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

• 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

• "Multivariate GARCH Models with Correlation Clustering", Journal of Forecasting, forthcoming 2011 (with Iris W.H. Yip)
• "Threshold Time Series Model in Finance: A Review", Statistics and Its Interface,  4, 2011, 167-181 (with Cathy W. S. Chen and F.C. Liu)
• "Dynamic Relationship among Intraday Realized Volatility, Volume and Number of Trades", Asia-Pacific Financial Markets, 18, 2011, 291-317 (Kerr Hatrick, S.W. Chung and R. Deng)
• "Estimation of Multiple Period Expected Shortfall and Median Shortfall for Risk Management", Quantitative Finance, forthcoming, 2011 (with C.M. Wong)
• "A Monte Carlo Markov Chain Algorithm for a Class of Mixture Time Series Models", Statistics and Computing, 21, 2011, 69-81 (with John W. Lau)
• "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.(with Samuel S.K. Kwan and K.Y. Tam)
• "Dynamic Modeling of Tail Risk: Applications to China, Hong Kong and Other Asian Markets", Asia-Pacific Financial Markets, 16, 2009, 183-210 (with Alex S.L. Tse )
• "A Threshold Factor Multivariate Stochastic Volatility Model", Journal of Forecasting, 28, 2009, 712-735 (with C.Y. Choi)
• "Double Markov Switching GARCH Models", Journal of Forecasting, 28, 2009, 681-697 (with Cathy W.S. Chen and E. Lin,)
• "Bayesian Mixture of Autoregressive Models", Computational Statistics & Data Analysis, 53, 2008, 38-60 (with John W. Lau)
• "Bayesian Model Selection for Heteroskedastic Models", Advances in Econometrics, 23, 2008, 567-594 (with Cathy W.S. Chen and Richard H. Gerlach)
• "Comparison of Non-nested Asymmetric Heteroskedastic Models", Computational Statistics & Data Analysis, 51, 2006, 2164-2178 (with Cathy W. S. Chen and Richard H. Gerlach)
• "Bayesian Analysis of Nonlinear and Non-Gaussian State Space Models via Multiple-try Sampling Methods", Statistics and Computing, 16, 2006, 125-141
• "A Multivariate Long Memory Stochastic Volatility Model", Physica A, 362, 2006, 450-464 (with Susanna W.Y. Kwok)
• "A Comparison of the Effects of Problem-based Learning and Lecturing on the Development of Students’ Critical Thinking", Medical Education, 40, 2006, 547-554 (with Agnes Tiwari, Patrick Lai, Mike K.P. So and K.H. Yuen)
•  "Empirical Analysis of GARCH Models in VaR Estimation", Journal of International Financial Markets, Institutions and Money, 16, 2006, 180-197 (with Philip L.H. Yu)
• "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.(with Cathy W.S. Chen and Feng-Chi Liu)
• "On a Threshold Heteroscedastic Model", International Journal of Forecasting, 22, 2006, 73-89.(with Cathy W.S. Chen)
• "A Bayesian Threshold Nonlinearity Test for Financial Time Series", Journal of Forecasting, 24, 2005, 61-75 (with Cathy W.S. Chen and Ming-Tien Chen)
• "On Conditional Moments of GARCH Models, With Applications to Multiple Period Value at Risk Estimation", Statistica Sinica, 13, 2003, 1015-1044 (with Chi-Ming Wong)
• "Subset Threshold Autoregression", Journal of Forecasting, 22, 2003, 49-66 (with Cathy W.S. Chen)
• "Posterior Mode Estimation for Nonlinear and Non-Gaussian State Space Models", Statistica Sinica, 13, 2003, 255-274
• "Bayesian Analysis of Long Memory Stochastic Volatility Models", Sankhyā, Series B, 64, 2002, Part 1, 1-10
• "A Threshold Stochastic Volatility Model", Journal of Forecasting, 21, 2002, 473-500 (with W.K. Li and K. Lam)
• "Long-Term Memory in Stock Market Volatility", Applied Financial Economics, 10, 2000, 519-524
• "Bayesian Unit Root Testing in Stochastic Volatility Model", Journal of Business & Economic Statistics, 17, 1999, 491-496.(with W.K. Li)
• "Time Series with Additive Noise", Biometrika, 86, 1999 474-482
• "A Stochastic Volatility Model with Markov Switching", Journal of Business & Economic Statistics, 16, 1998, 244-253 (with So, K. Lam and W.K. Li)
• "Multivariate Modelling of the Autoregressive Random Variance Process", Journal of Time Series Analysis, 18, 1997, 429-446.(with So, W.K. Li and K. Lam)

CONSULTATIONS AND EXECUTIVE EDUCATION

• Conducting a series of seminars on time series analysis and forecasting for the Census and Statistics Department, Hong Kong Government, 1996
• Consulting on the currency volatility for Standard Chartered Bank, 1993-1994

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

PROFESSIONAL ASSOCIATION MEMBERSHIPS

• American Statistical Association
• International Chinese Statistical Association