W. Li

发表

DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS

A. I. McLeod, W. Li, A. McLeod, 1983 .

TESTING FOR THRESHOLD MOVING AVERAGE WITH CONDITIONAL HETEROSCEDASTICITY

Guodong Li, W. Li, 2008 .

Testing a linear time series model against its threshold extension

Guodong Li, W. Li, 2011 .

Ultimate ruin probability for a time-series risk model with dependent classes of insurance business

W. Li, K. Yuen, L. Wan, 2005 .

An adaptive estimation of dimension reduction

H. Tong, Y. Xia, W. Li, 2002 .

On the squared residual autocorrelations in non-linear time series with conditional heteroskedasticity

W. Li, T. Mak, 1994 .

On extended partially linear single-index models

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

Matérn cross-covariance functions for bivariate spatio-temporal random fields

Ryan H. L. Ip, W. Li, 2016 .

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

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

On Mixture Double Autoregressive Time Series Models

Guodong Li, W. Li, Qianqian Zhu, 2017 .

Some Results on the Estimation of a Higher Order Markov Chain

W. Li, Michael C.O. Kwok, 1990 .

Diagnostic checking of nonlinear multivariate time series with multivariate arch errors

W. Li, S. Ling, W. Li, 1997 .

ARMA MODELLING WITH NON-GAUSSIAN INNOVATIONS

A. I. McLeod, W. Li, A. McLeod, 1988 .

An algorithm for the exact likelihood of periodic autoregressive moving average models

W. Li, Y. Hui, 1988 .

Determining the structure of a radial basis function network for prediction of nonlinear hydrological time series

W. Li, F. Tsang, P. Xu, 2006 .

A threshold stochastic volatility model

Kin Lam, Mike K. P. So, Wai Keung Li, 2002 .

On some matern covariance functions for spatio-temporal random fields

Ryan H. L. Ip, W. Li, 2017 .

On a multivariate conditional heteroscedastic model

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

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

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

F-tests for seasonal differencing with a break-point

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

Parameter inference for time series with regular and seasonal unit roots

W. Li, 1994 .

On the autopersistence functions and the autopersistence graphs of binary autoregressive time series

W. Li, Chao Wang, 2011 .

Fractional time series modelling

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

Testing model adequacy for some Markov regression models for time series

Wai Keung Li, W. Li, 1991 .

Formulating hypothetical scenarios in correlation stress testing via a Bayesian framework

W. Li, P. Yu, F. Ng, 2014 .

Time series: Advanced methods

H. Tong, W. Li, 2015 .

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 .

Distribution of the cross-correlations of squared residuals in ARIMA models

W. Li, H. Wong, 1996 .

Basket trading under co-integration with the logistic mixture autoregressive model

W. Li, P. Yu, Xixin Cheng, 2011 .

TESTING FOR THE BUFFERED AUTOREGRESSIVE PROCESSES

W. Li, P. Yu, K. Zhu, 2014 .

Single-index volatility models and estimation

H. Tong, Y. Xia, W. Li, 2002 .

Title Test for homogeneity in gamma mixture models using likelihoodratio

W. Li, T. Wong, 2014 .

Two new approaches to robust estimation in time series

W. Li, Chan—Lam Lo, 1990 .

Ryan H. L. Ip, W. Li, K. Leung, 2013, Marine pollution bulletin.

An Improved multivariate Markov chain model for credit risk

Hao Jiang, Tak Kuen Siu, Wai-Ki Ching, 2009 .

Time series models for realized covariance matrices based on the matrix-F distribution

W. Li, K. Zhu, Jiayuan Zhou, 2019, 1903.12077.

Extreme values identification in regression using a peaks-over-threshold approach

W. Li, T. S. T. Wong, 2015 .

TESTING FOR THE BUFFERED AUTOREGRESSIVE PROCESSES (SUPPLEMENTARY MATERIAL)

W. Li, P. Yu, K. Zhu, 2013 .

Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity

Guodong Li, W. Li, 2008 .

