Mike K. P. So

Available identifiers

zbMath Open so.mike-k-pWikidataQ83343658 ScholiaQ83343658MaRDI QIDQ647175

List of research outcomes

Publication	Date of Publication	Type
Quantile three-factor model with heteroskedasticity, skewness, and leptokurtosis	2023-07-11	Paper
Realized BEKK-CAW models	2023-03-20	Paper
Vine copula statistical disclosure control for mixed-type data	2022-09-14	Paper
Financial network connectedness and systemic risk during the COVID-19 pandemic	2022-08-23	Paper
A simulation smoother for long memory time series with correlated and heteroskedastic additive noise	2022-06-21	Paper
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: applications for financial risk management	2022-03-16	Paper
Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models	2021-06-30	Paper
Regularization of Bayesian quasi-likelihoods constructed from complex estimating functions	2020-06-16	Paper
On hysteretic vector autoregressive model with applications	2020-04-27	Paper
Multivariate modelling of spatial extremes based on copulas	2020-04-23	Paper
On the performance of the Bayesian composite likelihood estimation of max-stable processes	2020-04-22	Paper
Autoregressive conditional negative binomial model applied to over-dispersed time series of counts	2019-03-18	Paper
Model selection of a switching mechanism for financial time series	2019-02-08	Paper
Vine-copula GARCH model with dynamic conditional dependence	2018-11-23	Paper
Bayesian randomized response technique with multiple sensitive attributes: the case of information systems resource misuse	2018-11-15	Paper
Bayesian analysis of tail asymmetry based on a threshold extreme value model	2018-11-08	Paper
Dynamic seasonality in time series	2018-11-02	Paper
Stochastic Multivariate Mixture Covariance Model	2018-10-12	Paper
Multivariate <scp>GARCH</scp> Models with Correlation Clustering	2018-10-11	Paper
A Bayesian hierarchical model for spatial extremes with multiple durations	2018-08-15	Paper
Long memory and asymmetry for matrix-exponential dynamic correlation processes	2018-02-07	Paper
Classification in segmented regression problems	2016-01-12	Paper
Statistical inference for conditional quantiles in nonlinear time series models	2015-10-30	Paper
Threshold variable selection of asymmetric stochastic volatility models	2015-03-03	Paper
Stochastic Covariance Models	2014-10-23	Paper
Estimation of multiple period expected shortfall and median shortfall for risk management	2014-01-17	Paper
Generalized predictive information criteria for the analysis of feature events	2013-05-29	Paper
Forecasting intraday volatility and value-at-risk with high-frequency data	2013-04-08	Paper
A Monte Carlo Markov chain algorithm for a class of mixture time series models	2012-12-06	Paper
A review of threshold time series models in finance	2011-12-01	Paper
https://portal.mardi4nfdi.de/entity/Q3580294	2010-08-12	Paper
Bayesian model selection for heteroskedastic models	2010-06-30	Paper
Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model	2009-11-16	Paper
Dynamic modeling of tail risk: Applications to China, Hong Kong and other Asian markets	2009-09-09	Paper
Bayesian mixture of autoregressive models	2009-06-16	Paper
Comparison of nonnested asymmetric heteroskedastic models	2009-04-06	Paper
Modelling financial time series with threshold nonlinearity in returns and trading volume	2008-06-18	Paper
An empirical evaluation of fat-tailed distributions in modeling financial time series	2008-03-26	Paper
ASSESSING AND TESTING FOR THRESHOLD NONLINEARITY IN STOCK RETURNS	2008-01-24	Paper
Best Subset Selection of Autoregressive Models with Exogenous Variables and Generalized Autoregressive Conditional Heteroscedasticity Errors	2007-09-07	Paper
Asymmetric response and interaction of U.S. and local news in financial markets	2006-05-24	Paper
https://portal.mardi4nfdi.de/entity/Q4450671	2004-02-15	Paper
https://portal.mardi4nfdi.de/entity/Q4801753	2003-04-08	Paper
Miscellanea. Time series with additive noise	2000-01-31	Paper

Research outcomes over time

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