Shiqing Ling

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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