Mike K. P. So

Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management

Assistant Professor

Clear Water Bay, Kowloon

Hong Kong

SCHOLARLY PAPERS

21

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Scholarly Papers (21)

1.

Vine-Copula GARCH Model with Dynamic Conditional Dependence

Number of pages: 28 Posted: 04 Aug 2013
Mike K. P. So and Cherry Y.T. Yeung
Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 407 (71,363)

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Copula, GARCH, time varying dependence, vine decomposition

2.

Returns and Volatility Asymmetries in Global Stock Markets

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 35 Posted: 13 Jul 2002
Drexel University - Department of Finance, Feng Chia University - Department of Statistics and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management
Downloads 382 (76,775)

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Asymmetry, Threshold GARCH, Stock returns, Volatility, Bayesian Estimation

3.

Volatility Forecasting with Double Markov Switching GARCH Models

Number of pages: 21 Posted: 27 May 2009
Cathy W. S. Chen, Mike K. P. So and Edward M.H. Lin
Feng Chia University - Department of Statistics, Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management and Graduate Institute of Applied Statistics, Feng Chia University
Downloads 230 (132,941)
Citation 1

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heteroscedastic models, Markov chain Monte Carlo, regime-switching models, value at risk, volatility

4.

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

Number of pages: 33 Posted: 28 Jan 2015
Feng Chia University - Department of Statistics, Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management and Drexel University - Department of Finance
Downloads 217 (140,701)

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Quantile regression; Volume Asymmetric; GARCH; HP-filter; Market beta; MCMC

5.

Dynamic Relationship Among Intraday Realized: Volatility, Volume and Number of Trades

Asia-Pacific Financial Markets, Forthcoming
Number of pages: 37 Posted: 12 Sep 2010
Kerr Hatrick, Mike K. P. So, S.W. Chung and R. Deng
Deutsche Bank AG, Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management, affiliation not provided to SSRN and Hong Kong University of Science & Technology (HKUST)
Downloads 194 (156,280)

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High Frequency Data, Impulse Response Function, Realized Volatility, Trading Volume, Vector Autoregressive Model

6.

Stochastic Covariance Models

Number of pages: 53 Posted: 08 Sep 2010
Manabu Asai and Mike K. P. So
Soka University - Faculty of Economics and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management
Downloads 181 (166,427)
Citation 4

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Covariance prediction, Dynamic correlation, Nonlinear time series, Long memory, Stochastic covariance filter, Threshold models

7.

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

Quantitative Finance, Forthcoming
Number of pages: 35 Posted: 24 Mar 2010 Last Revised: 05 Apr 2010
Mike K. P. So and Davy Wong
Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management and University of Technology Sydney (UTS) - Department of Mathematical Sciences
Downloads 165 (180,518)

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conditional kurtosis, expected shortfall, risk management, value at risk, volatility

8.

Multivariate GARCH Models with Correlation Clustering

Number of pages: 43 Posted: 06 Feb 2010
Mike K. P. So and Iris W.H. Yip
Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management and affiliation not provided to SSRN
Downloads 165 (180,518)

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Bayesian, Markov chain Monte Carlo methods, Multivariate GARCH models, Clustering, Volatility

9.

Bayesian Model Selection for Heteroskedastic Models

Number of pages: 31 Posted: 28 May 2009 Last Revised: 23 Oct 2009
Feng Chia University - Department of Statistics, University of Sydney and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management
Downloads 150 (195,562)
Citation 1

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asymmetric volatility model, Markov chain Monte Carlo, posterior model probability, parallel

10.

Asymmetrical Responses to Stock Return News - Evidence from Global Markets Based on a Bayesian Model

Number of pages: 40 Posted: 28 May 2009
Drexel University - Department of Finance, Feng Chia University - Department of Statistics and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management
Downloads 103 (259,994)

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Asymmetry, threshold GARCH, volatility, Bayesian model

11.

Dynamic Seasonality in Time Series

Number of pages: 18 Posted: 03 Oct 2013
Mike K. P. So and Ray S. W. Chung
Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management and Hong Kong University of Science & Technology (HKUST)
Downloads 91 (281,938)

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Dynamic seasonality, Financial time series, GARCH models, Conditional heteroskedasticity, Model selection

12.

