Prof. Mike K P SO
Professor, Business Statistics immkpso@ust.hk




Academic qualification
PhD September 1996 University of Hong Kong, Statistics
B.Sc. June 1991 University of Hong Kong, Applied Mathematics

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ACADEMIC AND PROFESSIONAL EXPERIENCEProfessor of ISOM, Hong Kong University of Science and Technology (HKUST), 2019 - present
Associate Professor of ISOM, Hong Kong University of Science and Technology (HKUST), 2004-2019
Assistant Professor of ISMT, Hong Kong University of Science and Technology (HKUST), 1998-2004
Visiting Assistant Professor of ISMT, HKUST, July 1996-June 1998
Assistant Lecturer of Statistics, The University of Hong Kong, 1994-1996

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SELECTED PUBLICATIONS Wang, Y., andSo, M. K. P., "A Bayesian Hierarchical Model for Spatial Extremes with Multiple Durations
Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach
Statistical Inference of Conditional Quantiles in Nonlinear Time Series Models
Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes
Vine-copula GARCH model with Dynamic Conditional Dependence
Bayesian Analysis of Fat-tail Behavior and Tail Asymmetry Based on a Threshold Extreme Value Model
Dynamic Seasonality in Time Series
Stochastic Covariance Models
Generalized Predictive Information Criteria for the Analysis of Feature Events
Stress Testing Correlation Matrices for Risk Management
Forecasting Intraday Volatility and Value-at-Risk with High-Frequency Data
Multivariate GARCH Models with Correlation Clustering
Threshold Time Series Model in Finance: A Review
Dynamic Relationship among Intraday Realized Volatility, Volume and Number of Trades
Estimation of Multiple Period Expected Shortfall and Median Shortfall for Risk Management
A Monte Carlo Markov Chain Algorithm for a Class of Mixture Time Series Models
Applying Randomized Response Technique to Elicit True Responses to Sensitive Questions in IS Research: The Case of Software Piracy Behavior
Dynamic Modeling of Tail Risk: Applications to China, Hong Kong and Other Asian Markets
A Threshold Factor Multivariate Stochastic Volatility Model
Double Markov Switching GARCH Models
Bayesian Mixture of Autoregressive Models
Bayesian Model Selection for Heteroskedastic Models
Comparison of Non-nested Asymmetric Heteroskedastic Models
Bayesian Analysis of Nonlinear and Non-Gaussian State Space Models via Multiple-try Sampling Methods
A Multivariate Long Memory Stochastic Volatility Model
A Comparison of the Effects of Problem-based Learning and Lecturing on the Development of Students’ Critical Thinking
Empirical Analysis of GARCH Models in VaR Estimation
Best Subset Selection of Autoregressive Models With Exogenous Variables and Generalized Autoregressive Conditional Heteroscedasticity Errors
On a Threshold Heteroscedastic Model
A Bayesian Threshold Nonlinearity Test for Financial Time Series
On Conditional Moments of GARCH Models, With Applications to Multiple Period Value at Risk Estimation
Subset Threshold Autoregression
Posterior Mode Estimation for Nonlinear and Non-Gaussian State Space Models
Bayesian Analysis of Long Memory Stochastic Volatility Models
A Threshold Stochastic Volatility Model
Long-Term Memory in Stock Market Volatility
Bayesian Unit Root Testing in Stochastic Volatility Model
Time Series with Additive Noise
A Stochastic Volatility Model with Markov Switching
Multivariate Modelling of the Autoregressive Random Variance Process
research-interests">RESEARCH INTERESTS Nonlinear time series analysis
Financial time series modeling
Market volatility study
Modeling the dynamic structure of economic data
Value at Risk estimation in financial markets

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HONORSA nine-time recipient of the Best Ten Lecturers, 1998-2001, 2003-2005, 2007-2008
A winner of the Franklin Prize for Teaching Excellence, 2006
A winner of the Awards for Excellence in Teaching Innovation, 2007
Michael G. Gale Medal for Distinguished Teaching, 2009