Dong Li

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
On a Threshold Double Autoregressive Model Journal of Business and Economic Statistics	2025-01-20	Paper
Asset Pricing via the Conditional Quantile Variational Autoencoder Journal of Business and Economic Statistics	2024-10-28	Paper
Grouped network Poisson autoregressive model STATISTICA SINICA	2024-08-26	Paper
Testing Error Distribution by Kernelized Stein Discrepancy in Multivariate Time Series Models Journal of Business and Economic Statistics	2024-08-13	Paper
Smooth transition moving average models: Estimation, testing, and computation Journal of Time Series Analysis	2024-04-15	Paper
On the Least Squares Estimation of Multiple-Threshold-Variable Autoregressive Models Journal of Business and Economic Statistics	2024-03-06	Paper
Testing and Modelling for the Structural Change in Covariance Matrix Time Series With Multiplicative Form STATISTICA SINICA	2023-11-09	Paper
Estimation of the empirical risk‐return relation: A generalized‐risk‐in‐mean model Journal of Time Series Analysis	2023-08-22	Paper
Maximum likelihood estimation for \(\alpha\)-stable double autoregressive models Journal of Econometrics	2023-08-18	Paper
From sparse to dense functional data in high dimensions: Revisiting phase transitions from a non-asymptotic perspective	2023-06-01	Paper
On an absolute autoregressive model and skew symmetric distributions	2023-05-31	Paper
Simulation and application of subsampling for threshold autoregressive moving-average models Communications in Statistics. Simulation and Computation	2022-06-21	Paper
Double AR model without intercept: an alternative to modeling nonstationarity and heteroscedasticity Econometric Reviews	2022-03-04	Paper
Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model Journal of Econometrics	2021-10-26	Paper
Network GARCH model STATISTICA SINICA	2021-04-27	Paper
On the three-step non-Gaussian quasi-maximum likelihood estimation of heavy-tailed double autoregressive models Journal of Time Series Analysis	2020-11-20	Paper
The marginal density of a TMA(1) process Journal of Time Series Analysis	2020-05-27	Paper
Self-weighted LAD-based inference for heavy-tailed continuous threshold autoregressive models Journal of Time Series Analysis	2020-05-27	Paper
Inference for asymmetric exponentially weighted moving average models Journal of Time Series Analysis	2020-05-27	Paper
Non-standard inference for augmented double autoregressive models with null volatility coefficients Journal of Econometrics	2020-02-17	Paper
Strict stationarity testing and GLAD estimation of double autoregressive models Journal of Econometrics	2019-07-01	Paper
Renorming volatilities in a family of GARCH models Econometric Theory	2018-11-09	Paper
The ZD-GARCH model: a new way to study heteroscedasticity Journal of Econometrics	2017-11-23	Paper
Nested sub-sample search algorithm for estimation of threshold models Statistica Sinica	2016-10-26	Paper
On the least squares estimation of multiple-regime threshold autoregressive models Journal of Econometrics	2016-08-15	Paper
Asymptotic inference in multiple-threshold double autoregressive models Journal of Econometrics	2015-10-30	Paper
Non-stationarity and quasi-maximum likelihood estimation on a double autoregressive model Journal of Time Series Analysis	2014-12-17	Paper
Weak convergence of the sequential empirical processes of residuals in TAR models Science China. Mathematics	2014-12-02	Paper
On dynamics of volatilities in nonstationary GARCH models Statistics & Probability Letters	2014-11-03	Paper
On conditionally heteroscedastic AR models with thresholds STATISTICA SINICA	2014-04-29	Paper
A note on moving-average models with feedback Journal of Time Series Analysis	2014-02-25	Paper
Asymptotic theory on the least squares estimation of threshold moving-average models Econometric Theory	2013-08-22	Paper
On moving-average models with feedback Bernoulli	2012-05-28	Paper
On moving-average models with feedback Bernoulli	2012-05-28	Paper
On the least squares estimation of threshold autoregressive and moving-average models Statistics and Its Interface	2011-12-01	Paper
Asymptotic inference for a nonstationary double AR(1) model Biometrika	2009-06-10	Paper
Ergodicity and invertibility of threshold moving-average models Bernoulli	2007-05-15	Paper

Research outcomes over time

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