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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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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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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
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ARTICLES - Asymptotic Inference for Nonstationary Fractionally Integrated Autoregressive Moving-Average Models
Ling, Shiqing; Li, W.K. - In: Econometric theory 17 (2001) 4, pp. 738-764
Persistent link: https://www.econbiz.de/10006978088
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A threshold stochastic volatility model
So, Mike K.P.; Li, W.K.; Lam, K. - In: Journal of forecasting 21 (2002) 7, pp. 473-500
Persistent link: https://www.econbiz.de/10006891490
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Theory and Methods - On Single-Index Coefficient Regression Models
Xia, Yingcun; Li, W.K. - In: Journal of the American Statistical Association : JASA 94 (1999) 448, pp. 1275-1285
Persistent link: https://www.econbiz.de/10006625898
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ON FRACTIONALLY DIFFERENCED PERIODIC PROCESSES
Hui, Y.V.; Li, W.K. - In: Sankhya / B : the Indian journal of statistics 57 (1995) 1, pp. 19-31
Persistent link: https://www.econbiz.de/10006535599
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Detecting and Diagnostic Checking Multivariate Conditional Heteroscedastic Time Series Models
Wong, H.; Li, W.K. - In: Annals of the Institute of Statistical Mathematics : AISM 54 (2002) 1, pp. 45-59
Persistent link: https://www.econbiz.de/10006559755
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Bayesian Unit-Root Testing in Stochastic Volatility Models
So, Mike K.P.; Li, W.K. - In: Journal of business & economic statistics : JBES ; a … 17 (1999) 4, pp. 491-496
Persistent link: https://www.econbiz.de/10008218235
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A Stochastic Volatility Model With Markov Switchlng
So, Mike K.P.; Lam, K.; Li, W.K. - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 2, pp. 244-253
Persistent link: https://www.econbiz.de/10008219287