Faculty Profiles - SO Mike Ka Pui | The Hong Kong University of Science and Technology

Mike Ka Pui SO
蘇家培

PhD in Statistics
The University of Hong Kong, 1996

Professor
Department of Information Systems, Business Statistics and Operations Management

(852) 2358 7726
immkpso@ust.hk
Room LSK4075
Personal Web

Google Scholar

7ABkqR8AAAAJ

ORCID

0000-0003-0781-8166

Scopus ID

36719004700

Research Interest Publications Projects Teaching Assignment RPG Supervision Space used

Research Interest

Nonlinear time series analysis
Financial econometrics
Bayesian analysis
Data analytics
Risk management

Publications

All Years 134 2024 4 2023 10 2022 13 2021 15 2020 10 2019 8 2018 74

2024 4

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
Chu, Amanda M. Y.; Chan, Shun Hin; Chang, Stephen S. Y.; Tiwari, Agnes; Yuk, Helina; So, Ka Pui
Article

COVID-19 Pandemic Risk Assessment: Systematic Review

Risk Management and Healthcare Policy, v. 17, April 2024, p. 903-925
Chu, Amanda Man Ying; Kwok, Patrick Wing Hong; Chan, Ngai Lam; So, Ka Pui
Article

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
Lam, Benson Shu Yan; Chu, Amanda Man Ying; Chan, Ngai Lam; So, Ka Pui
Article

Linkage vector autoregressive model

Applied Stochastic Models in Business and Industry, January 2024
Asai, Manabu; So, Ka Pui
Article

2023 10

A moving-window bayesian network model for assessing systemic risk in financial markets

PLoS ONE, v. 18, (1), January 2023, article number e0279888
Chan, Shun Hin; Chu, Amanda M.Y.; So, Ka Pui
Article

A Multivariate Randomized Response Model for Sensitive Binary Data

Econometrics and Statistics, v. 27, July 2023, p. 16-35
Chu, Amanda M.Y.; Omori, Yasuhiro; So, Hing Yu; So, Ka Pui
Article

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
Ng, Ka Chung; Ke, Ping Fan; So, Ka Pui; Tam, Kar Yan
Article

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
So, Ka Pui; Chen, Cathy W. S.
Article

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
Chu, Amanda MY; Chong, Andy C Y; Lai, Nick H T; Tiwari, Agnes; So, Ka Pui
Article

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
Hassan Beygi, Babak; Wang, Kubert Tianghang; Chan, Hiu Lam; Wu, Hui Dong; Hung, Percy Ho Tim; So, Ka Pui; Kwong, Theresa; Wong, Man Sang
Article

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
So, Ka Pui; Chu, Amanda M. Y.; Tiwari, Agnes
Article

Quantile three-factor model with heteroskedasticity, skewness, and leptokurtosis

Computational Statistics and Data Analysis, v. 182, June 2023, article number 107702
Wang, Kai Y.K.; Chen, Cathy W.S.; So, Ka Pui
Article

Realized BEKK-CAW Models

Journal of Time Series Econometrics, v. 15, (1), January 2023, p. 49-77
Asai, Manabu; So, Ka Pui
Article

Standardized local assortativity in networks and systemic risk in financial markets

PLoS ONE, v. 18, (10), October 2023, article number e0292327
So, Ka Pui; Mak, Anson S.W.; Chan, Ngai Lam; Chu, Amanda M.Y.
Article

2022 13

A longitudinal examination of tablet self-management technology acceptance by patients with chronic diseases: Integrating perceived hand function, perceived visual function, and perceived home space adequacy with the TAM and TPB

Applied Ergonomics, v. 100, April 2022, article number 103667
Liu, Kaifeng; Or, Calvin Kalun; So, Ka Pui; Cheung, Bernard; Chan, Bill; Tiwari, Agnes; Tan, Joseph
Article

Assessing Government Policies' Impact on the COVID-19 Pandemic and Elderly Deaths in East Asia

Epidemiology and Infection, v. 150, 22 August 2022, article number e161
Chen, Cathy W. S.; So, Ka Pui; Liu, Feng-Chi
Article

Assessing Systemic Risk in Financial Markets Using Dynamic Topic Networks

Scientific Reports, v. 12, (1), 17 February 2022, article number 2668
So, Mike K. P.; Mak, Anson S.W.; Chu, Amanda M.Y.
Article

Dynamic Causality Analysis of COVID-19 Pandemic Risk and Oil Market Changes

Journal of Risk and Financial Management, v. 15, (6), May 2022, article number 240
So, Ka Pui; Chan, Ngai Lam; Chu, Amanda M.Y.
Article

Dynamic covariance modeling with artificial neural networks

Communications in Statistics: Case Studies, Data Analysis and Applications, v. 8, (1), 2022, p. 15-42
Liu, Wing Ki; So, Ka Pui; Chu, Man Ying
Article

Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: Applications for financial risk management

Journal of Econometrics, v. 227, (1), March 2022, p. 151-167
So, Mike Ka Pui; Chan, Wing Chun; Chu, Amanda M.Y.
Article

Identifying the big shots-a quantile-matching way in the big data context

ACM Transactions on Management Information Systems, v. 13, (2), March 2022, article number 19, p. 1-30
Li, Guangrui (Kayla); So, Mike Ka Pui; Tam, Kar Yan
Article

Learning from work-from-home issues during the COVID-19 pandemic: Balance speaks louder than words

PLoS ONE, v. 17, (1), 13 January 2022, article number e0261969
Chu, Amanda M.Y.; Chan, Wing Chun; So, Ka Pui
Article

Measuring Family Resilience of Chinese Family Caregivers: Psychometric Evaluation of the Family Resilience Assessment Scale

Family Relations, v. 71, (1), February 2022, p. 130-146
Chu, Amanda M.Y.; Tsang, Jenny T.Y.; Tiwari, Agnes; Yuk, Helina; So, Mike K.P.
Article

Predicting the burden of family caregivers from their individual characteristics

Informatics for Health and Social Care, v. 47, (2), p. 211-222
So, Mike Ka Pui; Yuk, Helina; Tiwari, Agnes; Cheung, Sam T. Y.; Chu, Amanda M. Y.
Article

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

Applied Stochastic Models in Business and Industry, v. 38, (1), January 2022, p. 96-115
Chu, Amanda M.Y.; Ip, Chun Yin; Lam, Benson S.Y.; So, Mike K.P.
Article

Vine copula statistical disclosure control for mixed-type data

Computational Statistics and Data Analysis, v. 176, December 2022, article number 107561
Chu, Amanda M.Y.; Ip, Chun Yin; Lam, Benson S.Y.; So, Ka Pui
Article

Volatility and dynamic dependence modeling: Review, applications, and financial risk management

Wiley Interdisciplinary Reviews: Computational Statistics, v. 14, (5), September 2022, article number e1567
So, Ka Pui; Chu, Amanda M.Y.; Lo, Cheuk Yan Cliff; Ip, Chun Yin
Article

2021 15

A Latent Space Modeling Approach to Interfirm Relationship Analysis

ACM Transactions on Management Information Systems, v. 12, (2), June 2021, article number 10, p. 1-44
Ng, Ka Chung; So, Ka Pui; Tam, Kar Yan
Article

Analyzing cross-country pandemic connectedness during COVID-19 using a spatial-temporal database: Network analysis

JMIR Public Health and Surveillance, v. 7, (3), March 2021, article number e27317
Chu, Amanda M.Y.; Chan, Jacky N.L.; Tsang, Jenny T.Y.; Tiwari, Agnes; So, Ka Pui
Article

Are travel restrictions helpful to control the global COVID-19 outbreak?

Travel Medicine and Infectious Disease, v. 41, May 2021, article number 102021
Chu, Amanda M.Y.; Tiwari, Agnes; Chan, Jacky N.L.; So, Ka Pui
Article

Dynamic Network Analysis of COVID-19 with a Latent Pandemic Space Model

International Journal of Environmental Research and Public Health, v. 18, (6), March 2021, article number 3195, p. 1-22
Chu, Amanda Man Ying; Chan, Wing Chun Thomas; So, Mike Ka Pui; Wong, Wing Keung
Article

Factors for sustainable online learning in higher education during the COVID-19 pandemic

Sustainability (Switzerland), v. 13, (9), May 2021, article number 5038
Chu, Amanda M.Y.; Liu, Connie K. W.; So, Ka Pui; Lam, Benson S. Y.
Article

Financial Network Connectedness and Systemic Risk During the COVID-19 Pandemic

Asia-Pacific Financial Markets, 14 June 2021
So, Ka Pui; Chan, Shun Hin; Chu, Amanda M. Y.
Article

Higher Education During The Pandemic: The Predictive Factors Of Learning Effectiveness In Covid-19 Online Learning

Education Sciences, v. 11, (8), 20 August 2021, article number 446
Tsang, Jenny T.Y.; So, Ka Pui; Chong, Andy C.Y.; Lam, Benson S.Y.; Chu, Amanda M.Y.
Article

Impacts of the COVID-19 pandemic on financial market connectedness

Finance Research Letters, v. 38, January 2021, article number 101864
So, Ka Pui; Chu, Amanda M. Y.; Chan, Wing Chun Thomas
Article

On The Predictive Power Of Network Statistics For Financial Risk Indicators

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

On topological properties of COVID-19: predicting and assessing pandemic risk with network statistics

Scientific Reports, v. 11, (1), December 2021, article number 5112
So, Mike K. P.; Chu, Amanda M. Y.; Tiwari, Agnes; Chan, Ngai Lam
Article

Pandemic risk of COVID-19 outbreak in the United States: An analysis of network connectedness with air travel data

International Journal of Infectious Diseases, v. 103, February 2021, p. 97-101
Tiwari, Agnes; So, Ka Pui; Chong, Andy C.Y.; Chan, Jacky N.L.; Chu, Amanda M.Y.
Article

