Email

stanleyko@um.edu.mo

Tel

+853 8822-4153

Office

E22-4052
Faculty of Business Administration
University of Macau, E22
Avenida da Universidade,
Taipa, Macau, China

Website

www.umac.mo/fba/staff/stanleyko.html

Assistant Professor in Business Economics

Academic Qualifications

  • 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

Related Working Experiences

  • 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.

Teaching

  • Undergraduate Courses
    • Financial Econometrics (BECO3011)
    • Applied Econometrics (BECO4004)
  • Graduate Courses
    • Statistics and Financial Econometrics (BECO7010)

Research Projects

  • 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.

Research Interests

  • Financial Econometrics
  • Financial Forecast and Evaluation
  • Social Network Modeling and Analysis
  • Nonparametric Bayesian Method

Selected Journal Papers

  1. 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).
  2. 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).
  3. Ko, S. I. M., Chong T. T. L. and Ghosh P. (2015) Dirichlet Process Multiple Change-point Model. Bayesian Analysis, Vol. 10, 275-296.
  4. 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)

Selected Working Papers and Other Publications

  1. 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.
  2. Multivariate Density Forecast Evaluation: Smooth Test Approach (with Sung Y. Park), 2019, under review.
  3. Non-randomly sampled networks: Biases and Corrections (with Chih-Sheng Hsieh, Jaromir Kovarik and Trevon Logan), 2019, NBER working paper, under review.
  4. Does Price Clustering Matter to Exchange Rate Movements? (with Tao Chen, Andreas Karathanasopoulos and Chia Chun Lo), 2019, under review.
  5. Social Network Matters: Capital Structure Risk Control on REITs (with Rose Neng Lai and Zhenjiang Qin), 2019.

Working in Progress

  1. Nonparametric Bayesian Latent Attribute Model for Social Network Formation and Interactions (with Chih-Sheng Hsieh and Tso-Jung Yen).
  2. Bayesian Quantile Regression (with Sung Y. Park).
  3. A General Test for Symmetry with Application in Financial Market (with Sung Y. Park).
  4. Are better-connected CEOs more socially responsible? An Empirical Examination of U.S. Restaurant Companies (with Leona Shao Zhi Li and Fiona Xi Yang).
  5. Estimating Risk Neutral Densities from Option Prices under Uncertainty: A Maximum Entropy Approach (with Sung Y. Park).

Conference Presentations

  1. The 2019 China Meeting of the Econometric Society, Jun. 18-20, 2019, Jinan University, Guangzhou, China.
  2. NBER-NSF SBIES Conference, May 25-26, 2018, Stanford University, U.S.
  3. The 2018 Asian Meeting of the Econometric Society, Jun. 21-23, 2018, Sogang University, Seoul, Korea.
  4. The XIth World Conference of the Spatial Econometrics Association (SEA2017), Jun. 13-15, 2017, SMU, Singapore.
  5. The 2017 Asian Meeting of the Econometric Society, Jun. 3-5, 2017, CUHK, Hong Kong.
  6. SMU Summer Institute on Analytics for Business, Consumer and Social Insights 2013, Aug. 3-5, 2013, Singapore.
  7. The 2012 Asian Meeting of the Econometric Society, Dec. 20-22, 2012, Delhi, India.
  8. Econometric Society Australasian Meeting 2011, Jul. 4-8, 2011, Adelaide, South Australia, Australia.

Professional Activities

  • 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.

Postgraduate Student Supervision and Initial Placement

  • 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.

Computational Skills

  • C++; Fortran; GAUSS; Linux; Matlab; Python; R; SAS.