Wai Keung 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 buffered moving average models Journal of Time Series Analysis	2025-07-09	Paper
Score Tests for Hyperbolic GARCH Models Journal of Business and Economic Statistics	2025-01-20	Paper
A New Pearson-Type QMLE for Conditionally Heteroscedastic Models Journal of Business and Economic Statistics	2025-01-20	Paper
The Generalized Conditional Autoregressive Wishart Model for Multivariate Realized Volatility Journal of Business and Economic Statistics	2024-10-09	Paper
Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates Journal of Business and Economic Statistics	2024-10-09	Paper
On Mixture Double Autoregressive Time Series Models Journal of Business and Economic Statistics	2024-10-09	Paper
Evaluation methods for portfolio management Applied Stochastic Models in Business and Industry	2024-07-25	Paper
Testing and Modelling for the Structural Change in Covariance Matrix Time Series With Multiplicative Form STATISTICA SINICA	2023-11-09	Paper
Least absolute deviations estimation for nonstationary vector autoregressive time series models with pure unit roots Statistics and Its Interface	2023-09-16	Paper
Modeling RCOV matrices with a generalized threshold conditional autoregressive Wishart model Statistics and Its Interface	2023-09-15	Paper
Time series models for realized covariance matrices based on the matrix-F distribution STATISTICA SINICA	2022-03-30	Paper
A new test for tail index with application to Danish fire loss data Journal of Statistical Computation and Simulation	2022-03-24	Paper
Hybrid quantile estimation for asymmetric power GARCH models Journal of Econometrics	2022-03-16	Paper
Forecasting high-dimensional realized volatility matrices using a factor model Quantitative Finance	2021-09-03	Paper
Variable screening for survival data in the presence of heterogeneous censoring Scandinavian Journal of Statistics	2021-06-22	Paper
New HSIC-based tests for independence between two stationary multivariate time series (available as arXiv preprint)	2021-04-27	Paper
A Portmanteau Test for Smooth Transition Autoregressive Models Journal of Time Series Analysis	2020-11-20	Paper
Extreme values identification in regression using a peaks-over-threshold approach Journal of Applied Statistics	2020-11-04	Paper
Conditional quantile estimation for hysteretic autoregressive models STATISTICA SINICA	2020-05-14	Paper
A robust goodness-of-fit test for generalized autoregressive conditional heteroscedastic models Biometrika	2019-06-24	Paper
GPS trajectory data segmentation based on probabilistic logic International Journal of Approximate Reasoning	2019-02-20	Paper
Asymptotic inference for unit root processes with GARCH(1,1) errors Econometric Theory	2018-12-14	Paper
Zero-inflated Poisson regression mixture model Computational Statistics and Data Analysis	2018-11-08	Paper
Test for homogeneity in gamma mixture models using likelihood ratio Computational Statistics and Data Analysis	2018-11-02	Paper
On a spiked model for large volatility matrix estimation from noisy high-frequency data Computational Statistics and Data Analysis	2018-11-02	Paper
On the surprising explanatory power of higher realized moments in practice Statistics and Its Interface	2018-09-18	Paper
Self-excited threshold Poisson autoregression Journal of the American Statistical Association	2017-08-04	Paper
Diagnostic checking for Weibull autoregressive conditional duration models Advances in Time Series Methods and Applications	2017-07-31	Paper
On buffered threshold GARCH models Statistica Sinica	2016-10-26	Paper
Hysteretic autoregressive time series models Biometrika	2015-12-11	Paper
A new hyperbolic GARCH model Journal of Econometrics	2015-10-30	Paper
A bootstrapped spectral test for adequacy in weak ARMA models Journal of Econometrics	2015-09-01	Paper
Testing for the buffered autoregressive processes STATISTICA SINICA	2014-04-29	Paper
LEAST ABSOLUTE DEVIATION ESTIMATION FOR UNIT ROOT PROCESSES WITH GARCH ERRORS Econometric Theory	2014-04-23	Paper
On mixture memory GARCH models Journal of Time Series Analysis	2014-04-08	Paper
Basket trading under co-integration with the logistic mixture autoregressive model Quantitative Finance	2013-12-13	Paper
On the autopersistence functions and the autopersistence graphs of binary autoregressive time series Journal of Time Series Analysis	2013-10-04	Paper
Noise level estimation for a chaotic time series International Journal of Bifurcation and Chaos in Applied Sciences and Engineering	2013-08-23	Paper
Asymptotic theory on the least squares estimation of threshold moving-average models Econometric Theory	2013-08-22	Paper
On the estimation and diagnostic checking of the ARFIMA-HYGARCH model Computational Statistics and Data Analysis	2012-12-30	Paper
On the threshold hyperbolic GARCH models Statistics and Its Interface	2011-12-01	Paper