A Multivariate GARCH Model with Aggregate Threshold Dynamics

Number of pages: 25 Posted: 20 Jan 2010
Mike K. P. So and Iris W.H. Yip
Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management and affiliation not provided to SSRN
Downloads 85 (294,334)

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Asymmetry, Bayesian, Monte Carlo Markov chain, Multivariate GARCH models, Volatility

13.

Heavy-Tailed-Distributed Threshold Stochastic Volatility Models in Financial Time Series

Australian & New Zealand Journal of Statistics, Vol. 50, pp. 1-23, 2008
Number of pages: 30 Posted: 27 May 2009 Last Revised: 27 Aug 2009
Cathy W. S. Chen, Feng-Chi Liu and Mike K. P. So
Feng Chia University - Department of Statistics, Feng Chia University - Department of Statistics and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management
Downloads 81 (303,094)

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Kalman filter, Markov chain Monte Carlo method, state space model, stochastic volatility models, threshold, value-at-risk

14.

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

Asia-Pacific Financial Markets, Vol. 16, pp. 183-210, 2009
Number of pages: 40 Posted: 30 Jun 2009 Last Revised: 29 Jan 2010
Mike K. P. So and Alex S. L. Tse
Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management and Imperial College London
Downloads 79 (307,549)

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Dynamic correlation, Extreme dependence, Multivariate GARCH Model, Risk management, Tail dependence coefficient

15.

Detecting Relevant Interactions in High Dimensional Data Analysis

Number of pages: 22 Posted: 23 Oct 2014
Mike K. P. So and Wai Ming Li
Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 73 (322,036)

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Interaction selection, High dimensional data, Variable screening

16.

Bayesian Analysis of Tail Asymmetry Based on a Threshold Extreme Value Model

Number of pages: 27 Posted: 18 Jul 2013
Mike K. P. So and Raymond K. S. Chan
Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 60 (356,890)

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Bayesian tests, model selection, tail asymmetry, threshold models, time series

17.

Statistical Inference of Conditional Quantiles in Nonlinear Time Series Models

Journal of Econometrics, 2014, Forthcoming
Number of pages: 31 Posted: 18 Feb 2015
Mike K. P. So and Ray S. W. Chung
Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management and Hong Kong University of Science & Technology (HKUST)
Downloads 30 (467,781)

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Conditional quantile, High quantile estimation, Nonlinear time series, Specification test

18.

Asymmetric Return and Volatility Responses to Composite News from Stock Markets

Multinational Finance Journal, Vol. 11, No. 3/4, p. 179-210, 2007
Number of pages: 32 Posted: 26 Jun 2015
Drexel University - Department of Finance, Feng Chia University - Department of Statistics and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management
Downloads 25 (493,684)

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asymmetry; threshold GARCH; volatility; Bayesian estimation; posterior-odds ratio

19.

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

Japanese Economic Review, Vol. 67, Issue 1, pp. 96-124, 2016
Number of pages: 29 Posted: 22 Feb 2016
Feng Chia University - Department of Statistics, Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management and Drexel University - Department of Finance
Downloads 0 (670,354)
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20.

A Threshold Factor Multivariate Stochastic Volatility Model

Journal of Forecasting, Vol. 28, pp. 712-735
Posted: 06 Jun 2009 Last Revised: 04 Apr 2010
Mike K. P. So and C. Y. Choi
Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management and affiliation not provided to SSRN

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Dynamic correlation, factor model, news impact analysis, stochastic volatility, threshold nonlinearity, volatility asymmetry

21.

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, Vol. 55, pp. 201-224
Posted: 27 May 2009 Last Revised: 30 Mar 2010
Mike K. P. So, Cathy W. S. Chen and Feng-Chi Liu
Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management, Feng Chia University - Department of Statistics and Feng Chia University - Department of Statistics

Abstract:

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Autoregressive models with exogenous variables, Bayesian methods, Generalized autoregressive conditional heteroscedasticity models, Markov chain Monte Carlo methods, Stochastic search variable selection, Stock-markets