Mike So

Academic qualification

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

ACADEMIC AND PROFESSIONAL EXPERIENCE

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

SELECTED PUBLICATIONS

• Wang, Y., and  So, M. K. P., "A Bayesian Hierarchical Model for Spatial Extremes with Multiple Durations", Computational Statistics & Data Analysis, 95, 2016, 39-56
• Chen, C. W. S.,  So, M. K. P., and Chiang, T. C., "Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach", Japanese Economic Review, 2015, forthcoming
• So, M. K. P., and Chung, R. S. W. , "Statistical Inference of Conditional Quantiles in Nonlinear Time Series Models", Journal of Econometrics, 189, 2015, 457-472
• Asai, M., and  So, M. K. P., "Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes", Journal of Time Series Econometrics, 7, 2015, 69-74
• So, M. K. P., and Yeung, C. Y. T. , "Vine-copula GARCH model with Dynamic Conditional Dependence", Computational Statistics & Data Analysis, 76, 2014, 655-671
• So, M. K. P., and Chan, R. K. S., "Bayesian Analysis of Fat-tail Behavior and Tail Asymmetry Based on a Threshold Extreme Value Model", Computational Statistics & Data Analysis, 71, 2014, 568-587
• So, M. K. P., and Chung, R. S. W., "Dynamic Seasonality in Time Series",Computational Statistics & Data Analysis, 70, 2014, 212-226
• Asai, M., and  So, M. K. P., "Stochastic Covariance Models", Journal of Japan Statistical Society, 43, 2013, 127-162
• So, M. K. P., and Ando, T., "Generalized Predictive Information Criteria for the Analysis of Feature Events", Electronic Journal of Statistics, 7, 2013, 742-762
• So, M. K. P., Wong, J., and Asai, M., "Stress Testing Correlation Matrices for Risk Management", North American Journal of Economics and Finance, 26, 2013, 310-322
• So, M. K. P., and Xu, R., "Forecasting Intraday Volatility and Value-at-Risk with High-Frequency Data", Asia-Pacific Financial Markets, 20, 2013, 83-111
• So, M. K. P., and Yip, I. W. H., "Multivariate GARCH Models with Correlation Clustering", Journal of Forecasting, 31, 5, 2012, 443-468
• Chen C. W. S., and  So, M. K. P., and Liu, F. C., "Threshold Time Series Model in Finance: A Review", Statistics and Its Interface, 4, 2011, 167-181
• Hatrick, K.,  So, M. K., P., Chung, S. W., and Deng, R., "Dynamic Relationship among Intraday Realized Volatility, Volume and Number of Trades", Asia-Pacific Financial Markets, 18, 2011, 291-317
• So, M. K. P., and Wong, C. M., "Estimation of Multiple Period Expected Shortfall and Median Shortfall for Risk Management", Quantitative Finance, 12, 5, 2012, 739-754
• Lau J. W., and  So, M. K. P., "A Monte Carlo Markov Chain Algorithm for a Class of Mixture Time Series Models", Statistics and Computing, 21, 2011, 69-81
• Kwan, S. S. K.,  So, M. K. P., and Tam, K. Y., "Applying Randomized Response Technique to Elicit True Responses to Sensitive Questions in IS Research: The Case of Software Piracy Behavior", Information Systems Research, 21, 2010, 941-959
• So, M. K. P., and Tse, A. S. L., "Dynamic Modeling of Tail Risk: Applications to China, Hong Kong and Other Asian Markets", Asia-Pacific Financial Markets, 16, 2009, 183-210
• So, M. K. P., and Choi, C. Y., "A Threshold Factor Multivariate Stochastic Volatility Model", Journal of Forecasting, 28, 2009, 712-735
• Chen, C. W. S.,  So, M. K. P., and Lin, E., "Double Markov Switching GARCH Models", Journal of Forecasting, 28, 2009, 681-697
• Lau J. W., and  So, M. K. P., "Bayesian Mixture of Autoregressive Models", Computational Statistics & Data Analysis, 53, 2008, 38-60
