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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
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Stress testing correlation matrices for risk management
So, Mike Ka-pui; Wong, Jerry; Asai, Manabu - In: The North American journal of economics and finance : a … 26 (2013), pp. 310-322
Persistent link: https://www.econbiz.de/10010365763
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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
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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
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Subset threshold autoregression
So, Mike Ka-pui; Chen, Cathy W. S. - In: Journal of forecasting 22 (2003) 1, pp. 49-66
Persistent link: https://www.econbiz.de/10001737081
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Asymmetrical reaction to US stock-return news : evidence from major stocks markets based on a double-threshold model
Chen, Cathy W. S.; Chiang, Thomas C.; So, Mike Ka-pui - In: Journal of economics & business 55 (2003) 5/6, pp. 487-502
Persistent link: https://www.econbiz.de/10001804355
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Forecasting exchange rate volatility using autoregressive random variance model
So, Mike Ka-pui; Lam, Kin; Li, Wai Keung - In: Applied financial economics 9 (1999) 6, pp. 583-591
Persistent link: https://www.econbiz.de/10001525271
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A stochastic volatility model with Markov switching
So, Mike Ka-pui - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 2, pp. 244-253
Persistent link: https://www.econbiz.de/10001243996
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Bayesian unit-root testing in stochastic volatility models
So, Mike Ka-pui; Li, Wai Keung - In: Journal of business & economic statistics : JBES ; a … 17 (1999) 4, pp. 491-496
Persistent link: https://www.econbiz.de/10001412874
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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