Predicting standardized absolute returns using rolling-sample textual modelling

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

Quasi-maximum likelihood estimation of conditional autoregressive Wishart models

Journal of Time Series Analysis, v. 42, (3), May 2021, p. 271-294
Asai, Manabu; Mike, K. P. So
Article

Robo-advising risk profiling through content analysis for sustainable development in the Hong Kong financial market

Sustainability (Switzerland), v. 13, (3), February 2021, article number 1306, p. 1-15
So, Ka Pui
Article

Stochastic actor-oriented modelling of the impact of COVID-19 on financial network evolution

Stat, v. 10, (1), December 2021, article number e408
Chu, Amanda M. Y.; Chan, Shun Hin; So, Ka Pui
Article

2020 10

A GARCH Model with Artificial Neural Networks

Information, v. 11, (10), October 2020, article number 489, p. 1-17
Liu, Wing Ki; So, Ka Pui
Article

Analysis of travel restrictions for COVID-19 control in Latin America through network connectedness

Journal of Travel Medicine, v. 27, (8), December 2020, article number taaa176
Chu, Amanda M. Y.; Tsang, Jenny T. Y.; Chan, Ngai Lam; Tiwari, Agnes; So, Mike Ks Pui
Article

Detecting early signals of COVID-19 global pandemic from network density

Journal of Travel Medicine, v. 27, (5), 20 August 2020
Chu, Amanda M.Y.; Tiwari, Agnes; So, Ka Pui
Article

Estimating the Dependence of Mixed Sensitive Response Types in Randomized Response Technique

Statistical Methods in Medical Research, v. 29, (3), March 2020, p. 894-910
Chu, Amanda M.Y.; So, Mike Ka Pui; Chan, Wing Chun; Tiwari, Agnes Fung Yee
Article

Improving Self-Care in Patients With Coexisting Type 2 Diabetes and Hypertension by Technological Surrogate Nursing: Randomized Controlled Trial

Journal of Medical Internet Research, v. 22, (3), March 2020, article number e16769
Or, Calvin Kalun; Liu, Kaifeng; So, Ka Pui; Cheung, Bernard; Yam, Loretta Y. C.; Tiwari, Agnes; Lau, Yuen Fun Emmy; Lau, Tracy; Hui, Pui Sze Grace; Cheng, Hop Chun; Tan, Joseph; Cheung, Michael Tow
Article

Organizational information security management for sustainable information systems: An unethical employee information security behavior perspective

Sustainability, v. 12, (8), April 2020, article number 3163, p. 1-25
Chu, Amanda M. Y.; So, Ka Pui
Article

Regularization of Bayesian Quasi-Likelihoods Constructed From Complex Estimating Functions

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

Self-Administered Acupressure for Caregivers of Older Family Members: A Randomized Controlled Trial

Journal of the American Geriatrics Society, v. 68, (6), June 2020, p. 1193-1201
Cheung, Denise Shuk Ting; Tiwari, Agnes; Yeung, Wing-Fai; Yu, Doris Sau Fung; So, Ka Pui; Chau, Pui Hing; Wang, Xiao-Min; Lum, Terry Yat Sang; Yuk Fung, Helina Yin King; Ng, Benson Yuk Ming; Zhang, Zhang-Jin; Lao, Lixing
Article

Visualizing COVID-19 Pandemic Risk Through Network Connectedness

International Journal of Infectious Diseases, v. 96, July 2020, p. 558-561
So, Ka Pui; Tiwari, Agnes; Chu, Amanda M. Y.; Tsang, Jenny T. Y.; Chan, Ngai Lam
Article

Inferring Deceptive Cues in Financial News: An Application of Domain Adaptation Learning

Ng, Ka Chung; Ke, Ping Fan; So, Ka Pui; Tam, Kar Yan
Conference paper

2019 8

A simulation smoother for long memory time series with correlated and heteroskedastic additive noise

Communications in Statistics: Simulation and Computation, v. 50, (2), February, 2021, p. 388-399
Asai, Manabu; So, Mike Ka Pui
Article

An Empirical Study of Applying Statistical Disclosure Control Methods to Public Health Research

International Journal of Environmental Research and Public Health, v. 16, (22), November 2019, article number 4519
Chu, Amanda M. Y.; Lam, Benson S. Y.; Tiwari, Agnes; So, Ka Pui
Article

Asking sensitive questions using the randomized response approach in public health research: An empirical study on the factors of illegal waste disposal

International Journal of Environmental Research and Public Health, v. 16, (6), March 2019, article number 970
Chong, Andy C. Y.; Chu, Amanda M. Y.; So, Ka Pui; Chung, Siu Wa
Article

Measuring angle of progression by transperineal ultrasonography to predict successful instrumental and cesarean deliveries during prolonged second stage of labor

International Journal of Gynecology & Obstetrics, v. 144, (2), February 2019, p. 192-198
Chan, Viola Y. T.; Lau, Wai-lam; So, Mike Ka Pui; Leung, Wing-cheong
Article

On hysteretic vector autoregressive model with applications

JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION, v. 89, (2), January 2019, p. 191-210
Chen, Cathy W. S.; Hong, Than-Thi; So, Ka Pui
Article

Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time -varying correlations

Applied Stochastic Models in Business and Industry, v. 35, (6), November 2019, p. 1301-1321
Chen, Cathy W.S.; Than-Thi, Hong; So, Ka Pui; Sriboochitta, Songsak
Article

The Use of eHealth Applications in Hong Kong: Results of a Random-Digit Dialing Survey

Journal of Medical Systems, v. 43, (9), September 2019, article number 293
Cheung, Denise Shuk Ting; Or, Calvin Ka Lun; So, Ka Pui; Ho, Kendall; Tiwari, Agnes Fung Yee
Article

Interfirm Relationship Analysis for Dynamic and Dual-View Company Networks: A Latent Space Modeling Approach

Ng, Ka Chung; So, Ka Pui; Tam, Kar Yan
Conference paper

2018 8

Applying the Randomized Response Technique in Business Ethics Research: The Misuse of Information Systems Resources in the Workplace

Journal of Business Ethics, v. 151, (1), August 2018, p. 195-212
Chu, Amanda; So, Mike Ka Pui; Chung, Siu Wa
Article

Bayesian randomized response technique with multiple sensitive attributes: The case of information systems resource misuse

Annals of Applied Statistics, v. 12, (3), September 2018, p. 1969-1992
Chung, Siu Wa; Chu, Amanda M.Y.; So, Ka Pui
Article

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

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

Bayesian Spatial–temporal Modeling of Air Pollution Data With Dynamic Variance and Leptokurtosis

Spatial Statistics, v. 26, August 2018, p. 1-20
Chu, A.M.Y.; Li, Raymond W.M.; So, Ka Pui
Article

Empirical Analysis of Bitcoin Prices Using Threshold Time Series Models

Annals of Financial Economics, v. 13, (4), 20 December 2018, article number 1850017
De guzman, Rodolfo Angelo M. III Katigbak; So, Ka Pui
Article

Multivariate Modelling of Spatial Extremes Based on Copulas

Journal of Statistical Computation and Simulation, v. 88, (12), August 2018, p. 2404-2424
Chan, Raymond K. S.; So, Ka Pui
Article

Usability testing of a smartphone application for delivering Qigong training

Journal of Medical Systems, v. 42, (10), October 2018, article number 191
Cheung, Denise Shuk Ting; Or, Calvin Ka Lun; So, Ka Pui; Tiwari, Agnes
Article

Is Socializing Loyalty Programs a Good Idea? – Empirical Evidence from a Large Quick Service Restaurant Chain

ICIS 2017: Transforming Society with Digital Innovation, Association for Information Systems, 2018
Li, Guangrui; So, Ka Pui; Zhang, Xiaojun; Tam, Kar Yan
Conference paper

2017 2

On the Performance of the Bayesian Composite Likelihood Estimation of Max-stable Processes

Journal of statistical computation and simulation, v. 87, (15), October 2017, p. 2869-2881
Chan, Raymond K.S.; So, Mike Ka Pui
Article

Stochastic Multivariate Mixture Covariance Model

Journal of Forecasting, v. 36, (2), March 2017, p. 139-155
So, Mike K P; Li, Raymond W M; Asai, Manabu; Jiang, Yue
Article

2016 5

A Bayesian hierarchical model for spatial extremes with multiple durations

Computational Statistics and Data Analysis, v. 95, March 2016, p. 39-56
Wang, Yixin; So, Ka Pui
Article

Autoregressive conditional negative binomial model applied to over-dispersed time series of counts

Statistical Methodology, v. 31, July 2016, p. 73-90
Chen, Cathy W. S.; So, Ka Pui; Li, Jessica C.; Sriboonchitta, Songsak
Article

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

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

Model Selection of a Switching Mechanism for Financial Time Series

Applied Stochastic Models in Business and Industry, v. 32, (6), November 2016, p. 836-851
Truong, Buu-Chau; Chen, Cathy W.S.; So, Mike K.P.
Article

Self-Administered Acupressure for Symptom Management among Chinese Family Caregivers with Caregiver Stress: A Randomized, Wait-List Controlled Trial

BMC Complementary and Alternative Medicine, v. 16, (1), October 2016, article number 424
Tiwari, Agnes Fung Yee; Lao, Lixing.; Wang, Amy Xiao Min; Cheung, Denise Shuk Ting; So, Mike K.P.; Yu, Doris; Lum, Terry; Yuk Fung, Helina Yin King; Yeung, Jerry Wing Fai; Zhang, Zhang Jin
Article

2015 4

Developing a typological theory using a quantitative approach: A case of information security deviant behavior

