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Adaptive estimators and tests of stationary and nonstationary short- and long-memory ARFIMA-GARCH models

Ling, Shiqing - In: Journal of the American Statistical Association : JASA 98 (2003) 464, pp. 955-967

Persistent link: https://www.econbiz.de/10001975424

Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models

Ling, Shiqing - In: Journal of econometrics 140 (2007) 2, pp. 849-873

Persistent link: https://www.econbiz.de/10003569985

Estimation of change-points in linear and nonlinear time series models

Ling, Shiqing - In: Econometric theory 32 (2016) 2, pp. 402-430

Persistent link: https://www.econbiz.de/10011578492

Asymptotic inference for nonstationary fractionally integrated autoregressive moving-average models

Ling, Shiqing; Li, Wai Keung - In: Econometric theory 17 (2001) 4, pp. 738-764

Persistent link: https://www.econbiz.de/10001606782

Regression quantiles for unstable autoregressive models

Ling, Shiqing; McAleer, Michael - 2001 - [Elektronische Ressource]

This paper investigates regression quantiles (RQ) for unstable autoregressive models. The uniform Bahadur representation of the RQ process is obtained. The joint asymptotic distribution of the RQ process is derived in a unified manner for all types of characteristic roots on or outside the unit...

Persistent link: https://www.econbiz.de/10001590590

Estimation and testing for unit root processes with GARCH (1, 1) errors : theory and Monte Carlo evidence

Ling, Shiqing; Li, Wai Keung; McAleer, Michael - In: Econometric reviews 22 (2003) 2, pp. 179-202

Persistent link: https://www.econbiz.de/10001761653

Asymptotic inference for unit root processes with GARCH (1,1) errors

Ling, Shiqing; Li, Wai Keung - In: Econometric theory 19 (2003) 4, pp. 541-564

Persistent link: https://www.econbiz.de/10001777180

Asymptotic theory for a vector ARMA-GARCH model

Ling, Shiqing; McAleer, Michael - In: Econometric theory 19 (2003) 2, pp. 280-310

Persistent link: https://www.econbiz.de/10001743407

Recent theoretical results for time series models with GARCH errors

Li, Wai Keung; Ling, Shiqing; McAleer, Michael - In: Journal of economic surveys 16 (2002) 3, pp. 245-269

Persistent link: https://www.econbiz.de/10001686256

Determining an optimal window size for modeling volatility

Yew, Xavier Chee Hoong; McAleer, Michael; Ling, Shiqing - In: Handbook of applied econometrics and statistical inference, (pp. 443-467). 2002

Persistent link: https://www.econbiz.de/10001701988