Forecasting intraday volatility and value-at-risk with high-frequency data

von So, Mike Ka-pui
Veröffentlicht in Asia-Pacific financial markets (2013)

A threshold factor multivariate stochastic volatility model

von So, Mike Ka-pui
Veröffentlicht in Journal of forecasting (2009)

Bayesian unit-root testing in stochastic volatility models

von So, Mike Ka-pui
Veröffentlicht in Journal of business & economic statistics (1999)

Subset threshold autoregression

von So, Mike Ka-pui
Veröffentlicht in Journal of forecasting (2003)

On a threshold heteroscedastic model

von Chen, Cathy W. S.
Veröffentlicht in International journal of forecasting (2006)

Dynamic modeling of tail risk : applications to China, Hong Kong and other Asian markets

von So, Mike Ka-pui
Veröffentlicht in Asia-Pacific financial markets (2009)

Stress testing correlation matrices for risk management

von So, Mike Ka-pui
Veröffentlicht in The North American journal of economics and finance (2013)

On the predictive power of network statistics for financial risk indicators

von Song, Jianhua
Veröffentlicht in Journal of international financial markets, institutions & money (2021)

Statistical inference for conditional quantiles in nonlinear time series models

von So, Mike Ka-pui
Veröffentlicht in Journal of econometrics (2015)

Empirical analysis of GARCH models in value at risk estimation

von So, Mike Ka-pui
Veröffentlicht in Journal of international financial markets, institutions & money (2006)

A threshold stochastic volatility model

von So, Mike Ka-pui
Veröffentlicht in Journal of forecasting (2002)

Forecasting exchange rate volatility using autoregressive random variance model

von So, Mike Ka-pui
Veröffentlicht in Applied financial economics (1999)

A stochastic volatility model with Markov switching

von So, Mike Ka-pui
Veröffentlicht in Journal of business & economic statistics (1998)

Empirical analysis of bitcoin prices using threshold time series models

von Guzman, Rodolfo Angelo Magtanggol III de
Veröffentlicht in Annals of financial economics (2018)

Applying the randomized response technique to elicit truthful responses to sensitive questions in IS research : the case of software piracy behavior

von Kwan, Samuel S. K.
Veröffentlicht in Information systems research (2010)

Asymmetric return and volatility responses to composite news from stock markets

von Chiang, Thomas C.
Veröffentlicht in Multinational finance journal (2007)

Asymmetrical reaction to US stock-return news : evidence from major stocks markets based on a double-threshold model

von Chen, Cathy W. S.
Veröffentlicht in Journal of economics & business (2003)

Evidence of stock returns and abnormal trading volume : a threshold quantile regression approach

von Chen, Cathy W. S.
Veröffentlicht in The Japanese economic review (2016)

A Bayesian threshold nonlinearity test for financial time series

von So, Mike Ka-pui
Veröffentlicht in Journal of forecasting (2004)

Stochastic multivariate mixture covariance model

von So, Mike Ka-pui
Veröffentlicht in Journal of forecasting (2017)