Communications of the Association for Information Systems, v. 37, 2015, article number 25, p. 510-535
Chu, Amanda M.Y.; Chau, Patrick Y.K.; So, Mike Ka Pui
Article

Explaining the Misuse of Information Systems Resources in the Workplace: A Dual-process Approach

Journal of Business Ethics, v. 131, (1), September 2015, p. 209-225
Chu, Amanda M.Y.; Chau, Patrick Y.K.; So, Mike K.P.
Article

Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes

Journal of Time Series Econometrics, v. 7, (1), January 2015, p. 69-74
Asai, Manabu; So, Mike K.P.
Article

Statistical inference for conditional quantiles in nonlinear time series models

Journal of Econometrics, v. 189, (2), December 2015, p. 457-472
So, Mike Ka Pui; Chung, Siu Wa
Article

2014 3

Bayesian analysis of tail asymmetry based on a threshold extreme value model

Computational Statistics and Data Analysis, v. 71, 2014, p. 568-587
So, Mike Ka Pui; Chan, Raymond Ka Shing
Article

Dynamic seasonality in time series

Computational Statistics & Data Analysis, v. 70, February 2014, p. 212-226
So, Mike Ka Pui; Chung, Ray S. W.
Article

Vine-copula GARCH model with dynamic conditional dependence

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

2013 5

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

Asia-Pacific Financial Markets, v. 20, (1), 2013, p. 83-111
So, M.K.P.; Xu, R.
Article

Generalized Predictive Information Criteria for the Analysis of Feature Events

Electronic Journal of Statistics, v. 7, (1), 2013, p. 742-762
So, Mike K.P.; Ando, Tomohiro
Article

Stochastic Covariance Models

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

Stress testing correlation matrices for risk management

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

Threshold variable selection of asymmetric stochastic volatility models

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

2012 2

Estimation of multiple period expected shortfall and median shortfall for risk management

Quantitative finance, v. 12, (5), 2012, p. 739-754
So, Mike K.P.; Wong, Chi-Ming
Article

Multivariate GARCH Models with Correlation Clustering

Journal of forecasting, v. 31, (5), August 2012, p. 443-468
So, Mike K.P.; Yip, Iris W.H.
Article

2011 4

A Monte Carlo Markov chain algorithm for a class of mixture time series models

Statistics and computing, v. 21, (1), 2011, JAN, p. 69-81
Lau, John W.; So, Mike K.P.
Article

A review of threshold time series models in finance

Statistics and Its Interface, v. 4, (2), 2011, p. 167-181
Chen, Cathy W.S.; So, Mike K.P.; Liu, Feng-Chi
Article

Classification in segmented regression problems

Computational statistics & data analysis, v. 55, (7), July 2011, p. 2276-2287
Chen, Cathy W.S.; Chan, Jennifer S.K.; So, Mike K.P.; Lee, Kevin K.M.
Article

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

Asia-Pacific financial markets, v. 18, (3), 2011, p. 291-317
Hatrick, K.; So, M.K.P.; Chung, S.W.; Deng, R.
Article

2010 1

Applying the Randomized Response Technique to Elicit Truthful Responses to Sensitive Questions in IS Research: The Case of Software Piracy Behavior

Information Systems Research, v. 21, (4), December 2010, p. 941-959
Kwan, Samuel S K; So, Mike K P; Tam, Kar Yan
Article

2009 4

A Threshold Factor Multivariate Stochastic Volatility Model

Journal of forecasting, v. 28, (8), 2009, DEC, p. 712-735
So, Mike K.P.; Choi, C.Y.
Article

Dynamic modeling of tail risk: Applications to China, Hong Kong and other Asian markets

Asia-Pacific Financial Markets, v. 16, (3), 2009, p. 183-210
So, M.K.P.; Tse, A.S.L.
Article

Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model

Mathematics and computers in simulation, v. 80, (2), 2009, OCT, p. 327-340
Yip, Iris W.H.; So, Mike K.P.
Article

Volatility Forecasting with Double Markov Switching GARCH Models

Journal of forecasting, v. 28, (8), 2009, DEC, p. 681-697
Chen, Cathy W.S.; So, Mike K.P.; Lin, Edward M.H.
Article

2008 5

A multivariate threshold stochastic volatility model

Mathematics and computers in simulation, v. 79, (3), 2008, DEC 1, p. 306-317
So, Mike K.P.; Choi, C.Y.
Article

An empirical evaluation of fat-tailed distributions in modeling financial time series

Mathematics and computers in simulation, v. 77, (1), 2008, FEB 15, p. 96-108
So, Mike K.P.; Chen, Cathy W.S.; Lee, Jen-Yu; Chang, Yi-Ping
Article

Bayesian mixture of autoregressive models

Computational statistics & data analysis, v. 53, (1), 2008, SEP 15, p. 38-60
Lau, John W.; So, Mike K.P.
Article

Bayesian Model Selection for Heteroskedastic Models

Advances in Econometrics, 23, 567-594
Chen, Cathy W.S.; Gerlach, Richard H.; So, Mike K.P.
Article

Heavy-tailed-distributed threshold stochastic volatility models in financial time series

Australian & New Zealand journal of statistics, v. 50, (1), 2008, MAR, p. 29-51
Chen, Cathy W.S.; Liu, F.C.; So, Mike K.P.
Article

2007 2

Asymmetries in Return and Volatility and Composite News from Stock Markets

Multinational Finance Journal, 11, 179-210
Chiang, Thomas C.; Chen, Cathy W.S.; So, Mike K.P.
Article

Modelling financial time series with threshold nonlinearity in returns and trading volume

Applied stochastic models in business and industry, v. 23, (4), 2007, JUL-AUG, p. 319-338
So, Mike K.P.; Chen, Cathy W.S.; Chiang, Thomas C.; Lin, Doris S.Y.
Article

2006 8

A comparison of the effects of problem-based learning and lecturing on the development of students' critical thinking

Medical Education, v. 40, (6), 2006, p. 547-554
Tiwari, A.; Lai, P.; So, M.; Yuen, K.
Article

A multivariate long memory stochastic volatility model

PHYSICA a-statistical MECHANICS and ITS APPLICATIONS, v. 362, (2), 2006, APR 1, p. 450-464
So, MKP; Kwok, SWY
Article

Bayesian analysis of nonlinear and non-Gaussian state space models via multiple-try sampling methods

Statistics and computing, v. 16, (2), 2006, JUN, p. 125-141
So, MKP
Article

Best subset selection of autoregressive models with exogenous variables and generalized autoregressive conditional heteroscedasticity errors

Journal of the Royal Statistical Society. Series C: Applied Statistics, v. 55, (2), April 2006, p. 201-224
So, Ka Pui; Chen, Cathy W.S.; Liu, Feng Chi
Article

Comparison of nonnested asymmetric heteroskedastic models

Computational statistics & data analysis, v. 51, (4), 2006, DEC 15, p. 2164-2178
Chen, Cathy W.S.; Gerlach, Richard; So, Mike K.P.
Article

Empirical analysis of GARCH models in value at risk estimation

Journal of International Financial Markets, Institutions and Money, v. 16, (2), 2006, p. 180-197
So, M.K.P.; Yu, P.L.H.
Article

On a threshold heteroscedastic model

International journal of forecasting, v. 22, (1), 2006, JAN-MAR, p. 73-89
Chen, CWS; So, MKP
Article

A multivariate threshold stochastic volatility model

Australian Statistical Conference/ New Zealand Statistical Association Conference 2006, Auckland, New Zealand, 3-6 July 2006
So, Mike
Conference paper

2005 3

A Bayesian threshold nonlinearity test for financial time series

Journal of forecasting, v. 24, (1), 2005, JAN, p. 61-75
So, MKP; Chen, CWS; Chen, MT
Article

Assessing and testing for threshold nonlinearity in stock returns

Australian & New Zealand journal of statistics, v. 47, (4), 2005, DEC, p. 473-488
Chen, CWS; So, MKP; Gerlach, RH
Article

Asymmetric response and interaction of US and local news in financial markets

Applied stochastic models in business and industry, v. 21, (3), 2005, MAY-JUN, p. 273-288
Chen, CWS; So, MKP; Gerlach, RH
Article

2003 4

Assymetrical reaction to US stock-return news: Evidence from major stock markets based on a double-threshold model

Journal of Economics and Business, v. 55, (5-6), 2003, p. 487-502
Chen, Cathy W.S.; Chiang, Thomas C.; So, Mike K.P.
Article

On conditional moments of garch models, with applications to multiple period value at risk estimation

Statistica Sinica, v. 13, (4), 2003, OCT, p. 1015-1044
Wong, CM; So, MKP
Article

Posterior mode estimation for nonlinear and non-Gaussian state space models

Statistica Sinica, v. 13, (1), 2003, JAN, p. 255-274
So, MKP
Article

Subset threshold autoregression

Journal of forecasting, v. 22, (1), 2003, JAN, p. 49-66
So, MKP; Chen, CWS
Article

2002 2

A threshold stochastic volatility model

Journal of forecasting, v. 21, (7), 2002, NOV, p. 473-500
So, MKP; Li, WK; Lam, K.
Article

Bayesian Analysis of Long Memory Stochastic Volatility Models

Sankhya, B64(1), 1-10
So, Mike K.P.
Article

2001 1

Statistical Modeling of Stochastic Volatility in Financial Markets

International Chinese Statistical Association Bulletin, January 2001, p. 19-21
So, Mike K.P.
Conference paper

2000 2

Forecasting and trading strategies based on a price trend model

Journal of forecasting, v. 19, (6), 2000, NOV, p. 485-498
Kwan, JWC; Lam, K.; So, MKP; Yu, PLH
Article

