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Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
Ling, Shiqing; Li, W.; Mcaleer, Michael - In: Econometric reviews 22 (2003) 2, pp. 179-202
Persistent link: https://www.econbiz.de/10006889426
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Theory and Methods - 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/10006611364
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On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
Ling, Shiqing; Li, W.K. - In: Journal of the American Statistical Association : JASA 92 (1997) 439, pp. 1184-1194
Persistent link: https://www.econbiz.de/10006630183
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Time series - Joint modeling of cointegration and conditional heteroscedasticity with applications
Wong, Heung; Li, W.K.; Ling, Shiqing - In: Annals of the Institute of Statistical Mathematics : AISM 57 (2005) 1, pp. 83-104
Persistent link: https://www.econbiz.de/10006546003
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ON DISTINGUISHING BETWEEN RANDOM WALK AND CHANGE IN THE MEAN ALTERNATIVES
Aue, Alexander; Horváth, Lajos; Hušková, Marie; … - In: Econometric theory 25 (2009) 2, pp. 411-441
Persistent link: https://www.econbiz.de/10008211992
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ASYMPTOTIC THEORY ON THE LEAST SQUARES ESTIMATION OF THRESHOLD MOVING-AVERAGE MODELS
Li, Dong; Ling, Shiqing; Li, Wai Keung - In: Econometric theory 29 (2012) 3, pp. 482-516
Persistent link: https://www.econbiz.de/10010120919
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Recent Theoretical Results for Time Series Models with GARCH Errors
Li, W.K.; Ling, Shiqing; McAleer, Michael - In: Journal of economic surveys 16 (2002) 3, pp. 245-270
Persistent link: https://www.econbiz.de/10007661927
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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/10007761411
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A general asymptotic theory for time-series models
Ling, Shiqing; McAleer, Michael - In: Statistica Neerlandica : journal of the Netherlands … 64 (2010) 1, pp. 97-112
Persistent link: https://www.econbiz.de/10008370581
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ASYMPTOTIC INFERENCE FOR UNIT ROOT PROCESSES WITH GARCH(1,1) ERRORS
Ling, Shiqing; Li, W.K. - In: Econometric theory 19 (2003) 4, pp. 541-564
Persistent link: https://www.econbiz.de/10006968113