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

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Google Scholar
7ABkqR8AAAAJ

ORCID
0000-0003-0781-8166

Scopus ID
7004473851




Research Interest Publications Projects Teaching Assignment RPG Supervision Space used




Research Interest

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



Publications

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All Years 110 2022 0 2021 16 2020 11 2019 9 2018 8 2017 2 2016 64

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2021 16

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
Dynamic covariance modeling with artificial neural networks
Communications in Statistics: Case Studies, Data Analysis and Applications, September 2021
Liu, Wing Ki; So, Ka Pui; Chu, Man Ying 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
Measuring Family Resilience Of Chinese Family Caregivers: Psychometric Evaluation Of The Family Resilience Assessment Scale
Family Relations, October 2021
Chu, Amanda M.Y.; Tsang, Jenny T.Y.; Tiwari, Agnes; Yuk, Helina; So, Mike K.P. 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
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
Statistical Disclosure Control For Continuous Variables Using An Extended Skew-T Copula
Applied Stochastic Models in Business and Industry, 6 October 2021
Chu, Amanda M.Y.; Ip, Chun Yin; Lam, Benson S.Y.; So, Mike K.P. 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
Volatility and dynamic dependence modeling: Review, applications, and financial risk management
Wiley Interdisciplinary Reviews: Computational Statistics, 22 June 2021, article number e1567
So, Ka Pui; Chu, Amanda M.Y.; Lo, Cheuk Yan Cliff; Ip, Chun Yin Article

2020 11

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
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: Applications for financial risk management
Journal of Econometrics, 3 June 2020
So, Ka Pui; Chan, Wing Chun; Chu, Amanda M.Y. 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
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
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
Pre-AMCIS SIGBPS Workshop on Blockchain and Financial Analytics (BPS'20), Virtual, 13-14 August 2020
Ng, Ka Chung; Ke, Ping Fan; So, Ka Pui; Tam, Kar Yan Conference paper

2019 9

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
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
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
The 3rd International Conference on Econometrics and Statistics, EcoSta 2019, Taipei, Taiwan, 25-27 Jun 2019
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, Mike 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, Mike 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, Mike K.P.; Li, Jessica C.; Sriboonchitta, Songsak Article
Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach
Japanese Economic Review, v. 67, (1), March 2016, p. 96-124
Chen, Cathy W.S.; So, Mike K.P.; 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, Siu Wa 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


Expand All Collapse All


Article 16

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
Dynamic covariance modeling with artificial neural networks
Communications in Statistics: Case Studies, Data Analysis and Applications, September 2021
Liu, Wing Ki; So, Ka Pui; Chu, Man Ying
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
Measuring Family Resilience Of Chinese Family Caregivers: Psychometric Evaluation Of The Family Resilience Assessment Scale
Family Relations, October 2021
Chu, Amanda M.Y.; Tsang, Jenny T.Y.; Tiwari, Agnes; Yuk, Helina; So, Mike K.P.
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.
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
Statistical Disclosure Control For Continuous Variables Using An Extended Skew-T Copula
Applied Stochastic Models in Business and Industry, 6 October 2021
Chu, Amanda M.Y.; Ip, Chun Yin; Lam, Benson S.Y.; So, Mike K.P.
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
Volatility and dynamic dependence modeling: Review, applications, and financial risk management
Wiley Interdisciplinary Reviews: Computational Statistics, 22 June 2021, article number e1567
So, Ka Pui; Chu, Amanda M.Y.; Lo, Cheuk Yan Cliff; Ip, Chun Yin


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Article 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
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
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: Applications for financial risk management
Journal of Econometrics, 3 June 2020
So, Ka Pui; Chan, Wing Chun; Chu, Amanda M.Y.
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
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
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
Pre-AMCIS SIGBPS Workshop on Blockchain and Financial Analytics (BPS'20), Virtual, 13-14 August 2020
Ng, Ka Chung; Ke, Ping Fan; So, Ka Pui; Tam, Kar Yan


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Article 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
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
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
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
The 3rd International Conference on Econometrics and Statistics, EcoSta 2019, Taipei, Taiwan, 25-27 Jun 2019
Ng, Ka Chung; So, Ka Pui; Tam, Kar Yan


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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, Mike 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


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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


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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, Mike
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, Mike K.P.; Li, Jessica C.; Sriboonchitta, Songsak
Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach
Japanese Economic Review, v. 67, (1), March 2016, p. 96-124
Chen, Cathy W.S.; So, Mike K.P.; 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


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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


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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, Siu Wa
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.


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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


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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.


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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.


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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


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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.


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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.


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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.


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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


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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


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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


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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.


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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.


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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.


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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


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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


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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.


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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.


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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, Mike 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, Mike K.P.; Li, Jessica C.; Sriboonchitta, Songsak Article
Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach
Japanese Economic Review, v. 67, (1), March 2016, p. 96-124
Chen, Cathy W.S.; So, Mike K.P.; 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, Siu Wa 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


No Publications






Teaching Assignment

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2021-22 Winter 0 2021-22 Fall 2 2020-21 Summer 0 2020-21 Spring 3 2020-21 Winter 0 2020-21 Fall 2

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ISOM2500 Business Statistics
ISOM3540 Introduction to Probability Models


ISOM6670A Predictive Analytics with Business Applications
ISOM6670B Behavioral Analytics
ISOM6680A Business Analytics Practicum


ISOM3540 Introduction to Probability Models
ISOM5620 Visual Analytics for Business Decisions


No Teaching Assignments


No Teaching Assignments


No Teaching Assignments






Research Postgraduate (RPG) Supervision From January 2019 to December 2022 (As of 30 January 2022)

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All Supervisions Current RPGs Graduated RPGs

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Current RPGs

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Doctor of Philosophy CHAN, Wing Chun
Operations Management( 2020 - )

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Graduated RPGs

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Doctor of Philosophy LIU, Wing Ki
Operations Management( Completed in 2021 )

NG, Ka Chung (co-supervision)
Information Systems( Completed in 2021 )

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Master of Philosophy CHAN, Shun Hin
Operations Management( Completed in 2021 )









ProjectsFrom January 2020 to December 2022

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All Projects 3 Leading Projects 2 Participating Projects 1

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Bayesian spatial analysis of pollutants in environmental research Leading


Central Reserve Fund - School-based Initiatives


Project Team (HKUST)
SO Mike Ka Pui (Lead)


2019 -




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 Yanzhen
HUANG Allen Hao
HUI Kai Lung
JAMES Lancelot Fitzgerald
LI Yingying
LING Shiqing
SO Mike Ka Pui
XU Yan
YANG Yi
YEUNG Dit Yan
YOU Haifeng
ZHANG Chu
ZHENG Rong
ZHENG Xinghua


2019 -




Hierarchical Bayesian Dynamic Network Modeling and its Applications to Finance, Information Systems and Education.


分層貝葉斯動態網絡模型及其在金融，資訊系統和教育上的應用 Leading


RGC - General Research Fund


Project Team (HKUST)
SO Mike Ka Pui (Lead)
TAM Kar Yan


2018 - 2021