Long-Term Memory in Stock Market Volatility

Applied Financial Economics, v. 10, 2000, p. 519-524
So, Mike K.P.
Article

1999 4

Bayesian unit-root testing in stochastic volatility models

Journal of business & economic statistics, v. 17, (4), 1999, OCT, p. 491-496
So, MKP; Li, WK
Article

Forecasting exchange rate volatility using autoregressive random variance model

Applied Financial Economics, v. 9, (6), 1999, p. 583-591
So, M.K.P.; Lam, K.; Li, W.K.
Article

The Impact of Futures and Options Tradings on the Hang Seng Index Volatility

The International Journal of Finance, v. 11, (1), 1999, p. 1238-1254
So, Mike K.P.; Yu, Philip L.H.
Article

Time series with additive noise

Biometrika, v. 86, (2), 1999, JUN, p. 474-482
So, MKP
Article

1998 1

A stochastic volatility model with Markov switching

Journal of business & economic statistics, v. 16, (2), 1998, APR, p. 244-253
So, MKP; Lam, K.; Li, WK
Article

1997 3

An empirical study of volatility in seven Southeast Asian stock markets using ARV models

Journal of Business Finance and Accounting, v. 24, (2), 1997, p. 261-275
So, M.K.P.; Lam, K.; Li, W.K.
Article

Multivariate modelling of the autoregressive random variance process

Journal of Time Series Analysis, v. 18, 1997, p. 429-446
So, Mike K.P.; Li, W.K.; Lam, K.
Article

Stochastic Volatility Models

1997 International Symposium on Contemporary Multivariate Analysis and Its Applications, Hong Kong, May 19-22 1997
Li, W.K.; So, Mike K.P.; Lam, K.
Conference paper

1993 1

In Search of Chaos in Some Hong Kong Stocks Prices

Securities Industry Review, v. 19, 1993, p. 79-96
So, Mike K.P.; Lam, K.; Li, W.K.
Article

Article 4

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
Chu, Amanda M. Y.; Chan, Shun Hin; Chang, Stephen S. Y.; Tiwari, Agnes; Yuk, Helina; So, Ka Pui

COVID-19 Pandemic Risk Assessment: Systematic Review

Risk Management and Healthcare Policy, v. 17, April 2024, p. 903-925
Chu, Amanda Man Ying; Kwok, Patrick Wing Hong; Chan, Ngai Lam; 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
Lam, Benson Shu Yan; Chu, Amanda Man Ying; Chan, Ngai Lam; So, Ka Pui

Linkage vector autoregressive model

Applied Stochastic Models in Business and Industry, January 2024
Asai, Manabu; So, Ka Pui

Article 10

A moving-window bayesian network model for assessing systemic risk in financial markets

PLoS ONE, v. 18, (1), January 2023, article number e0279888
Chan, Shun Hin; Chu, Amanda M.Y.; So, Ka Pui

A Multivariate Randomized Response Model for Sensitive Binary Data

Econometrics and Statistics, v. 27, July 2023, p. 16-35
Chu, Amanda M.Y.; Omori, Yasuhiro; So, Hing Yu; So, Ka Pui

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
Ng, Ka Chung; Ke, Ping Fan; So, Ka Pui; Tam, Kar Yan

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
So, Ka Pui; Chen, Cathy W. S.

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
Chu, Amanda MY; Chong, Andy C Y; Lai, Nick H T; Tiwari, Agnes; So, Ka Pui

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
Hassan Beygi, Babak; Wang, Kubert Tianghang; Chan, Hiu Lam; Wu, Hui Dong; Hung, Percy Ho Tim; So, Ka Pui; Kwong, Theresa; Wong, Man Sang

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
So, Ka Pui; Chu, Amanda M. Y.; Tiwari, Agnes

Quantile three-factor model with heteroskedasticity, skewness, and leptokurtosis

Computational Statistics and Data Analysis, v. 182, June 2023, article number 107702
Wang, Kai Y.K.; Chen, Cathy W.S.; So, Ka Pui

Realized BEKK-CAW Models

Journal of Time Series Econometrics, v. 15, (1), January 2023, p. 49-77
Asai, Manabu; So, Ka Pui

Standardized local assortativity in networks and systemic risk in financial markets

PLoS ONE, v. 18, (10), October 2023, article number e0292327
So, Ka Pui; Mak, Anson S.W.; Chan, Ngai Lam; Chu, Amanda M.Y.

Article 13

A longitudinal examination of tablet self-management technology acceptance by patients with chronic diseases: Integrating perceived hand function, perceived visual function, and perceived home space adequacy with the TAM and TPB

Applied Ergonomics, v. 100, April 2022, article number 103667
Liu, Kaifeng; Or, Calvin Kalun; So, Ka Pui; Cheung, Bernard; Chan, Bill; Tiwari, Agnes; Tan, Joseph

Assessing Government Policies' Impact on the COVID-19 Pandemic and Elderly Deaths in East Asia

Epidemiology and Infection, v. 150, 22 August 2022, article number e161
Chen, Cathy W. S.; So, Ka Pui; Liu, Feng-Chi

Assessing Systemic Risk in Financial Markets Using Dynamic Topic Networks

Scientific Reports, v. 12, (1), 17 February 2022, article number 2668
So, Mike K. P.; Mak, Anson S.W.; Chu, Amanda M.Y.

Dynamic Causality Analysis of COVID-19 Pandemic Risk and Oil Market Changes

Journal of Risk and Financial Management, v. 15, (6), May 2022, article number 240
So, Ka Pui; Chan, Ngai Lam; Chu, Amanda M.Y.

Dynamic covariance modeling with artificial neural networks

Communications in Statistics: Case Studies, Data Analysis and Applications, v. 8, (1), 2022, p. 15-42
Liu, Wing Ki; So, Ka Pui; Chu, Man Ying

Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: Applications for financial risk management

Journal of Econometrics, v. 227, (1), March 2022, p. 151-167
So, Mike Ka Pui; Chan, Wing Chun; Chu, Amanda M.Y.

Identifying the big shots-a quantile-matching way in the big data context

ACM Transactions on Management Information Systems, v. 13, (2), March 2022, article number 19, p. 1-30
Li, Guangrui (Kayla); So, Mike Ka Pui; Tam, Kar Yan

Learning from work-from-home issues during the COVID-19 pandemic: Balance speaks louder than words

PLoS ONE, v. 17, (1), 13 January 2022, article number e0261969
Chu, Amanda M.Y.; Chan, Wing Chun; So, Ka Pui

Measuring Family Resilience of Chinese Family Caregivers: Psychometric Evaluation of the Family Resilience Assessment Scale

Family Relations, v. 71, (1), February 2022, p. 130-146
Chu, Amanda M.Y.; Tsang, Jenny T.Y.; Tiwari, Agnes; Yuk, Helina; So, Mike K.P.

Predicting the burden of family caregivers from their individual characteristics

Informatics for Health and Social Care, v. 47, (2), p. 211-222
So, Mike Ka Pui; Yuk, Helina; Tiwari, Agnes; Cheung, Sam T. Y.; Chu, Amanda M. Y.

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

Applied Stochastic Models in Business and Industry, v. 38, (1), January 2022, p. 96-115
Chu, Amanda M.Y.; Ip, Chun Yin; Lam, Benson S.Y.; So, Mike K.P.

Vine copula statistical disclosure control for mixed-type data

Computational Statistics and Data Analysis, v. 176, December 2022, article number 107561
Chu, Amanda M.Y.; Ip, Chun Yin; Lam, Benson S.Y.; So, Ka Pui

Volatility and dynamic dependence modeling: Review, applications, and financial risk management

Wiley Interdisciplinary Reviews: Computational Statistics, v. 14, (5), September 2022, article number e1567
So, Ka Pui; Chu, Amanda M.Y.; Lo, Cheuk Yan Cliff; Ip, Chun Yin

Article 15

A Latent Space Modeling Approach to Interfirm Relationship Analysis

ACM Transactions on Management Information Systems, v. 12, (2), June 2021, article number 10, p. 1-44
Ng, Ka Chung; So, Ka Pui; Tam, Kar Yan

Analyzing cross-country pandemic connectedness during COVID-19 using a spatial-temporal database: Network analysis

JMIR Public Health and Surveillance, v. 7, (3), March 2021, article number e27317
Chu, Amanda M.Y.; Chan, Jacky N.L.; Tsang, Jenny T.Y.; Tiwari, Agnes; So, Ka Pui

Are travel restrictions helpful to control the global COVID-19 outbreak?

Travel Medicine and Infectious Disease, v. 41, May 2021, article number 102021
Chu, Amanda M.Y.; Tiwari, Agnes; Chan, Jacky N.L.; So, Ka Pui

Dynamic Network Analysis of COVID-19 with a Latent Pandemic Space Model

International Journal of Environmental Research and Public Health, v. 18, (6), March 2021, article number 3195, p. 1-22
Chu, Amanda Man Ying; Chan, Wing Chun Thomas; So, Mike Ka Pui; Wong, Wing Keung

Factors for sustainable online learning in higher education during the COVID-19 pandemic

Sustainability (Switzerland), v. 13, (9), May 2021, article number 5038
Chu, Amanda M.Y.; Liu, Connie K. W.; So, Ka Pui; Lam, Benson S. Y.

Financial Network Connectedness and Systemic Risk During the COVID-19 Pandemic

Asia-Pacific Financial Markets, 14 June 2021
So, Ka Pui; Chan, Shun Hin; Chu, Amanda M. Y.

Higher Education During The Pandemic: The Predictive Factors Of Learning Effectiveness In Covid-19 Online Learning

Education Sciences, v. 11, (8), 20 August 2021, article number 446
Tsang, Jenny T.Y.; So, Ka Pui; Chong, Andy C.Y.; Lam, Benson S.Y.; Chu, Amanda M.Y.

