





Mike Ka Pui SO Associate
Professor Email:immkpso@ust.hk
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), 2004present
 Assistant Professor of ISMT, Hong Kong
University of Science and Technology (HKUST), 19982004
 Visiting Assistant Professor of ISMT,
HKUST, July 1996June 1998
 Assistant Lecturer of Statistics, The
University of Hong Kong, 19941996
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, 3956
 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, 457472
 Asai, M., and So, M. K. P., "Long Memory and Asymmetry for MatrixExponential
Dynamic Correlation Processes", Journal of Time Series Econometrics, 7, 2015, 6974
 So, M. K. P., and Yeung, C. Y. T. , "Vinecopula GARCH model with
Dynamic Conditional Dependence", Computational Statistics & Data Analysis, 76, 2014, 655671
 So, M. K. P., and Chan, R. K. S., "Bayesian Analysis of Fattail
Behavior and Tail Asymmetry Based on a Threshold Extreme Value Model", Computational Statistics & Data Analysis, 71, 2014, 568587
 So, M. K. P., and Chung, R. S. W., "Dynamic Seasonality in Time Series",
Computational Statistics & Data Analysis, 70, 2014, 212226
 Asai, M., and So, M. K. P., "Stochastic Covariance Models",
Journal of Japan Statistical Society, 43, 2013, 127162
 So, M. K. P., and Ando, T., "Generalized Predictive Information Criteria for the
Analysis of Feature Events", Electronic Journal of Statistics, 7, 2013, 742762
 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, 310322
 So, M. K. P., and Xu, R., "Forecasting Intraday Volatility and
ValueatRisk with HighFrequency Data", AsiaPacific Financial Markets, 20, 2013, 83111
 So, M. K. P., and Yip, I. W. H., "Multivariate GARCH Models with Correlation
Clustering", Journal of Forecasting, 31, 5, 2012, 443468
 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,
167181
 Hatrick, K., So, M. K., P., Chung, S. W., and Deng, R., "Dynamic Relationship among Intraday
Realized Volatility, Volume and Number of Trades",
AsiaPacific Financial Markets, 18, 2011, 291317
 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, 739754
 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, 6981
 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, 941959
 So, M. K. P., and Tse, A. S. L., "Dynamic Modeling of Tail Risk:
Applications to China, Hong Kong and Other Asian Markets",
AsiaPacific Financial Markets, 16, 2009, 183210
 So, M. K. P., and Choi, C. Y., "A Threshold Factor Multivariate
Stochastic Volatility Model", Journal of Forecasting, 28,
2009, 712735
 Chen, C. W. S., So, M. K. P., and Lin, E., "Double Markov Switching GARCH Models",
Journal of Forecasting, 28, 2009, 681697
 Lau J. W., and So, M. K. P., "Bayesian Mixture of Autoregressive
Models", Computational Statistics & Data Analysis, 53,
2008, 3860
 Chen, C. W. S., Gerlach, R. H., and So, M. K. P., "Bayesian Model Selection for
Heteroskedastic Models", Advances in Econometrics, 23,
2008, 567594
 Chen, C. W. S., Gerlach, R. H., and So, M. K. P., "Comparison of Nonnested Asymmetric
Heteroskedastic Models", Computational Statistics & Data
Analysis, 51, 2006, 21642178
 So, M. K. P., "Bayesian Analysis of Nonlinear and
NonGaussian State Space Models via Multipletry Sampling
Methods", Statistics and Computing, 16, 2006, 125141
 So, M. K. P., and Kwok, S. W. Y., "A Multivariate Long Memory Stochastic
Volatility Model", Physica A, 362, 2006, 450464
 Tiwari, A., Lai, P., So, M. K. P., and Yuen, K. H., "A Comparison of the Effects of
Problembased Learning and Lecturing on the Development of
Students’ Critical Thinking", Medical Education, 40,
2006, 547554
 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, 180197
 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, 201224
 Chen, C. W.S., and So, M. K. P., "On a Threshold Heteroscedastic Model", International
Journal of Forecasting, 22, 2006, 7389
 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, 6175
 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, 10151044
 So, M. K. P., and Chen, C. W. S., "Subset Threshold Autoregression",
Journal of
Forecasting, 22, 2003, 4966
 So, M. K. P., "Posterior Mode
Estimation for Nonlinear and NonGaussian State Space Models",
Statistica Sinica, 13, 2003, 255274
 So, M. K. P., "Bayesian
Analysis of Long Memory Stochastic Volatility Models", Sankhyā,
Series B, 64, 2002, Part 1, 110
 So, M. K. P., Li, W. K., and Lam, K., "A Threshold Stochastic Volatility
Model", Journal of Forecasting, 21, 2002, 473500
 So, M. K. P., "LongTerm Memory in Stock Market
Volatility", Applied Financial Economics, 10, 2000,
519524
 So, M. K. P., "Bayesian Unit Root Testing in Stochastic Volatility Model",
Journal of Business & Economic Statistics, 17, 1999, 491496
 So, M. K. P., "Time Series
with Additive Noise", Biometrika, 86, 1999, 474482
 So, M. K. P., Lam, K., and Li, W. K., "A Stochastic Volatility Model with Markov Switching",
Journal of Business & Economic Statistics, 16, 1998, 244253
 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, 429446
PROFESSIONAL SERVICES
 Journal of Business & Economic Statistics, associate editor, 2013present
 Econometrics and Statistics, associate editor, 2016 to present
 Annals of Computational and Financial Econometrics, associate editor, 20132015
 AsiaPacific Financial Markets, associate editor, 2006present
 Professional Risk Managers’ International Association, coregional director of the
Hong Kong Chapter, 2013present
HONORS
 A ninetime recipient of the Best Ten Lecturers, 19982001,
20032005, 20072008
 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
PROFESSIONAL ASSOCIATION MEMBERSHIPS
 American Statistical Association
 International Chinese Statistical Association