• Chen, C. W. S., Gerlach, R. H., and  So, M. K. P., "Bayesian Model Selection for Heteroskedastic Models", Advances in Econometrics, 23, 2008, 567-594
• Chen, C. W. S., Gerlach, R. H., and  So, M. K. P., "Comparison of Non-nested Asymmetric Heteroskedastic Models", Computational Statistics & Data Analysis, 51, 2006, 2164-2178
• So, M. K. P., "Bayesian Analysis of Nonlinear and Non-Gaussian State Space Models via Multiple-try Sampling Methods", Statistics and Computing, 16, 2006, 125-141
• So, M. K. P., and Kwok, S. W. Y., "A Multivariate Long Memory Stochastic Volatility Model", Physica A, 362, 2006, 450-464
• Tiwari, A., Lai, P.,  So, M. K. P., and Yuen, K. H., "A Comparison of the Effects of Problem-based Learning and Lecturing on the Development of Students’ Critical Thinking", Medical Education, 40, 2006, 547-554
• So, M. K. P., and Yu, P. L. H., "Empirical Analysis of GARCH Models in VaR Estimation", Journal of International Financial Markets, Institutions and Money, 16, 2006, 180-197
• So, M. K. P., Chen, C. W. S., and Liu, F. C., "Best Subset Selection of Autoregressive Models With Exogenous Variables and Generalized Autoregressive Conditional Heteroscedasticity Errors", Journal of the Royal Statistical Society, Series C, 55, 2006, 201-224
• Chen, C. W.S., and  So, M. K. P., "On a Threshold Heteroscedastic Model", International Journal of Forecasting, 22, 2006, 73-89
• So, M. K. P., Chen, C. W. S., and Chen, M. T., "A Bayesian Threshold Nonlinearity Test for Financial Time Series", Journal of Forecasting, 24, 2005, 61-75
• Wong, C. M., and  So, M. K. P., "On Conditional Moments of GARCH Models, With Applications to Multiple Period Value at Risk Estimation", Statistica Sinica, 13, 2003, 1015-1044
• So, M. K. P., and Chen, C. W. S., "Subset Threshold Autoregression", Journal of Forecasting, 22, 2003, 49-66
• So, M. K. P., "Posterior Mode Estimation for Nonlinear and Non-Gaussian State Space Models", Statistica Sinica, 13, 2003, 255-274
• So, M. K. P., "Bayesian Analysis of Long Memory Stochastic Volatility Models", _Sankhyā, Series B, _64, 2002, Part 1, 1-10
• So, M. K. P., Li, W. K., and Lam, K., "A Threshold Stochastic Volatility Model", Journal of Forecasting, 21, 2002, 473-500
• So, M. K. P., "Long-Term Memory in Stock Market Volatility", Applied Financial Economics, 10, 2000, 519-524
• So, M. K. P., "Bayesian Unit Root Testing in Stochastic Volatility Model", Journal of Business & Economic Statistics, 17, 1999, 491-496
• So, M. K. P., "Time Series with Additive Noise", Biometrika, 86, 1999, 474-482
• So, M. K. P., Lam, K., and Li, W. K., "A Stochastic Volatility Model with Markov Switching", Journal of Business & Economic Statistics, 16, 1998, 244-253
• So, M. K. P., Li, W. K., and Lam, K., "Multivariate Modelling of the Autoregressive Random Variance Process", Journal of Time Series Analysis, 18, 1997, 429-446

PROFESSIONAL SERVICES

• Journal of Business & Economic Statistics, associate editor, 2013-2016
• Econometrics and Statistics, associate editor, 2016 to present
• Annals of Computational and Financial Econometrics, associate editor, 2013-2015
• Asia-Pacific Financial Markets, associate editor, 2006-present
• Professional Risk Managers’ International Association, co-regional director of the Hong Kong Chapter, 2013-present

PROFESSIONAL ASSOCIATION MEMBERSHIPS

• American Statistical Association
• International Chinese Statistical Association

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

HONORS

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