Impacts of the COVID-19 pandemic on financial market connectedness

Finance Research Letters, v. 38, January 2021, article number 101864
So, Ka Pui; Chu, Amanda M. Y.; Chan, Wing Chun Thomas

On The Predictive Power Of Network Statistics For Financial Risk Indicators

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

On topological properties of COVID-19: predicting and assessing pandemic risk with network statistics

Scientific Reports, v. 11, (1), December 2021, article number 5112
So, Mike K. P.; Chu, Amanda M. Y.; Tiwari, Agnes; Chan, Ngai Lam

Pandemic risk of COVID-19 outbreak in the United States: An analysis of network connectedness with air travel data

International Journal of Infectious Diseases, v. 103, February 2021, p. 97-101
Tiwari, Agnes; So, Ka Pui; Chong, Andy C.Y.; Chan, Jacky N.L.; Chu, Amanda M.Y.

Predicting standardized absolute returns using rolling-sample textual modelling

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

Quasi-maximum likelihood estimation of conditional autoregressive Wishart models

Journal of Time Series Analysis, v. 42, (3), May 2021, p. 271-294
Asai, Manabu; Mike, K. P. So

Robo-advising risk profiling through content analysis for sustainable development in the Hong Kong financial market

Sustainability (Switzerland), v. 13, (3), February 2021, article number 1306, p. 1-15
So, Ka Pui

Stochastic actor-oriented modelling of the impact of COVID-19 on financial network evolution

Stat, v. 10, (1), December 2021, article number e408
Chu, Amanda M. Y.; Chan, Shun Hin; So, Ka Pui

Article 9

A GARCH Model with Artificial Neural Networks

Information, v. 11, (10), October 2020, article number 489, p. 1-17
Liu, Wing Ki; So, Ka Pui

Analysis of travel restrictions for COVID-19 control in Latin America through network connectedness

Journal of Travel Medicine, v. 27, (8), December 2020, article number taaa176
Chu, Amanda M. Y.; Tsang, Jenny T. Y.; Chan, Ngai Lam; Tiwari, Agnes; So, Mike Ks Pui

Detecting early signals of COVID-19 global pandemic from network density

Journal of Travel Medicine, v. 27, (5), 20 August 2020
Chu, Amanda M.Y.; Tiwari, Agnes; So, Ka Pui

Estimating the Dependence of Mixed Sensitive Response Types in Randomized Response Technique

Statistical Methods in Medical Research, v. 29, (3), March 2020, p. 894-910
Chu, Amanda M.Y.; So, Mike Ka Pui; Chan, Wing Chun; Tiwari, Agnes Fung Yee

Improving Self-Care in Patients With Coexisting Type 2 Diabetes and Hypertension by Technological Surrogate Nursing: Randomized Controlled Trial

Journal of Medical Internet Research, v. 22, (3), March 2020, article number e16769
Or, Calvin Kalun; Liu, Kaifeng; So, Ka Pui; Cheung, Bernard; Yam, Loretta Y. C.; Tiwari, Agnes; Lau, Yuen Fun Emmy; Lau, Tracy; Hui, Pui Sze Grace; Cheng, Hop Chun; Tan, Joseph; Cheung, Michael Tow

Organizational information security management for sustainable information systems: An unethical employee information security behavior perspective

Sustainability, v. 12, (8), April 2020, article number 3163, p. 1-25
Chu, Amanda M. Y.; So, Ka Pui

Regularization of Bayesian Quasi-Likelihoods Constructed From Complex Estimating Functions

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

Self-Administered Acupressure for Caregivers of Older Family Members: A Randomized Controlled Trial

Journal of the American Geriatrics Society, v. 68, (6), June 2020, p. 1193-1201
Cheung, Denise Shuk Ting; Tiwari, Agnes; Yeung, Wing-Fai; Yu, Doris Sau Fung; So, Ka Pui; Chau, Pui Hing; Wang, Xiao-Min; Lum, Terry Yat Sang; Yuk Fung, Helina Yin King; Ng, Benson Yuk Ming; Zhang, Zhang-Jin; Lao, Lixing

Visualizing COVID-19 Pandemic Risk Through Network Connectedness

International Journal of Infectious Diseases, v. 96, July 2020, p. 558-561
So, Ka Pui; Tiwari, Agnes; Chu, Amanda M. Y.; Tsang, Jenny T. Y.; Chan, Ngai Lam

Conference paper 1

Inferring Deceptive Cues in Financial News: An Application of Domain Adaptation Learning

Ng, Ka Chung; Ke, Ping Fan; So, Ka Pui; Tam, Kar Yan

Article 7

A simulation smoother for long memory time series with correlated and heteroskedastic additive noise

Communications in Statistics: Simulation and Computation, v. 50, (2), February, 2021, p. 388-399
Asai, Manabu; So, Mike Ka Pui

An Empirical Study of Applying Statistical Disclosure Control Methods to Public Health Research

International Journal of Environmental Research and Public Health, v. 16, (22), November 2019, article number 4519
Chu, Amanda M. Y.; Lam, Benson S. Y.; Tiwari, Agnes; So, Ka Pui

Asking sensitive questions using the randomized response approach in public health research: An empirical study on the factors of illegal waste disposal

International Journal of Environmental Research and Public Health, v. 16, (6), March 2019, article number 970
Chong, Andy C. Y.; Chu, Amanda M. Y.; So, Ka Pui; Chung, Siu Wa

Measuring angle of progression by transperineal ultrasonography to predict successful instrumental and cesarean deliveries during prolonged second stage of labor

International Journal of Gynecology & Obstetrics, v. 144, (2), February 2019, p. 192-198
Chan, Viola Y. T.; Lau, Wai-lam; So, Mike Ka Pui; Leung, Wing-cheong

On hysteretic vector autoregressive model with applications

JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION, v. 89, (2), January 2019, p. 191-210
Chen, Cathy W. S.; Hong, Than-Thi; So, Ka Pui

Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time -varying correlations

Applied Stochastic Models in Business and Industry, v. 35, (6), November 2019, p. 1301-1321
Chen, Cathy W.S.; Than-Thi, Hong; So, Ka Pui; Sriboochitta, Songsak

The Use of eHealth Applications in Hong Kong: Results of a Random-Digit Dialing Survey

Journal of Medical Systems, v. 43, (9), September 2019, article number 293
Cheung, Denise Shuk Ting; Or, Calvin Ka Lun; So, Ka Pui; Ho, Kendall; Tiwari, Agnes Fung Yee

Conference paper 1

Interfirm Relationship Analysis for Dynamic and Dual-View Company Networks: A Latent Space Modeling Approach

Ng, Ka Chung; So, Ka Pui; Tam, Kar Yan

Article 7

Applying the Randomized Response Technique in Business Ethics Research: The Misuse of Information Systems Resources in the Workplace

Journal of Business Ethics, v. 151, (1), August 2018, p. 195-212
Chu, Amanda; So, Mike Ka Pui; Chung, Siu Wa

Bayesian randomized response technique with multiple sensitive attributes: The case of information systems resource misuse

Annals of Applied Statistics, v. 12, (3), September 2018, p. 1969-1992
Chung, Siu Wa; Chu, Amanda M.Y.; So, Ka Pui

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

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

Bayesian Spatial–temporal Modeling of Air Pollution Data With Dynamic Variance and Leptokurtosis

Spatial Statistics, v. 26, August 2018, p. 1-20
Chu, A.M.Y.; Li, Raymond W.M.; So, Ka Pui

Empirical Analysis of Bitcoin Prices Using Threshold Time Series Models

Annals of Financial Economics, v. 13, (4), 20 December 2018, article number 1850017
De guzman, Rodolfo Angelo M. III Katigbak; So, Ka Pui

Multivariate Modelling of Spatial Extremes Based on Copulas

Journal of Statistical Computation and Simulation, v. 88, (12), August 2018, p. 2404-2424
Chan, Raymond K. S.; So, Ka Pui

Usability testing of a smartphone application for delivering Qigong training

Journal of Medical Systems, v. 42, (10), October 2018, article number 191
Cheung, Denise Shuk Ting; Or, Calvin Ka Lun; So, Ka Pui; Tiwari, Agnes

Conference paper 1

Is Socializing Loyalty Programs a Good Idea? – Empirical Evidence from a Large Quick Service Restaurant Chain

ICIS 2017: Transforming Society with Digital Innovation, Association for Information Systems, 2018
Li, Guangrui; So, Ka Pui; Zhang, Xiaojun; Tam, Kar Yan

Article 2

On the Performance of the Bayesian Composite Likelihood Estimation of Max-stable Processes

Journal of statistical computation and simulation, v. 87, (15), October 2017, p. 2869-2881
Chan, Raymond K.S.; So, Mike Ka Pui

Stochastic Multivariate Mixture Covariance Model

Journal of Forecasting, v. 36, (2), March 2017, p. 139-155
So, Mike K P; Li, Raymond W M; Asai, Manabu; Jiang, Yue

Article 5

A Bayesian hierarchical model for spatial extremes with multiple durations

Computational Statistics and Data Analysis, v. 95, March 2016, p. 39-56
Wang, Yixin; So, Ka Pui

Autoregressive conditional negative binomial model applied to over-dispersed time series of counts

Statistical Methodology, v. 31, July 2016, p. 73-90
Chen, Cathy W. S.; So, Ka Pui; Li, Jessica C.; Sriboonchitta, Songsak

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

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

Model Selection of a Switching Mechanism for Financial Time Series

Applied Stochastic Models in Business and Industry, v. 32, (6), November 2016, p. 836-851
Truong, Buu-Chau; Chen, Cathy W.S.; So, Mike K.P.