On the least squares estimation of threshold autoregressive and moving-average models Statistics and Its Interface	2011-12-01	Paper
Testing a linear time series model against its threshold extension Biometrika	2011-04-19	Paper
On some models for value-at-risk Econometric Reviews	2010-12-15	Paper
A threshold approach for peaks-over-threshold modeling using maximum product of spacings	2010-08-13	Paper
Ultimate ruin probability for a time-series risk model with dependent classes of insurance business	2010-06-07	Paper
Analysis of an insurance risk model with thinning dependence and common shock	2010-06-07	Paper
Modeling default data via an interactive hidden Markov model Computational Economics	2010-02-01	Paper
Discussion on the paper ``Analyzing short time series data from periodically fluctuating rodent populations by threshold models: A nearest block bootstrap approach'' Science in China. Series A	2009-12-07	Paper
A note on diagnostic checking of the double autoregressive model Journal of Statistical Computation and Simulation	2009-10-27	Paper
Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity Biometrika	2009-06-10	Paper
On diagnostic checking of the autoregressive conditional intensity model The Canadian Journal of Statistics	2009-05-22	Paper
A simple multivariate ARCH model specified by random coefficients Computational Statistics and Data Analysis	2009-04-06	Paper
Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach Biometrika	2009-01-29	Paper
On time series with randomized unit root and randomized seasonal unit root Computational Statistics and Data Analysis	2008-11-04	Paper
Testing for threshold moving average with conditional heteroscedasticity	2008-05-23	Paper
Threshold variable selection using nonparametric methods	2008-01-09	Paper
Editor's melange	2008-01-09	Paper
On a mixture vector autoregressive model The Canadian Journal of Statistics	2007-10-22	Paper
A time-series risk model with constant interest for dependent classes of business Insurance Mathematics & Economics	2007-07-19	Paper
On a Mixture GARCH Time-Series Model Journal of Time Series Analysis	2007-05-29	Paper
The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier Insurance Mathematics & Economics	2007-02-19	Paper
Modelling subset multivariate ARCH model via the AIC principle Science in China. Series A	2006-09-22	Paper
Joint modeling of cointegration and conditional heteroscedasticity with applications Annals of the Institute of Statistical Mathematics	2006-03-09	Paper
Some Results on Cointegration with Random Coefficients in the Error Correction Form: Estimation and Testing Journal of Time Series Analysis	2005-05-20	Paper
An Adaptive Estimation of Dimension Reduction Space Journal of the Royal Statistical Society Series B: Statistical Methodology	2005-04-11	Paper
scientific article; zbMATH DE number 2109191 (Why is no real title available?)	2004-10-21	Paper
On a Mixture Autoregressive Conditional Heteroscedastic Model Journal of the American Statistical Association	2004-06-10	Paper
scientific article; zbMATH DE number 2063755 (Why is no real title available?)	2004-03-30	Paper
Testing model adequacy for dynamic panel data with intercorrelation Biometrika	2004-03-16	Paper
ASYMPTOTIC INFERENCE FOR NONSTATIONARY FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE 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
Asymptotic behavior of bandwidth selected by the cross-validation method for local polynomial fitting Journal of Multivariate Analysis	2003-03-16	Paper
Estimation for partially nonstationary multivariate autoregressive models with conditional heteroscedasticity Biometrika	2003-03-10	Paper
scientific article; zbMATH DE number 1833046 (Why is no real title available?)	2003-01-13	Paper
On Single-Index Coefficient Regression Models	2002-07-30	Paper
On a logistic mixture autoregressive model Biometrika	2002-05-23	Paper
scientific article; zbMATH DE number 1347886 (Why is no real title available?)	2001-04-04	Paper
On extended partially linear single-index models Biometrika	2000-08-21	Paper
On a Mixture Autoregressive Model Journal of the Royal Statistical Society Series B: Statistical Methodology	2000-08-10	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
F-test for seasonal differencing with a break-point Journal of Statistical Planning and Inference	1999-03-08	Paper
On a multivariate conditional heteroscedastic model Biometrika	1998-03-09	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
TESTS FOR SEASONAL DIFFERENCING WITH AN UNKNOWN BREAK‐POINT Australian Journal of Statistics	1996-01-01	Paper
Two new approaches to robust estimation in time series Journal of Statistical Computation and Simulation	1990-01-01	Paper

Research outcomes over time

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