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ARCH model
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So, Mike Ka-pui
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Journal of forecasting
4
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2
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ECONIS (ZBW)
19
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1
On a threshold heteroscedastic model
Chen, Cathy W. S.
;
So, Mike Ka-pui
- In:
International journal of forecasting
22
(
2006
)
1
,
pp. 73-89
Persistent link: https://www.econbiz.de/10003283952
Saved in:
2
Dynamic modeling of tail risk : applications to China, Hong Kong and other Asian markets
So, Mike Ka-pui
;
Tse, Alex S. L.
- In:
Asia-Pacific financial markets
16
(
2009
)
3
,
pp. 183-210
Persistent link: https://www.econbiz.de/10003882800
Saved in:
3
Volatility forecasting with double Markov switching GARCH models
Chen, Cathy W. S.
;
So, Mike Ka-pui
;
Lin, Edward M. H.
- In:
Journal of forecasting
28
(
2009
)
8
,
pp. 681-697
Persistent link: https://www.econbiz.de/10003918204
Saved in:
4
Asymmetric return and volatility responses to composite news from stock markets
Chiang, Thomas C.
;
Chen, Cathy W. S.
;
So, Mike Ka-pui
- In:
Multinational finance journal : MF ; quarterly …
11
(
2007
)
3/4
,
pp. 179-210
Persistent link: https://www.econbiz.de/10003709545
Saved in:
5
Empirical analysis of GARCH models in value at risk estimation
So, Mike Ka-pui
;
Yu, Philip L. H.
- In:
Journal of international financial markets, …
16
(
2006
)
2
,
pp. 180-197
Persistent link: https://www.econbiz.de/10003300803
Saved in:
6
Forecasting intraday volatility and value-at-risk with high-frequency data
So, Mike Ka-pui
;
Xu, Rui
- In:
Asia-Pacific financial markets
20
(
2013
)
1
,
pp. 83-111
Persistent link: https://www.econbiz.de/10009718871
Saved in:
7
Long memory and asymmetry for matrix-exponential dynamic correlation processes
Asai, Manabu
;
So, Mike Ka-pui
- In:
Journal of time series econometrics
7
(
2015
)
1
,
pp. 69-94
Persistent link: https://www.econbiz.de/10010510043
Saved in:
8
A Bayesian threshold nonlinearity test for financial time series
So, Mike Ka-pui
;
Chen, Cathy W. S.
;
Chen, Ming-tien
- In:
Journal of forecasting
24
(
2005
)
1
,
pp. 61-75
Persistent link: https://www.econbiz.de/10002569984
Saved in:
9
A threshold stochastic volatility model
So, Mike Ka-pui
;
Li, Wai Keung
;
Lam, Kin
- In:
Journal of forecasting
21
(
2002
)
7
,
pp. 473-500
Persistent link: https://www.econbiz.de/10001775843
Saved in:
10
Empirical analysis of bitcoin prices using threshold time series models
Guzman, Rodolfo Angelo Magtanggol III de
;
So, Mike Ka-pui
- In:
Annals of financial economics
13
(
2018
)
4
,
pp. 1-24
Persistent link: https://www.econbiz.de/10011984103
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