P., and Yip, I. W. H., "Multivariate GARCH Models with Correlation Clustering", Journal of Forecasting, 31, 5, 2012, 443-468
  • Chen C. W. S., and So, M. K. P., and Liu, F. C., "Threshold Time Series Model in Finance: A Review", Statistics and Its Interface, 4, 2011, 167-181
  • Hatrick, K., So, M. K., P., Chung, S. W., and Deng, R., "Dynamic Relationship among Intraday Realized Volatility, Volume and Number of Trades", Asia-Pacific Financial Markets, 18, 2011, 291-317
  • So, M. K. P., and Wong, C. M., "Estimation of Multiple Period Expected Shortfall and Median Shortfall for Risk Management", Quantitative Finance, 12, 5, 2012, 739-754
  • Lau J. W., and So, M. K. P., "A Monte Carlo Markov Chain Algorithm for a Class of Mixture Time Series Models", Statistics and Computing, 21, 2011, 69-81
  • Kwan, S. S. K., So, M. K. P., and Tam, K. Y., "Applying Randomized Response Technique to Elicit True Responses to Sensitive Questions in IS Research: The Case of Software Piracy Behavior", Information Systems Research, 21, 2010, 941-959
  • So, M. K. P., and Tse, A. S. L., "Dynamic Modeling of Tail Risk: Applications to China, Hong Kong and Other Asian Markets", Asia-Pacific Financial Markets, 16, 2009, 183-210
  • So, M. K. P., and Choi, C. Y., "A Threshold Factor Multivariate Stochastic Volatility Model", Journal of Forecasting, 28, 2009, 712-735
  • Chen, C. W. S., So, M. K. P., and Lin, E., "Double Markov Switching GARCH Models", Journal of Forecasting, 28, 2009, 681-697
  • Lau J. W., and So, M. K. P., "Bayesian Mixture of Autoregressive Models", Computational Statistics & Data Analysis, 53, 2008, 38-60
  • Chen, C. W. S., Gerlach, R. H., and So, M. K. P., "Bayesian Model Selection for Heteroskedastic Models", Advances in Econometrics, 23, 2008, 567-594
  • Chen, C. W. S., Gerlach, R. H., and So, M. K. P., "Comparison of Non-nested Asymmetric Heteroskedastic Models", Computational Statistics & Data Analysis, 51, 2006, 2164-2178
  • So, M. K. P., "Bayesian Analysis of Nonlinear and Non-Gaussian State Space Models via Multiple-try Sampling Methods", Statistics and Computing, 16, 2006, 125-141
  • So, M. K. P., and Kwok, S. W. Y., "A Multivariate Long Memory Stochastic Volatility Model", Physica A, 362, 2006, 450-464
  • Tiwari, A., Lai, P., So, M. K. P., and Yuen, K. H., "A Comparison of the Effects of Problem-based Learning and Lecturing on the Development of Students’ Critical Thinking", Medical Education, 40, 2006, 547-554
  • So, M. K. P., and Yu, P. L. H., "Empirical Analysis of GARCH Models in VaR Estimation", Journal of International Financial Markets, Institutions and Money, 16, 2006, 180-197
  • So, M. K. P., Chen, C. W. S., and Liu, F. C., "Best Subset Selection of Autoregressive Models With Exogenous Variables and Generalized Autoregressive Conditional Heteroscedasticity Errors", Journal of the Royal Statistical Society, Series C, 55, 2006, 201-224
  • Chen, C. W.S., and So, M. K. P., "On a Threshold Heteroscedastic Model", International Journal of Forecasting, 22, 2006, 73-89
  • So, M. K. P., Chen, C. W. S., and Chen, M. T., "A Bayesian Threshold Nonlinearity Test for Financial Time Series", Journal of Forecasting, 24, 2005, 61-75
  • Wong, C. M., and So, M. K. P., "On Conditional Moments of GARCH Models, With Applications to Multiple Period Value at Risk Estimation", Statistica Sinica, 13, 2003, 1015-1044
  • So, M. K. P., and Chen, C. W. S., "Subset Threshold Autoregression", Journal of Forecasting, 22, 2003, 49-66
  • So, M. K. P., "Posterior Mode Estimation for Nonlinear and Non-Gaussian State Space Models", Statistica Sinica, 13, 2003, 255-274
  • So, M. K. P., "Bayesian Analysis of Long Memory Stochastic Volatility Models", Sankhyā, Series B, 64, 2002, Part 1, 1-10
  • So, M. K. P., Li, W. K., and Lam, K., "A Threshold Stochastic Volatility Model", Journal of Forecasting, 21, 2002, 473-500
  • So, M. K. P., "Long-Term Memory in Stock Market Volatility", Applied Financial Economics, 10, 2000, 519-524
  • So, M. K. P., "Bayesian Unit Root Testing in Stochastic Volatility Model", Journal of Business & Economic Statistics, 17, 1999, 491-496
  • So, M. K. P., "Time Series with Additive Noise", Biometrika, 86, 1999, 474-482
  • So, M. K. P., Lam, K., and Li, W. K., "A Stochastic Volatility Model with Markov Switching", Journal of Business & Economic Statistics, 16, 1998, 244-253
  • So, M. K. P., Li, W. K., and Lam, K., "Multivariate Modelling of the Autoregressive Random Variance Process", Journal of Time Series Analysis, 18, 1997, 429-446

Professional Services

  • Journal of Business & Economic Statistics, associate editor, 2013-2016
  • Econometrics and Statistics, associate editor, 2016 to present
  • Annals of Computational and Financial Econometrics, associate editor, 2013-2015
  • Asia-Pacific Financial Markets, associate editor, 2006-present
  • Professional Risk Managers’ International Association, co-regional director of the Hong Kong Chapter, 2013-present

Professional Association Memberships

  • American Statistical Association
  • International Chinese Statistical Association

Honors

  • A nine-time recipient of the Best Ten Lecturers, 1998-2001, 2003-2005, 2007-2008
  • A winner of the Franklin Prize for Teaching Excellence, 2006
  • A winner of the Awards for Excellence in Teaching Innovation, 2007
  • Michael G. Gale Medal for Distinguished Teaching, 2009