Self-Administered Acupressure for Symptom Management among Chinese Family Caregivers with Caregiver Stress: A Randomized, Wait-List Controlled Trial

BMC Complementary and Alternative Medicine, v. 16, (1), October 2016, article number 424
Tiwari, Agnes Fung Yee; Lao, Lixing.; Wang, Amy Xiao Min; Cheung, Denise Shuk Ting; So, Mike K.P.; Yu, Doris; Lum, Terry; Yuk Fung, Helina Yin King; Yeung, Jerry Wing Fai; Zhang, Zhang Jin

Article 4

Developing a typological theory using a quantitative approach: A case of information security deviant behavior

Communications of the Association for Information Systems, v. 37, 2015, article number 25, p. 510-535
Chu, Amanda M.Y.; Chau, Patrick Y.K.; So, Mike Ka Pui

Explaining the Misuse of Information Systems Resources in the Workplace: A Dual-process Approach

Journal of Business Ethics, v. 131, (1), September 2015, p. 209-225
Chu, Amanda M.Y.; Chau, Patrick Y.K.; So, Mike K.P.

Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes

Journal of Time Series Econometrics, v. 7, (1), January 2015, p. 69-74
Asai, Manabu; So, Mike K.P.

Statistical inference for conditional quantiles in nonlinear time series models

Journal of Econometrics, v. 189, (2), December 2015, p. 457-472
So, Mike Ka Pui; Chung, Siu Wa

Article 3

Bayesian analysis of tail asymmetry based on a threshold extreme value model

Computational Statistics and Data Analysis, v. 71, 2014, p. 568-587
So, Mike Ka Pui; Chan, Raymond Ka Shing

Dynamic seasonality in time series

Computational Statistics & Data Analysis, v. 70, February 2014, p. 212-226
So, Mike Ka Pui; Chung, Ray S. W.

Vine-copula GARCH model with dynamic conditional dependence

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

Article 5

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

Asia-Pacific Financial Markets, v. 20, (1), 2013, p. 83-111
So, M.K.P.; Xu, R.

Generalized Predictive Information Criteria for the Analysis of Feature Events

Electronic Journal of Statistics, v. 7, (1), 2013, p. 742-762
So, Mike K.P.; Ando, Tomohiro

Stochastic Covariance Models

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

Stress testing correlation matrices for risk management

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

Threshold variable selection of asymmetric stochastic volatility models

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

Article 2

Estimation of multiple period expected shortfall and median shortfall for risk management

Quantitative finance, v. 12, (5), 2012, p. 739-754
So, Mike K.P.; Wong, Chi-Ming

Multivariate GARCH Models with Correlation Clustering

Journal of forecasting, v. 31, (5), August 2012, p. 443-468
So, Mike K.P.; Yip, Iris W.H.

Article 4

A Monte Carlo Markov chain algorithm for a class of mixture time series models

Statistics and computing, v. 21, (1), 2011, JAN, p. 69-81
Lau, John W.; So, Mike K.P.

A review of threshold time series models in finance

Statistics and Its Interface, v. 4, (2), 2011, p. 167-181
Chen, Cathy W.S.; So, Mike K.P.; Liu, Feng-Chi

Classification in segmented regression problems

Computational statistics & data analysis, v. 55, (7), July 2011, p. 2276-2287
Chen, Cathy W.S.; Chan, Jennifer S.K.; So, Mike K.P.; Lee, Kevin K.M.

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

Asia-Pacific financial markets, v. 18, (3), 2011, p. 291-317
Hatrick, K.; So, M.K.P.; Chung, S.W.; Deng, R.

Article 1

Applying the Randomized Response Technique to Elicit Truthful Responses to Sensitive Questions in IS Research: The Case of Software Piracy Behavior

Information Systems Research, v. 21, (4), December 2010, p. 941-959
Kwan, Samuel S K; So, Mike K P; Tam, Kar Yan

Article 4

A Threshold Factor Multivariate Stochastic Volatility Model

Journal of forecasting, v. 28, (8), 2009, DEC, p. 712-735
So, Mike K.P.; Choi, C.Y.

Dynamic modeling of tail risk: Applications to China, Hong Kong and other Asian markets

Asia-Pacific Financial Markets, v. 16, (3), 2009, p. 183-210
So, M.K.P.; Tse, A.S.L.

Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model

Mathematics and computers in simulation, v. 80, (2), 2009, OCT, p. 327-340
Yip, Iris W.H.; So, Mike K.P.

Volatility Forecasting with Double Markov Switching GARCH Models

Journal of forecasting, v. 28, (8), 2009, DEC, p. 681-697
Chen, Cathy W.S.; So, Mike K.P.; Lin, Edward M.H.

Article 5

A multivariate threshold stochastic volatility model

Mathematics and computers in simulation, v. 79, (3), 2008, DEC 1, p. 306-317
So, Mike K.P.; Choi, C.Y.

An empirical evaluation of fat-tailed distributions in modeling financial time series

Mathematics and computers in simulation, v. 77, (1), 2008, FEB 15, p. 96-108
So, Mike K.P.; Chen, Cathy W.S.; Lee, Jen-Yu; Chang, Yi-Ping

Bayesian mixture of autoregressive models

Computational statistics & data analysis, v. 53, (1), 2008, SEP 15, p. 38-60
Lau, John W.; So, Mike K.P.

Bayesian Model Selection for Heteroskedastic Models

Advances in Econometrics, 23, 567-594
Chen, Cathy W.S.; Gerlach, Richard H.; So, Mike K.P.

Heavy-tailed-distributed threshold stochastic volatility models in financial time series

Australian & New Zealand journal of statistics, v. 50, (1), 2008, MAR, p. 29-51
Chen, Cathy W.S.; Liu, F.C.; So, Mike K.P.

Article 2

Asymmetries in Return and Volatility and Composite News from Stock Markets

Multinational Finance Journal, 11, 179-210
Chiang, Thomas C.; Chen, Cathy W.S.; So, Mike K.P.

Modelling financial time series with threshold nonlinearity in returns and trading volume

Applied stochastic models in business and industry, v. 23, (4), 2007, JUL-AUG, p. 319-338
So, Mike K.P.; Chen, Cathy W.S.; Chiang, Thomas C.; Lin, Doris S.Y.

Article 7

A comparison of the effects of problem-based learning and lecturing on the development of students' critical thinking

Medical Education, v. 40, (6), 2006, p. 547-554
Tiwari, A.; Lai, P.; So, M.; Yuen, K.

A multivariate long memory stochastic volatility model

PHYSICA a-statistical MECHANICS and ITS APPLICATIONS, v. 362, (2), 2006, APR 1, p. 450-464
So, MKP; Kwok, SWY

Bayesian analysis of nonlinear and non-Gaussian state space models via multiple-try sampling methods

Statistics and computing, v. 16, (2), 2006, JUN, p. 125-141
So, MKP

Best subset selection of autoregressive models with exogenous variables and generalized autoregressive conditional heteroscedasticity errors

Journal of the Royal Statistical Society. Series C: Applied Statistics, v. 55, (2), April 2006, p. 201-224
So, Ka Pui; Chen, Cathy W.S.; Liu, Feng Chi

Comparison of nonnested asymmetric heteroskedastic models

Computational statistics & data analysis, v. 51, (4), 2006, DEC 15, p. 2164-2178
Chen, Cathy W.S.; Gerlach, Richard; So, Mike K.P.

Empirical analysis of GARCH models in value at risk estimation

Journal of International Financial Markets, Institutions and Money, v. 16, (2), 2006, p. 180-197
So, M.K.P.; Yu, P.L.H.

On a threshold heteroscedastic model

International journal of forecasting, v. 22, (1), 2006, JAN-MAR, p. 73-89
Chen, CWS; So, MKP

Conference paper 1

A multivariate threshold stochastic volatility model

Australian Statistical Conference/ New Zealand Statistical Association Conference 2006, Auckland, New Zealand, 3-6 July 2006
So, Mike

Article 3

A Bayesian threshold nonlinearity test for financial time series

Journal of forecasting, v. 24, (1), 2005, JAN, p. 61-75
So, MKP; Chen, CWS; Chen, MT

Assessing and testing for threshold nonlinearity in stock returns

Australian & New Zealand journal of statistics, v. 47, (4), 2005, DEC, p. 473-488
Chen, CWS; So, MKP; Gerlach, RH

Asymmetric response and interaction of US and local news in financial markets

Applied stochastic models in business and industry, v. 21, (3), 2005, MAY-JUN, p. 273-288
Chen, CWS; So, MKP; Gerlach, RH

Article 4

Assymetrical reaction to US stock-return news: Evidence from major stock markets based on a double-threshold model

Journal of Economics and Business, v. 55, (5-6), 2003, p. 487-502
Chen, Cathy W.S.; Chiang, Thomas C.; So, Mike K.P.

On conditional moments of garch models, with applications to multiple period value at risk estimation

Statistica Sinica, v. 13, (4), 2003, OCT, p. 1015-1044
Wong, CM; So, MKP

Posterior mode estimation for nonlinear and non-Gaussian state space models

Statistica Sinica, v. 13, (1), 2003, JAN, p. 255-274
So, MKP

Subset threshold autoregression

Journal of forecasting, v. 22, (1), 2003, JAN, p. 49-66
So, MKP; Chen, CWS

Article 2

A threshold stochastic volatility model

Journal of forecasting, v. 21, (7), 2002, NOV, p. 473-500
So, MKP; Li, WK; Lam, K.

Bayesian Analysis of Long Memory Stochastic Volatility Models

Sankhya, B64(1), 1-10
So, Mike K.P.

Conference paper 1

Statistical Modeling of Stochastic Volatility in Financial Markets

International Chinese Statistical Association Bulletin, January 2001, p. 19-21
So, Mike K.P.