Ian McLeod’s Contribution to Time Series Analysis—A Tribute

W. Li, 2016 .

Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates

W. Li, P. Yu, K. Zhu, 2017 .

On the Compound Binomial Risk Model with Delayed Claims and Randomized Dividends

W. Li, K. Yuen, Xueyuan Wu, 2018 .

Title On the compound binomial risk model with delayed claims andrandomized dividends

W. Li, K. Yuen, Xueyuan Wu, 2018 .

Modeling RCOV matrices with a generalized threshold conditional autoregressive Wishart model

W. Li, Fukang Zhu, Yan Cui, 2020, Statistics and Its Interface.

A New Pearson-Type QMLE for Conditionally Heteroscedastic Models

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

On a logistic mixture autoregressive model

W. Li, C. Wong, 2001 .

On a dynamic mixture GARCH model

W. Li, P. Yu, Xixin Cheng, 2009 .

A Vulnerability Index for Predicting Extreme Market Events in Hong Kong

W. Li, K. Tse, L. P. Yu, 2005 .

On a Mixture GARCH Time‐Series Model

W. Li, K. Yuen, Zhiqiang Zhang, 2006 .

On a Mixture Autoregressive Conditional Heteroscedastic Model

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

ASYMPTOTIC THEORY ON THE LEAST SQUARES ESTIMATION OF THRESHOLD MOVING-AVERAGE MODELS

W. Li, Dong Li, S. Ling, 2013, Econometric Theory.

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..

TESTS FOR SEASONAL DIFFERENCING WITH AN UNKNOWN BREAK‐POINT

W. Li, T. Ng, 1996 .

Bayesian Unit-Root Testing in Stochastic Volatility Models

Mike K. P. So, W. Li, 1999 .

Financial Data Mining Using Flexible ICA-GARCH Models

Philip L. H. Yu, Wai Keung Li, Edmond H.C. Wu, 2010 .

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..

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..

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

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

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

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

Hysteretic autoregressive time series models

Guodong Li, W. Li, P. Yu, 2015 .

Variable screening for survival data in the presence of heterogeneous censoring

Z. Ying, Jinfeng Xu, W. Li, 2020, Scandinavian Journal of Statistics.

A new hyperbolic GARCH model

Guodong Li, W. Li, Muyi Li, 2015 .

ON MIXTURE MEMORY GARCH MODELS

Guodong Li, Muyi Li, Guodong Li, 2013 .

A robust goodness‐of‐fit test for generalized autoregressive conditional heteroscedastic models

Guodong Li, W. Li, Yao Zheng, 2018 .

A Robust Goodness-of-Fit Test for Generalized Autoregressive Conditional Heteroscedastic Models

Guodong Li, W. Li, Yao Zheng, 2016 .

On a Double-Threshold Autoregressive Heteroscedastic Time Series Model

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

GPS trajectory data segmentation based on probabilistic logic

Xiang Li, Sini Guo, Wai-Ki Ching, 2018, Int. J. Approx. Reason..

Modeling insurance claims via a mixture exponential model combined with peaks-over-threshold approach

W. Li, T. Wong, David C. M. Lee, 2012 .

New HSIC-based tests for independence between two stationary multivariate time series

Ke Zhu, Wai Keung Li, Guochang Wang, 2018, Statistica Sinica.

A bootstrapped spectral test for adequacy in weak ARMA models

W. Li, K. Zhu, 2015 .

Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach

Guodong Li, W. Li, 2005 .

A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors

Michael McAleer, Wai Keung Li, Shiqing Ling, 2001 .

Modelling Asymmetry in Stock Returns by a Threshold Autoregressive Conditional Heteroscedastic Model

Wai Keung Li, W. Li, K. Lam, 1995 .

On buffered threshold Garch models

Guodong Li, W. Li, P. Yu, 2016 .

Title On Buffered Threshold Garch Models

Guodong Li, W. Li, P. Yu, 2016 .

On Some Models for Value-At-Risk

Philip L. H. Yu, Shusong Jin, Wai Keung Li, 2010 .

TESTING FOR DOUBLE THRESHOLD AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTIC MODEL

Wai Keung Li, W. Li, C. Wong, 2000 .

Diagnostic Checks in Time Series

Wai Keung Li, W. Li, 2003 .

A Stochastic Volatility Model With Markov Switching

Mike K. P. So, W. Li, K. Lam, 1998 .

Distribution of the Residual Autocorrelations in Multivariate Arma Time Series Models

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

On a threshold autoregression with conditional heteroscedastic variances

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

An Empirical Study of Volatility in Seven Southeast Asian Stock Markets Using ARV Models

Kin Lam, Mike K. P. So, W. Li, 1997 .

On the asymptotic standard errors of residual autocorrelations in nonlinear time series modelling

W. Li, 1992 .

Portmanteau test for conditional heteroscedasticity, using ranks of squared residuals

H. Wong, W. Li, H. Wong, 1995 .

Statistics and finance: an interface

Howell Tong, Wai-Sum Chan, Wai Keung Li, 2000 .

