
Assistant Professor in Business Economics
- Ph.D. Economics, The Chinese University of Hong Kong, China, 2013
- MPhil. Economics, The Chinese University of Hong Kong, China, 2008
- B.S. Finance, Tsinghua University, Beijing, China, 2006
- Assistant Professor, Department of Finance and Business Economics, University of Macau, present.
- Post Doctoral Fellow, Shanghai-Hong Kong Development Institute, CUHK, Sep. 2013 – Aug. 2014
- Full-time Teaching Assistant, Department of Economics, CUHK, Sep. 2011 – Aug. 2013.
- Undergraduate Courses
- Financial Econometrics (BECO3011)
- Applied Econometrics (BECO4004)
- Graduate Courses
- Statistics and Financial Econometrics (BECO7010)
- Statistics and Financial Econometrics (BECO7010)
- Dynamic Conditional Density Forecast with Applications in Financial Data, funded by the Research Committee of University of Macau, 2014-2017, Principal Investigator.
- Tail Risk Measure and Its Financial Application, funded by the Research Committee of University of Macau, 2017-2019, Principal Investigator.
- The Latent Variable Approach for Modeling Dynamic Network Formation and Interactions, funded by the Research Grants Council (RGC) Hong Kong SAR, 2017-2019, Co-Principal Investiagtor.
- Production Network in the Global Economy and Its Implications, 2018-2021, funded by the Research Committee of University of Macau, Principal Investigator.
- Financial Econometrics
- Financial Forecast and Evaluation
- Social Network Modeling and Analysis
- Nonparametric Bayesian Method
- Han, X., Hsieh, C. S. and Ko, S. I. M. (2019) Spatial Modeling Approach for Dynamic Network Formation and Interactions. Journal of Business & Economic Statistics, forthcoming (ABS4).
- Chen, T., Karathanasopoulos, A., Ko, S. I. M. and Lo, C. C. (2019) Lucky Lots and Unlucky Investors. Review of Quantitative Finance and Accounting, forthcoming (ABS3).
- Ko, S. I. M., Chong T. T. L. and Ghosh P. (2015) Dirichlet Process Multiple Change-point Model. Bayesian Analysis, Vol. 10, 275-296.
- Ko, S. I. M. and Park, S. Y. (2013) Multivariate Density Forecast Evaluation: A Modified Approach. International Journal of Forecasting, Vol. 29, 431-441. (ABS3)
- On Time and Frequency-varying Okun’s Coefficient: A New Approach Based on Ensemble Empirical Model Decomposition (with Myeong Jun Kim and Sung Y. Park), 2019, R&R.
- Multivariate Density Forecast Evaluation: Smooth Test Approach (with Sung Y. Park), 2019, under review.
- Non-randomly sampled networks: Biases and Corrections (with Chih-Sheng Hsieh, Jaromir Kovarik and Trevon Logan), 2019, NBER working paper, under review.
- Does Price Clustering Matter to Exchange Rate Movements? (with Tao Chen, Andreas Karathanasopoulos and Chia Chun Lo), 2019, under review.
- Social Network Matters: Capital Structure Risk Control on REITs (with Rose Neng Lai and Zhenjiang Qin), 2019.
- Nonparametric Bayesian Latent Attribute Model for Social Network Formation and Interactions (with Chih-Sheng Hsieh and Tso-Jung Yen).
- Bayesian Quantile Regression (with Sung Y. Park).
- A General Test for Symmetry with Application in Financial Market (with Sung Y. Park).
- Are better-connected CEOs more socially responsible? An Empirical Examination of U.S. Restaurant Companies (with Leona Shao Zhi Li and Fiona Xi Yang).
- Estimating Risk Neutral Densities from Option Prices under Uncertainty: A Maximum Entropy Approach (with Sung Y. Park).
- The 2019 China Meeting of the Econometric Society, Jun. 18-20, 2019, Jinan University, Guangzhou, China.
- NBER-NSF SBIES Conference, May 25-26, 2018, Stanford University, U.S.
- The 2018 Asian Meeting of the Econometric Society, Jun. 21-23, 2018, Sogang University, Seoul, Korea.
- The XIth World Conference of the Spatial Econometrics Association (SEA2017), Jun. 13-15, 2017, SMU, Singapore.
- The 2017 Asian Meeting of the Econometric Society, Jun. 3-5, 2017, CUHK, Hong Kong.
- SMU Summer Institute on Analytics for Business, Consumer and Social Insights 2013, Aug. 3-5, 2013, Singapore.
- The 2012 Asian Meeting of the Econometric Society, Dec. 20-22, 2012, Delhi, India.
- Econometric Society Australasian Meeting 2011, Jul. 4-8, 2011, Adelaide, South Australia, Australia.
- Member,
American Economic Association, American Finance Association, Econometric Society, Royal Economic Society. - Referring,
Advances in Data Analysis and Classification (ADAC), Bayesian Analysis, Journal of Business & Economic Statistics, Statistica Sinica.
- PhD Students
- May Hauxi, Zhang (current)
- Master Students
- Wendbin, Fan (current)
- Jason Jinliang, Shen (current)
- Yi, Yang (current)
- Lingyu, Zhang (current)
- Xiaotian, Zheng (2017). Ph.D. program in Statistics, University of California at Santa Cruz, U.S.
- Yupei, Zhao (2016). Survey and Research Center for China Household Finance, Southwestern University of Finance and Economics, China.
- Shuai, Zhou (2016). Graph Strategist, Shanghai, China.
- C++; Fortran; GAUSS; Linux; Matlab; Python; R; SAS.