Mike K P SO
Business Statistics
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

  • 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


  • 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