The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier

W. Li, K. Yuen, Guojing Wang, 2007 .

A note on kernel estimation in integrated time series

Yingcun Xia, Howell Tong, Wai Keung Li, 2000 .

The Autoregressive Conditional Marked Duration Model: Statistical Inference to Market Microstructure

W. Li, Simon Sai, Man Kwok, 2021, Journal of Data Science.

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

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

On the threshold hyperbolic GARCH models

Guodong Li, W. Li, W. Kwan, 2011 .

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

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

On Single-Index Coefficient Regression Models

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

A simple multivariate ARCH model specified by random coefficients

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

Self-Excited Threshold Poisson Autoregression

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

Project-Based Learning via Competition for Data Science Students

W. Li, P. Yu, 2021, Issue 3.1, Winter 2021.

Forecasting high-dimensional realized volatility matrices using a factor model

Jianfeng Yao, W. Li, Keren Shen, 2015, Quantitative Finance.

Title Threshold variable selection using nonparametric methods

H. Tong, Y. Xia, W. Li, 2007 .

THRESHOLD VARIABLE SELECTION USING NONPARAMETRIC METHODS

Yingcun Xia, Howell Tong, Wai Keung Li, 2007 .

An alternative nonparametric tail risk measure

W. Li, P. Yu, K. Law, 2020 .

Evolutionary product unit based neural networks for hydrological time series analysis

Dulakshi Santhusitha Kumari Karunasingha, A. W. Jayawardena, D. S. K. Karunasingha, 2011 .

The akaike information criterion in threshold modelling: Some empirical evidences

W. Li, Wai Keung Li, 1988 .

On a mixture autoregressive model

W. Li, C. Wong, W. Li, 2000 .

Modeling Panel Time Series with Mixture Autoregressive Model

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

Zero-inflated Poisson regression mixture model

W. Li, P. Yu, H. Lim, 2014 .

Test for homogeneity in gamma mixture models using likelihood ratio

Wai Keung Li, Tony Siu Tung Wong, W. Li, 2014, 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..

Hydrologic complexity and classification: a simple data reconstruction approach

Bellie Sivakumar, W. Li, B. Sivakumar, 2007 .

Asymptotic Behavior of Bandwidth Selected by the Cross-Validation Method for Local Polynomial Fitting

Yingcun Xia, Wai Keung Li, W. Li, 2002 .

Cointegrated Conditional Heteroscedasti Model with Financial Applications

W. Li, S. Ling, H. Wong, 2000 .

An adaptive estimation of dimension reduction space

W. K. Li, H. Tong, Y. Xia, 2002 .

Computational Statistics and Data Analysis

W. Li, P. Yu, H. Lim, 2022 .

On the Surprising Explanatory Power of Higher Realized Moments in Practice

Jianfeng Yao, W. Li, Keren Shen, 2016, 1604.07969.

Estimation for partially nonstationary multivariate autoregressive models with conditional heteroscedasticity

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

A single-stage approach for cointegration-based pairs trading

W. Li, P. Yu, K. Law, 2017, Finance Research Letters.

Supplementary material for 'Hysteretic autoregressive time series models'

Guodong Li, W. Li, Bo Guan, 2015 .

On diagnostic checking of the autoregressive conditional intensity model

W. Li, Sai Man Simon Kwok, 2008 .

On the residual autocorrelation of the autoregressive conditional duration model

W. Li, P. Yu, 2003 .

A time-series risk model with constant interest for dependent classes of business

W. Li, K. Yuen, Zhiqiang Zhang, 2007 .

Testing model adequacy for dynamic panel data with intercorrelation

W. Fung, W. Li, B. Fu, 2002 .

Statistics and finance: an interface

H. Tong, W. Li, W. Chan, 2000 .

Hybrid quantile estimation for asymmetric power GARCH models

Guodong Li, W. Li, Guochang Wang, 2019, Journal of Econometrics.

Neighbourhood selection for local modelling and prediction of hydrological time series

P. Xu, W. Li, P. Xu, 2002 .

ON THE ESTIMATION AND TESTING OF FUNCTIONAL-COEFFICIENT LINEAR MODELS

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

Limiting Distributions of Maximum Likelihood Estimators for Unstable Autoregressive Moving-Average Time Series with General Autoregressive Heteroscedastic Errors

W. Li, S. Ling, 1998 .

Score Tests for Hyperbolic GARCH Models

Guodong Li, W. Li, Muyi Li, 2011 .