Article 2

Forecasting and trading strategies based on a price trend model

Journal of forecasting, v. 19, (6), 2000, NOV, p. 485-498
Kwan, JWC; Lam, K.; So, MKP; Yu, PLH

Long-Term Memory in Stock Market Volatility

Applied Financial Economics, v. 10, 2000, p. 519-524
So, Mike K.P.

Article 4

Bayesian unit-root testing in stochastic volatility models

Journal of business & economic statistics, v. 17, (4), 1999, OCT, p. 491-496
So, MKP; Li, WK

Forecasting exchange rate volatility using autoregressive random variance model

Applied Financial Economics, v. 9, (6), 1999, p. 583-591
So, M.K.P.; Lam, K.; Li, W.K.

The Impact of Futures and Options Tradings on the Hang Seng Index Volatility

The International Journal of Finance, v. 11, (1), 1999, p. 1238-1254
So, Mike K.P.; Yu, Philip L.H.

Time series with additive noise

Biometrika, v. 86, (2), 1999, JUN, p. 474-482
So, MKP

Article 1

A stochastic volatility model with Markov switching

Journal of business & economic statistics, v. 16, (2), 1998, APR, p. 244-253
So, MKP; Lam, K.; Li, WK

Article 2

An empirical study of volatility in seven Southeast Asian stock markets using ARV models

Journal of Business Finance and Accounting, v. 24, (2), 1997, p. 261-275
So, M.K.P.; Lam, K.; Li, W.K.

Multivariate modelling of the autoregressive random variance process

Journal of Time Series Analysis, v. 18, 1997, p. 429-446
So, Mike K.P.; Li, W.K.; Lam, K.

Conference paper 1

Stochastic Volatility Models

1997 International Symposium on Contemporary Multivariate Analysis and Its Applications, Hong Kong, May 19-22 1997
Li, W.K.; So, Mike K.P.; Lam, K.

Article 1

In Search of Chaos in Some Hong Kong Stocks Prices

Securities Industry Review, v. 19, 1993, p. 79-96
So, Mike K.P.; Lam, K.; Li, W.K.

2018 8

Applying the Randomized Response Technique in Business Ethics Research: The Misuse of Information Systems Resources in the Workplace

Journal of Business Ethics, v. 151, (1), August 2018, p. 195-212
Chu, Amanda; So, Mike Ka Pui; Chung, Siu Wa
Article

Bayesian randomized response technique with multiple sensitive attributes: The case of information systems resource misuse

Annals of Applied Statistics, v. 12, (3), September 2018, p. 1969-1992
Chung, Siu Wa; Chu, Amanda M.Y.; So, Ka Pui
Article

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

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

Bayesian Spatial–temporal Modeling of Air Pollution Data With Dynamic Variance and Leptokurtosis

Spatial Statistics, v. 26, August 2018, p. 1-20
Chu, A.M.Y.; Li, Raymond W.M.; So, Ka Pui
Article

Empirical Analysis of Bitcoin Prices Using Threshold Time Series Models

Annals of Financial Economics, v. 13, (4), 20 December 2018, article number 1850017
De guzman, Rodolfo Angelo M. III Katigbak; So, Ka Pui
Article

Multivariate Modelling of Spatial Extremes Based on Copulas

Journal of Statistical Computation and Simulation, v. 88, (12), August 2018, p. 2404-2424
Chan, Raymond K. S.; So, Ka Pui
Article

Usability testing of a smartphone application for delivering Qigong training

Journal of Medical Systems, v. 42, (10), October 2018, article number 191
Cheung, Denise Shuk Ting; Or, Calvin Ka Lun; So, Ka Pui; Tiwari, Agnes
Article

Is Socializing Loyalty Programs a Good Idea? – Empirical Evidence from a Large Quick Service Restaurant Chain

ICIS 2017: Transforming Society with Digital Innovation, Association for Information Systems, 2018
Li, Guangrui; So, Ka Pui; Zhang, Xiaojun; Tam, Kar Yan
Conference paper

2017 2

On the Performance of the Bayesian Composite Likelihood Estimation of Max-stable Processes

Journal of statistical computation and simulation, v. 87, (15), October 2017, p. 2869-2881
Chan, Raymond K.S.; So, Mike Ka Pui
Article

Stochastic Multivariate Mixture Covariance Model

Journal of Forecasting, v. 36, (2), March 2017, p. 139-155
So, Mike K P; Li, Raymond W M; Asai, Manabu; Jiang, Yue
Article

2016 5

A Bayesian hierarchical model for spatial extremes with multiple durations

Computational Statistics and Data Analysis, v. 95, March 2016, p. 39-56
Wang, Yixin; So, Ka Pui
Article

Autoregressive conditional negative binomial model applied to over-dispersed time series of counts

Statistical Methodology, v. 31, July 2016, p. 73-90
Chen, Cathy W. S.; So, Ka Pui; Li, Jessica C.; Sriboonchitta, Songsak
Article

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

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

Model Selection of a Switching Mechanism for Financial Time Series

Applied Stochastic Models in Business and Industry, v. 32, (6), November 2016, p. 836-851
Truong, Buu-Chau; Chen, Cathy W.S.; So, Mike K.P.
Article

Self-Administered Acupressure for Symptom Management among Chinese Family Caregivers with Caregiver Stress: A Randomized, Wait-List Controlled Trial

BMC Complementary and Alternative Medicine, v. 16, (1), October 2016, article number 424
Tiwari, Agnes Fung Yee; Lao, Lixing.; Wang, Amy Xiao Min; Cheung, Denise Shuk Ting; So, Mike K.P.; Yu, Doris; Lum, Terry; Yuk Fung, Helina Yin King; Yeung, Jerry Wing Fai; Zhang, Zhang Jin
Article

2015 4

Developing a typological theory using a quantitative approach: A case of information security deviant behavior

Communications of the Association for Information Systems, v. 37, 2015, article number 25, p. 510-535
Chu, Amanda M.Y.; Chau, Patrick Y.K.; So, Mike Ka Pui
Article

Explaining the Misuse of Information Systems Resources in the Workplace: A Dual-process Approach

Journal of Business Ethics, v. 131, (1), September 2015, p. 209-225
Chu, Amanda M.Y.; Chau, Patrick Y.K.; So, Mike K.P.
Article

Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes

Journal of Time Series Econometrics, v. 7, (1), January 2015, p. 69-74
Asai, Manabu; So, Mike K.P.
Article

Statistical inference for conditional quantiles in nonlinear time series models

Journal of Econometrics, v. 189, (2), December 2015, p. 457-472
So, Mike Ka Pui; Chung, Siu Wa
Article

2014 3

Bayesian analysis of tail asymmetry based on a threshold extreme value model

Computational Statistics and Data Analysis, v. 71, 2014, p. 568-587
So, Mike Ka Pui; Chan, Raymond Ka Shing
Article

Dynamic seasonality in time series

Computational Statistics & Data Analysis, v. 70, February 2014, p. 212-226
So, Mike Ka Pui; Chung, Ray S. W.
Article

Vine-copula GARCH model with dynamic conditional dependence

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

2013 5

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

Asia-Pacific Financial Markets, v. 20, (1), 2013, p. 83-111
So, M.K.P.; Xu, R.
Article

Generalized Predictive Information Criteria for the Analysis of Feature Events

Electronic Journal of Statistics, v. 7, (1), 2013, p. 742-762
So, Mike K.P.; Ando, Tomohiro
Article

Stochastic Covariance Models

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

Stress testing correlation matrices for risk management

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

Threshold variable selection of asymmetric stochastic volatility models

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

2012 2

Estimation of multiple period expected shortfall and median shortfall for risk management

Quantitative finance, v. 12, (5), 2012, p. 739-754
So, Mike K.P.; Wong, Chi-Ming
Article

Multivariate GARCH Models with Correlation Clustering

Journal of forecasting, v. 31, (5), August 2012, p. 443-468
So, Mike K.P.; Yip, Iris W.H.
Article

2011 4

A Monte Carlo Markov chain algorithm for a class of mixture time series models

Statistics and computing, v. 21, (1), 2011, JAN, p. 69-81
Lau, John W.; So, Mike K.P.
Article

A review of threshold time series models in finance

Statistics and Its Interface, v. 4, (2), 2011, p. 167-181
Chen, Cathy W.S.; So, Mike K.P.; Liu, Feng-Chi
Article

Classification in segmented regression problems

Computational statistics & data analysis, v. 55, (7), July 2011, p. 2276-2287
Chen, Cathy W.S.; Chan, Jennifer S.K.; So, Mike K.P.; Lee, Kevin K.M.
Article

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

Asia-Pacific financial markets, v. 18, (3), 2011, p. 291-317
Hatrick, K.; So, M.K.P.; Chung, S.W.; Deng, R.
Article

2010 1

Applying the Randomized Response Technique to Elicit Truthful Responses to Sensitive Questions in IS Research: The Case of Software Piracy Behavior

Information Systems Research, v. 21, (4), December 2010, p. 941-959
Kwan, Samuel S K; So, Mike K P; Tam, Kar Yan
Article

2009 4

A Threshold Factor Multivariate Stochastic Volatility Model

Journal of forecasting, v. 28, (8), 2009, DEC, p. 712-735
So, Mike K.P.; Choi, C.Y.
Article

Dynamic modeling of tail risk: Applications to China, Hong Kong and other Asian markets

Asia-Pacific Financial Markets, v. 16, (3), 2009, p. 183-210
So, M.K.P.; Tse, A.S.L.
Article

Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model

Mathematics and computers in simulation, v. 80, (2), 2009, OCT, p. 327-340
Yip, Iris W.H.; So, Mike K.P.
Article

Volatility Forecasting with Double Markov Switching GARCH Models

Journal of forecasting, v. 28, (8), 2009, DEC, p. 681-697
Chen, Cathy W.S.; So, Mike K.P.; Lin, Edward M.H.
Article

