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

Estimating the Integrated Volatility with Tick Observations

Jacod, Jean; Li, Yingying; Zheng, Xinghua
Journal of Econometrics, v. 208, (1), 2019, p. 80-100
Business Statistics

Empirical Analysis of Bitcoin Prices Using Threshold Time Series Models

De guzman, Rodolfo Angelo M. III Katigbak ISOM; So, Mike Ka Pui
Annals of Financial Economics, v. 13, (4), 2018, article number 1850017
Business Statistics

Stochastic Volatility Models Based on OU-Gamma Time Change: Theory and Estimation

James, Lancelot; Müller, Gernot; Zhang, Zhiyuan
Journal of Business & Economic Statistics, v. 36, (1), 2018, p. 75-87
Business Statistics

Bayesian Shrinkage Estimation of Time-varying Covariance Matrices in Financial Time Series

So, Mike Ka Pui; Liu, Wing Ki; Chu, Man Ying
Advances in Decision Sciences, v. 22(A), 2018, p. 1-35
Business Statistics

Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale

Li, Yingying; Zheng, Xinghua
Journal of Financial Econometrics, v. 16, (4), 2018, p. 583-587
Business Statistics

Stochastic Multivariate Mixture Covariance Model

So, Mike Ka Pui; Li, Raymond W M; Asai, Manabu; Jiang, Yue
Journal of Forecasting, v. 36, (2), 2017, p. 139-155
Business Statistics

Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach

Chen, Cathy W.S.; So, Mike Ka Pui .; Chiang, Thomas C.
Japanese Economic Review, v. 67, (1), 2016, p. 96-124
Business Statistics

Efficient Estimation of Integrated Volatility Incorporating Trading Information

Li, Yingying; Xie, Shangyu; Zheng, Xinghua
Journal of Econometrics, v. 195, (1), 2016, p. 33-50
Business Statistics

Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes

Asai, Manabu; So, Mike Ka Pui
Journal of Time Series Econometrics, v. 7, (1), 2015, p. 69-74
Business Statistics

Vine-copula GARCH Model with Dynamic Conditional Dependence

So, Mike Ka Pui; Yeung, Cherry Y.T.
Computational Statistics and Data Analysis, v. 76, 2014, p. 655-671