Shiqing Ling

zbMath Openling.shiqingWikidataQ41802613 ScholiaQ41802613MaRDI QIDQ418250

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 ergodicity of threshold ARMA\((m, p, q)\) models Japanese Journal of Statistics and Data Science	2025-01-22	Paper
Comment Journal of Business and Economic Statistics	2025-01-20	Paper
Comment Journal of Business and Economic Statistics	2025-01-20	Paper
On a Threshold Double Autoregressive Model Journal of Business and Economic Statistics	2025-01-20	Paper
Testing Serial Correlation and ARCH Effect of High-Dimensional Time-Series Data Journal of Business and Economic Statistics	2024-10-11	Paper
Inference for Heavy-Tailed and Multiple-Threshold Double Autoregressive Models Journal of Business and Economic Statistics	2024-10-09	Paper
Asymptotic inference of the ARMA model with time-functional variance noises Scandinavian Journal of Statistics	2024-09-19	Paper
Testing for Structural Change of Predictive Regression Model to Threshold Predictive Regression Model Journal of Business and Economic Statistics	2024-08-13	Paper
A general asymptotic theory for time-series models Statistica Neerlandica	2024-07-16	Paper
On a Partially Non-Stationary Vector AR Model with Vector GARCH Noises: Estimation and Testing Communications in Mathematical Research	2024-03-04	Paper
Inference for the VEC(1) model with a heavy-tailed linear process errors* Econometric Reviews	2023-12-07	Paper
Automated Estimation of Heavy-Tailed Vector Error Correction Models STATISTICA SINICA	2022-10-13	Paper
Testing threshold effect in single-index models Statistics and Its Interface	2022-09-15	Paper
Whittle parameter estimation for vector ARMA models with heavy-tailed noises Journal of Statistical Planning and Inference	2022-04-08	Paper
LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise Journal of Econometrics	2022-03-16	Paper
Consistency of global LSE for MA(1) models Statistics \& Probability Letters	2022-01-24	Paper
Lasso based variable selection of ARMA models STATISTICA SINICA	2021-04-27	Paper
Quasi-likelihood estimation of structure-changed threshold double autoregressive models Journal of Statistical Planning and Inference	2020-02-28	Paper
Inference in heavy-tailed vector error correction models Journal of Econometrics	2020-02-11	Paper
Statistical Inference for Structurally Changed Threshold Autoregressive Models STATISTICA SINICA	2019-11-19	Paper
Asymptotic theory for a vector ARMA-GARCH model Econometric Theory	2018-12-14	Paper
Asymptotic inference for unit root processes with GARCH(1,1) errors Econometric Theory	2018-12-14	Paper
Tests for TAR models vs. star models -- a separate family of hypotheses approach STATISTICA SINICA	2018-11-22	Paper
The ZD-GARCH model: a new way to study heteroscedasticity Journal of Econometrics	2017-11-23	Paper
LADE-based inference for ARMA models with unspecified and heavy-tailed heteroscedastic noises Journal of the American Statistical Association	2017-10-13	Paper
Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models Journal of Econometrics	2017-03-10	Paper
On the least squares estimation of multiple-regime threshold autoregressive models Journal of Econometrics	2016-08-15	Paper
Estimation of change-points in linear and nonlinear time series models Econometric Theory	2016-04-22	Paper
Asymptotic inference for AR models with heavy-tailed G-GARCH noises Econometric Theory	2015-11-03	Paper
Asymptotic inference in multiple-threshold double autoregressive models Journal of Econometrics	2015-10-30	Paper
Model-based pricing for financial derivatives Journal of Econometrics	2015-06-08	Paper
On functional limits of short- and long-memory linear processes with GARCH(1,1) noises Stochastic Processes and their Applications	2015-01-30	Paper
INFERENCE FOR A SPECIAL BILINEAR TIME-SERIES MODEL Journal of Time Series Analysis	2015-01-12	Paper
Non-stationarity and quasi-maximum likelihood estimation on a double autoregressive model Journal of Time Series Analysis	2014-12-17	Paper
Likelihood ratio tests for the structural change of an AR(\(p\)) model to a threshold AR(\(p\)) model Journal of Time Series Analysis	2014-11-20	Paper
Testing for structural change of AR model to threshold AR model Journal of Time Series Analysis	2014-08-06	Paper
On conditionally heteroscedastic AR models with thresholds STATISTICA SINICA	2014-04-29	Paper
Factor double autoregressive models with application to simultaneous causality testing Journal of Statistical Planning and Inference	2014-03-13	Paper