2008 5

A multivariate threshold stochastic volatility model

Mathematics and computers in simulation, v. 79, (3), 2008, DEC 1, p. 306-317
So, Mike K.P.; Choi, C.Y.
Article

An empirical evaluation of fat-tailed distributions in modeling financial time series

Mathematics and computers in simulation, v. 77, (1), 2008, FEB 15, p. 96-108
So, Mike K.P.; Chen, Cathy W.S.; Lee, Jen-Yu; Chang, Yi-Ping
Article

Bayesian mixture of autoregressive models

Computational statistics & data analysis, v. 53, (1), 2008, SEP 15, p. 38-60
Lau, John W.; So, Mike K.P.
Article

Bayesian Model Selection for Heteroskedastic Models

Advances in Econometrics, 23, 567-594
Chen, Cathy W.S.; Gerlach, Richard H.; So, Mike K.P.
Article

Heavy-tailed-distributed threshold stochastic volatility models in financial time series

Australian & New Zealand journal of statistics, v. 50, (1), 2008, MAR, p. 29-51
Chen, Cathy W.S.; Liu, F.C.; So, Mike K.P.
Article

2007 2

Asymmetries in Return and Volatility and Composite News from Stock Markets

Multinational Finance Journal, 11, 179-210
Chiang, Thomas C.; Chen, Cathy W.S.; So, Mike K.P.
Article

Modelling financial time series with threshold nonlinearity in returns and trading volume

Applied stochastic models in business and industry, v. 23, (4), 2007, JUL-AUG, p. 319-338
So, Mike K.P.; Chen, Cathy W.S.; Chiang, Thomas C.; Lin, Doris S.Y.
Article

2006 8

A comparison of the effects of problem-based learning and lecturing on the development of students' critical thinking

Medical Education, v. 40, (6), 2006, p. 547-554
Tiwari, A.; Lai, P.; So, M.; Yuen, K.
Article

A multivariate long memory stochastic volatility model

PHYSICA a-statistical MECHANICS and ITS APPLICATIONS, v. 362, (2), 2006, APR 1, p. 450-464
So, MKP; Kwok, SWY
Article

Bayesian analysis of nonlinear and non-Gaussian state space models via multiple-try sampling methods

Statistics and computing, v. 16, (2), 2006, JUN, p. 125-141
So, MKP
Article

Best subset selection of autoregressive models with exogenous variables and generalized autoregressive conditional heteroscedasticity errors

Journal of the Royal Statistical Society. Series C: Applied Statistics, v. 55, (2), April 2006, p. 201-224
So, Ka Pui; Chen, Cathy W.S.; Liu, Feng Chi
Article

Comparison of nonnested asymmetric heteroskedastic models

Computational statistics & data analysis, v. 51, (4), 2006, DEC 15, p. 2164-2178
Chen, Cathy W.S.; Gerlach, Richard; So, Mike K.P.
Article

Empirical analysis of GARCH models in value at risk estimation

Journal of International Financial Markets, Institutions and Money, v. 16, (2), 2006, p. 180-197
So, M.K.P.; Yu, P.L.H.
Article

On a threshold heteroscedastic model

International journal of forecasting, v. 22, (1), 2006, JAN-MAR, p. 73-89
Chen, CWS; So, MKP
Article

A multivariate threshold stochastic volatility model

Australian Statistical Conference/ New Zealand Statistical Association Conference 2006, Auckland, New Zealand, 3-6 July 2006
So, Mike
Conference paper

2005 3

A Bayesian threshold nonlinearity test for financial time series

Journal of forecasting, v. 24, (1), 2005, JAN, p. 61-75
So, MKP; Chen, CWS; Chen, MT
Article

Assessing and testing for threshold nonlinearity in stock returns

Australian & New Zealand journal of statistics, v. 47, (4), 2005, DEC, p. 473-488
Chen, CWS; So, MKP; Gerlach, RH
Article

Asymmetric response and interaction of US and local news in financial markets

Applied stochastic models in business and industry, v. 21, (3), 2005, MAY-JUN, p. 273-288
Chen, CWS; So, MKP; Gerlach, RH
Article

2003 4

Assymetrical reaction to US stock-return news: Evidence from major stock markets based on a double-threshold model

Journal of Economics and Business, v. 55, (5-6), 2003, p. 487-502
Chen, Cathy W.S.; Chiang, Thomas C.; So, Mike K.P.
Article

On conditional moments of garch models, with applications to multiple period value at risk estimation

Statistica Sinica, v. 13, (4), 2003, OCT, p. 1015-1044
Wong, CM; So, MKP
Article

Posterior mode estimation for nonlinear and non-Gaussian state space models

Statistica Sinica, v. 13, (1), 2003, JAN, p. 255-274
So, MKP
Article

Subset threshold autoregression

Journal of forecasting, v. 22, (1), 2003, JAN, p. 49-66
So, MKP; Chen, CWS
Article

2002 2

A threshold stochastic volatility model

Journal of forecasting, v. 21, (7), 2002, NOV, p. 473-500
So, MKP; Li, WK; Lam, K.
Article

Bayesian Analysis of Long Memory Stochastic Volatility Models

Sankhya, B64(1), 1-10
So, Mike K.P.
Article

2001 1

Statistical Modeling of Stochastic Volatility in Financial Markets

International Chinese Statistical Association Bulletin, January 2001, p. 19-21
So, Mike K.P.
Conference paper

2000 2

Forecasting and trading strategies based on a price trend model

Journal of forecasting, v. 19, (6), 2000, NOV, p. 485-498
Kwan, JWC; Lam, K.; So, MKP; Yu, PLH
Article

Long-Term Memory in Stock Market Volatility

Applied Financial Economics, v. 10, 2000, p. 519-524
So, Mike K.P.
Article

1999 4

Bayesian unit-root testing in stochastic volatility models

Journal of business & economic statistics, v. 17, (4), 1999, OCT, p. 491-496
So, MKP; Li, WK
Article

Forecasting exchange rate volatility using autoregressive random variance model

Applied Financial Economics, v. 9, (6), 1999, p. 583-591
So, M.K.P.; Lam, K.; Li, W.K.
Article

The Impact of Futures and Options Tradings on the Hang Seng Index Volatility

The International Journal of Finance, v. 11, (1), 1999, p. 1238-1254
So, Mike K.P.; Yu, Philip L.H.
Article

Time series with additive noise

Biometrika, v. 86, (2), 1999, JUN, p. 474-482
So, MKP
Article

1998 1

A stochastic volatility model with Markov switching

Journal of business & economic statistics, v. 16, (2), 1998, APR, p. 244-253
So, MKP; Lam, K.; Li, WK
Article

1997 3

An empirical study of volatility in seven Southeast Asian stock markets using ARV models

Journal of Business Finance and Accounting, v. 24, (2), 1997, p. 261-275
So, M.K.P.; Lam, K.; Li, W.K.
Article

Multivariate modelling of the autoregressive random variance process

Journal of Time Series Analysis, v. 18, 1997, p. 429-446
So, Mike K.P.; Li, W.K.; Lam, K.
Article

Stochastic Volatility Models

1997 International Symposium on Contemporary Multivariate Analysis and Its Applications, Hong Kong, May 19-22 1997
Li, W.K.; So, Mike K.P.; Lam, K.
Conference paper

1993 1

In Search of Chaos in Some Hong Kong Stocks Prices

Securities Industry Review, v. 19, 1993, p. 79-96
So, Mike K.P.; Lam, K.; Li, W.K.
Article

Teaching Assignment

2024-25 Fall 2 2023-24 Summer 0 2023-24 Spring 0 2023-24 Winter 0 2023-24 Fall 2 2022-23 Summer 0

ISOM2500	Business Statistics
ISOM3540	Introduction to Probability Models

ISOM2500	Business Statistics
ISOM3540	Introduction to Probability Models

No Teaching Assignments

Research Postgraduate (RPG) Supervision

From January 2021 to December 2024 (As of 21 November 2024)

All Supervisions Current RPGs Graduated RPGs

Current RPGs

Doctor of Philosophy

CHAN, Wing Chun
Operations Management

Graduated RPGs

Doctor of Philosophy

CHAN, Shun Hin
Operations Management( Completed in 2024 )
LIU, Wing Ki
Operations Management( Completed in 2021 )
NG, Ka Chung (co-supervision)
Information Systems( Completed in 2021 )

Master of Philosophy

CHAN, Shun Hin
Operations Management( Completed in 2021 )

Projects

From January 2022 to December 2024

All Projects 3 Leading Projects 2 Participating Projects 1

Graphical copula GARCH modeling with dynamic conditional dependence and its applications to finance and risk management

具有動態條件依賴的圖形 copula GARCH 模型及其在金融和風險管理中的應用 Leading

RGC - General Research Fund
Project Team (HKUST)
SO Mike Ka Pui (Lead)
2023 - 2024
Bayesian spatial analysis of pollutants in environmental research Leading

Central Reserve Fund - School-based Initiatives
Project Team (HKUST)
SO Mike Ka Pui (Lead)
2019 - 2023
Contributing to the Development of Hong Kong into a Global Fintech Hub

促進香港成為全球的金融科技樞紐 Participating

RGC - Theme-based Research Scheme
Project Team (HKUST)
TAM Kar Yan (Lead)

BHATTACHARYA Utpal

CHEN Tai-Yuan

CHEN Yanzhen

HONG Weiyin

HUANG Allen Hao

HUI Kai Lung

JAMES Lancelot Fitzgerald

LI Yingying

LING Shiqing

SO Mike Ka Pui

XU Yan

YANG Yi

YEUNG Dit Yan

ZHANG Chu

ZHENG Rong

ZHENG Xinghua
2019 - 2022