← All authors Wai Keung Li University of Hong Kong (from arXiv:1903.12077, 2019) · OpenAlex
39 papers in scope · 39 published · 3 on the econ.EM arXiv · 924 citations · h-index 17 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Ke Zhu Cheng Yu Dong Li Feiyu Jiang Zhoufan Zhu Yumin Cheng Jiayuan Zhou Elynn Chen Rong Chen Yuefeng Han Aryan Manafi Neyazi Abdul-Nasah Soale Emmanuel Selorm Tsyawo Eiji Kurozumi Cun-Hui Zhang Anton Skrobotov Alexandre Street Qiwei Yao Eduardo Zilberman Dan Yang Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (3 of 39)
Portmanteau Tests for Functional Weak White Noise: Spherical Autocorrelation and Bootstrap Approximation
published 2026 · Journal of Time Series Analysis
with Yu Miao, Muyi Li
On buffered moving average models
published 2024 · Journal of Time Series Analysis · 2 citations
with Yipeng Zhuang, Dong Li, Philip L. H. Yu
Testing and Modelling for the Structural Change in Covariance Matrix Time Series With Multiplicative Form
published 2021 · Statistica Sinica · 1 citations
published 2020 · Statistica Sinica · 3 citations · first circulated 2019
published 2020 · Journal of Econometrics · 12 citations · first circulated 2019
Evaluation methods for portfolio management
published 2020 · Applied Stochastic Models in Business and Industry · 3 citations
with Keith Law, Philip L. H. Yu
Variable screening for survival data in the presence of heterogeneous censoring
published 2020 · Scandinavian Journal of Statistics · 6 citations
with Jinfeng Xu, Zhiliang Ying
A Portmanteau Test for Smooth Transition Autoregressive Models
published 2019 · Journal of Time Series Analysis · 3 citations
with Qiang Xia, Zhiqiang Zhang
Modeling RCOV matrices with a generalized threshold conditional autoregressive Wishart model
published 2019 · Statistics and Its Interface
An Experiment on Autoregressive and Threshold Autoregressive Models with Non-Gaussian Error with Application to Realized Volatility
published 2019 · Economies · 6 citations
with Ziyi Zhang
published 2019 · Statistica Sinica · 4 citations · first circulated 2018
Conditional quantile estimation for hysteretic autoregressive models
published 2018 · Statistica Sinica · 2 citations
A robust goodness-of-fit test for generalized autoregressive conditional heteroscedastic models
published 2017 · Biometrika · 6 citations · first circulated 2015
On the surprising explanatory power of higher realized moments in practice
published 2017 · Statistics and Its Interface · first circulated 2016
Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates
published 2015 · Journal of Business and Economic Statistics · 27 citations · first circulated 2014
On Mixture Double Autoregressive Time Series Models
published 2015 · Journal of Business and Economic Statistics · 28 citations
On buffered threshold Garch models
published 2015 · Statistica Sinica · 10 citations
Hysteretic autoregressive time series models
published 2015 · Biometrika · 54 citations
A new hyperbolic GARCH model
published 2015 · Journal of Econometrics · 24 citations
A bootstrapped spectral test for adequacy in weak ARMA models
published 2015 · Journal of Econometrics · 30 citations · first circulated 2013
Extreme values identification in regression using a peaks-over-threshold approach
published 2014 · Journal of Applied Statistics · 2 citations
with Tong Siu Tung Wong
A New Pearson-Type QMLE for Conditionally Heteroscedastic Models
published 2014 · Journal of Business and Economic Statistics · 23 citations
Self-Excited Threshold Poisson Autoregression
published 2014 · Journal of the American Statistical Association · 104 citations · first circulated 2013
Test for homogeneity in gamma mixture models using likelihood ratio
published 2013 · Computational Statistics & Data Analysis · 11 citations
with Tony Siu Tung Wong
ON MIXTURE MEMORY GARCH MODELS
published 2013 · Journal of Time Series Analysis · 23 citations
Zero-inflated Poisson regression mixture model
published 2013 · Computational Statistics & Data Analysis · 47 citations
with Hwa Kyung Lim, Philip L. H. Yu
ASYMPTOTIC THEORY ON THE LEAST SQUARES ESTIMATION OF THRESHOLD MOVING-AVERAGE MODELS
published 2012 · Econometric Theory · 32 citations
with Dong Li, Shiqing Ling
Modeling insurance claims via a mixture exponential model combined with peaks-over-threshold approach
published 2012 · Insurance Mathematics and Economics · 39 citations
Score Tests for Hyperbolic GARCH Models
published 2011 · Journal of Business and Economic Statistics · 9 citations
On the autopersistence functions and the autopersistence graphs of binary autoregressive time series
published 2011 · Journal of Time Series Analysis · 17 citations
On the least squares estimation of threshold autoregressive and moving-average models
published 2011 · Statistics and Its Interface · 23 citations
with Dong Li, Shiqing Ling
A threshold approach for peaks-over-threshold modeling using maximum product of spacings
published 2010 · Statistica Sinica · 17 citations
with Tony Siu, Tung Wong
no link
LEAST ABSOLUTE DEVIATION ESTIMATION FOR UNIT ROOT PROCESSES WITH GARCH ERRORS
published 2009 · Econometric Theory · 14 citations
A time-series risk model with constant interest for dependent classes of business
published 2006 · Insurance Mathematics and Economics · 8 citations
with Zhiqiang Zhang, Kam Chuen Yuen
On a Mixture GARCH Time‐Series Model
published 2006 · Journal of Time Series Analysis · 45 citations
with Zhiqiang Zhang, Kam Chuen Yuen
Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach
published 2005 · Biometrika · 39 citations
Modelling subset multivariate ARCH model via the AIC principle
published 2002 · Science China Mathematics · 2 citations
with Hongzhi An, Tom Fong
On a Mixture Autoregressive Conditional Heteroscedastic Model
published 2001 · Journal of the American Statistical Association · 183 citations
with Chun Shan Wong
ARMA MODELLING WITH NON‐GAUSSIAN INNOVATIONS
published 1988 · Journal of Time Series Analysis · 65 citations
with A. Ian McLeod
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