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

Realized Volatility When Sampling Times are Possibly Endogenous

Li, Yingying; Mykland, Per A.; Renault, Eric; Zhang, Lan; Zheng, Xinghua
Econometric Theory, v. 30, (3), 2014, p. 580-605
Business Statistics

Stochastic Covariance Models

Asai, Manabu; So, Mike Ka Pui
Journal of Japan Statistical Society, v. 43, (2), 2013, p. 127-162
Business Statistics

Volatility Inference in the Presence of Both Endogenous Time and Microstructure Noise

Li, Yingying; Zhang, Zhiyuan; Zheng, Xinghua
Stochastic Processes and their Applications, v. 123, (7), 2013, p. 2696-2727
Business Statistics

Stress Testing Correlation Matrices for Risk Management

So, Mike Ka Pui i; Wong, Jerry; Asai, Manabu
North American Journal of Economics and Finance, v. 26, 2013, p. 310-322
Business Statistics

Threshold Variable Selection of Asymmetric Stochastic Volatility Models

Chen, Cathy Wan Chu; Liu, Feng-Chi; So, Mike Ka Pui
Computational Statistics, v. 28, (6), 2013, p. 2415-2447
Business Statistics

Forecasting Intraday Volatility and Value-at-Risk with High-Frequency Data

So, Mike Ka Pui .; Xu, R.
Asia-Pacific Financial Markets, v. 20, (1), 2013, p. 83-111
Business Statistics

Multivariate GARCH Models with Correlation Clustering

So, Mike Ka Pui; Yip, Iris W.H.
Journal of forecasting, v. 31, (5), 2012, p. 443-468
Business Statistics

Estimation of Multiple Period Expected Shortfall and Median Shortfall for Risk Management

So, Mike Ka Pui; Wong, Chi-Ming
Quantitative finance, v. 12, (5), 2012, p. 739-754
Business Statistics

Dynamic Relationship among Intraday Realized Volatility, Volume and Number of Trades

Hatrick, K.; So, Mike Ka Pui; Chung, S.W.; Deng, R.
Asia-Pacific financial markets, v. 18, (3), 2011, p. 291-317
Business Statistics

Dynamic Modeling of Tail Risk: Applications to China, Hong Kong and other Asian Markets

So, Mike Ka Pui; Tse, A.S.L.
Asia-Pacific Financial Markets, v. 16, (3), 2009, p. 183-210