Wai Keung Li

发表

On a spiked model for large volatility matrix estimation from noisy high-frequency data

Jianfeng Yao, Keren Shen, Wai Keung Li, 2019, Comput. Stat. Data Anal..

An Independent Component Ordering and Selection Procedure Based on the MSE Criterion

Edmond HaoCun Wu, Wai Keung Li, Philip L. H. Yu, 2006, ICA.

Zero-inflated Poisson regression mixture model

Wai Keung Li, Philip L. H. Yu, Hwa Kyung Lim, 2014, Comput. Stat. Data Anal..

Modeling Panel Time Series with Mixture Autoregressive Model

Wai Keung Li, Shusong Jin, W. Li, 2021, Journal of Data Science.

Test for homogeneity in gamma mixture models using likelihood ratio

Wai Keung Li, Tony Siu Tung Wong, W. Li, 2014, Comput. Stat. Data Anal..

On the estimation and diagnostic checking of the ARFIMA-HYGARCH model

Guodong Li, Wai Keung Li, Wilson Kwan, 2012, Comput. Stat. Data Anal..

A smoothed bootstrap test for independence based on mutual information

Edmond H. C. Wu, Wai Keung Li, Philip L. H. Yu, 2009, Comput. Stat. Data Anal..

A simple multivariate ARCH model specified by random coefficients

Wai Keung Li, Pak Wing Fong, Hong-Zhi An, 2006, Comput. Stat. Data Anal..

Robust modeling and diagnostic checking

Wai Keung Li, 2003 .

Interactive hidden Markov models and their applications

Michael K. Ng, Tak Kuen Siu, Wai-Ki Ching, 2007 .

Value at Risk Estimation Using Independent Component Analysis-generalized Autoregressive Conditional Heteroscedasticity (ica-garch) Models

Edmond H. C. Wu, Wai Keung Li, Philip L. H. Yu, 2006, Int. J. Neural Syst..

On time series with randomized unit root and randomized seasonal unit root

Wai Keung Li, Pak Wing Fong, W. Li, 2003, Comput. Stat. Data Anal..

Modeling threshold conditional heteroscedasticity with regime-dependent skewness and kurtosis

Chao Wang, Xuan Zhou, Wai Keung Li, 2011, Comput. Stat. Data Anal..

Diagnostic Checks in Time Series

Wai Keung Li, W. Li, 2003 .

Modelling algal blooms using vector autoregressive model with exogenous variables and long memory filter

Wai Keung Li, Gilbert C.S. Lui, W. Li, 2007 .

On a Mixture Autoregressive Conditional Heteroscedastic Model

Wai Keung Li, W. Li, C. S. Wong, 2001 .

Estimation of nonlinear time series with conditional heteroscedastic variances by iteratively weighted least squares

Heung Wong, Wai Keung Li, W. Li, 1997 .

ON THE ESTIMATION AND TESTING OF FUNCTIONAL-COEFFICIENT LINEAR MODELS

Yingcun Xia, Wai Keung Li, W. Li, 1999 .

On a mixture vector autoregressive model

Wai Keung Li, C. Wong, P. W. Fong, 2007 .

Multivariate modelling of the autoregressive random variance process

Wai Keung Li, Mike K. P. So, W. Li, 1997 .

A threshold approach for peaks-over-threshold modeling using maximum product of spacings

Wai Keung Li, W. Li, Tony Siu, 2010 .

On a Double-Threshold Autoregressive Heteroscedastic Time Series Model

Wai Keung Li, W. Li, C. W. Li, 1996 .

On Single-Index Coefficient Regression Models

Yingcun Xia, Wai Keung Li, Y. Xia, 1999 .

ON THE AUTOCORRELATION STRUCTURE AND IDENTIFICATION OF SOME BILINEAR TIME SERIES

Wai Keung Li, 1984 .

Estimation for partially nonstationary multivariate autoregressive models with conditional heteroscedasticity

Heung Wong, Wai Keung Li, Shiqing Ling, 2001 .

Distribution of the Residual Autocorrelations in Multivariate Arma Time Series Models

A. I. McLeod, Wai Keung Li, W. Li, 1981 .

Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence

Michael McAleer, Wai Keung Li, Shiqing Ling, 2003 .

On a multivariate conditional heteroscedastic model

Heung Wong, Wai Keung Li, W. Li, 1997 .

On extended partially linear single-index models

Yingcun Xia, Wai Keung Li, Howell Tong, 1999 .

A note on the corrected Akaike information criterion for threshold autoregressive models

Wai Keung Li, C. Wong, W. Li, 1998 .

On a threshold autoregression with conditional heteroscedastic variances

Wai Keung Li, W. Li, Jian Liu, 1997 .

A New Pearson-Type QMLE for Conditionally Heteroscedastic Models

Ke Zhu, Wai Keung Li, W. Li, 2015 .

Fractional time series modelling

A. I. McLeod, Wai Keung Li, W. Li, 1986 .

Self-Excited Threshold Poisson Autoregression

Wai Keung Li, Richard A. Davis, Jianfeng Yao, 2013, 1307.4626.

F-tests for seasonal differencing with a break-point

Wai Keung Li, W. Li, T. Ng, 1997 .

On Fractionally Integrated Autoregressive Moving-Average Time Series Models with Conditional Heteroscedasticity

Wai Keung Li, Shiqing Ling, W. Li, 1997 .