Asymptotic theory on the least squares estimation of threshold moving-average models Econometric Theory	2013-08-22	Paper
Quasi-maximum exponential likelihood estimators for a double AR(p) model STATISTICA SINICA	2013-03-07	Paper
The global weighted lad estimators for finite/infinite variance ARMA\((p,q)\) models Econometric Theory	2012-10-31	Paper
Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models Journal of Econometrics	2012-09-23	Paper
On moving-average models with feedback Bernoulli	2012-05-28	Paper
Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models The Annals of Statistics	2011-12-08	Paper
On the least squares estimation of threshold autoregressive and moving-average models Statistics and Its Interface	2011-12-01	Paper
Score based goodness-of-fit tests for time series STATISTICA SINICA	2011-11-10	Paper
On non-stationary threshold autoregressive models Bernoulli	2011-09-14	Paper
Estimation in nonstationary random coefficient autoregressive models Journal of Time Series Analysis	2011-02-22	Paper
Correction to: Residual empirical processes for long and short memory time series The Annals of Statistics	2011-01-19	Paper
ON DISTINGUISHING BETWEEN RANDOM WALK AND CHANGE IN THE MEAN ALTERNATIVES Econometric Theory	2009-06-11	Paper
Asymptotic inference for a nonstationary double AR(1) model Biometrika	2009-06-10	Paper
Residual empirical processes for long and short memory time series The Annals of Statistics	2008-11-18	Paper
Canonical correlation analysis for the vector AR(1) model with ARCH innovations Journal of Statistical Planning and Inference	2008-06-11	Paper
scientific article; zbMATH DE number 5224887 (Why is no real title available?)	2008-01-09	Paper
Testing for change points in time series models and limiting theorems for NED sequences The Annals of Statistics	2007-09-04	Paper
Ergodicity and invertibility of threshold moving-average models Bernoulli	2007-05-15	Paper
EMPIRICAL LIKELIHOOD FOR GARCH MODELS Econometric Theory	2006-11-07	Paper
Fitting an error distribution in some heteroscedastic time series models The Annals of Statistics	2006-08-03	Paper
Mixed Portmanteau Tests for Time‐Series Models Journal of Time Series Analysis	2006-05-24	Paper
Testing for a linear MA model against threshold MA models The Annals of Statistics	2006-03-23	Paper
Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models Journal of the Royal Statistical Society Series B: Statistical Methodology	2005-09-01	Paper
Estimation and Testing Stationarity for Double-Autoregressive Models Journal of the Royal Statistical Society Series B: Statistical Methodology	2005-04-11	Paper
Hill's estimator for the tail index of an ARMA model Journal of Statistical Planning and Inference	2004-08-19	Paper
Regression quantiles for unstable autoregressive models Journal of Multivariate Analysis	2004-08-16	Paper
Adaptive Estimators and Tests of Stationary and Nonstationary Short- and Long-Memory ARFIMA–GARCH Models Journal of the American Statistical Association	2004-06-10	Paper
On adaptive estimation in nonstationary ARMA models with GARCH errors The Annals of Statistics	2004-05-18	Paper
ASYMPTOTIC INFERENCE FOR NONSTATIONARY FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE MODELS Econometric Theory	2003-05-18	Paper
NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS Econometric Theory	2003-05-18	Paper
Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence Econometric Reviews	2003-05-12	Paper
Estimation for partially nonstationary multivariate autoregressive models with conditional heteroscedasticity Biometrika	2003-03-10	Paper
Stationarity and the existence of moments of a family of GARCH processes. Journal of Econometrics	2003-02-17	Paper
scientific article; zbMATH DE number 1419979 (Why is no real title available?)	2000-08-21	Paper
On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model Journal of Applied Probability	2000-03-21	Paper
Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors The Annals of Statistics	1999-11-09	Paper
Weak convergence of the sequential empirical processes of residuals in nonstationary autoregressive models The Annals of Statistics	1999-11-09	Paper
Diagnostic checking of nonlinear multivariate time series with multivariate arch errors Journal of Time Series Analysis	1997-12-02	Paper
On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity	1997-01-01	Paper
scientific article; zbMATH DE number 562294 (Why is no real title available?)	1994-06-28	Paper

Research outcomes over time

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