Article

A note on the LSE of threeregime TAR model with an infinite variance

Author(s): Yang, Yaxing ; Ling, Shiqing

Source: Annals of Financial Economics, v. 13, (2), June 2018, p. 113

Tests for Tar Models VS. Star Modelsa Separate Family of Hypotheses Approach

Author(s): Gao, Zhaoxing; Ling, Shiqing ; Tong, Howell

Source: Statistica Sinica, v.28, (4), October 2018, p. 28572883

The ZDGARCH Model: A New Way to Study Heteroscedasticity

Author(s): Li, Dong ; Zhang, Xingfa ; Zhu, Ke ; Ling, Shiqing

Source: Journal of Econometrics. , v. 202, (1), January 2018, p. 117

Goodnessoffit test for nonlinear time series models

Author(s): Ngai sze han; Ling, Shiqing

Source: Annals of Financial Economics, v. 12, (2), Jun 2017, p. 121

Inference for Heavytailed and MultipleThreshold Double Autoregressive Models

Author(s): Yang, Yaxing; Ling, Shiqing

Source: Journal of Business and Economic Statistics. , v. 35, (2), April 2017, p. 318333

Selfweighted LADBased Inference for Heavytailed Threshold Autoregressive Models

Author(s): Yang, Yaxing; Ling, Shiqing

Source: Journal of Econometrics. , v. 197, (2), April 2017, p. 368381

Estimation of ChangePoints in Linear and Nolinear Time Series Models

Source: Econometric Theory. , v. 32, (2), April 2016, p. 402430

On a Threshold Double Autoregressive Model

Author(s): Li, Dong; Ling, Shiqing; Zhang, Rongmao

Source: Journal of Business and Economic Statistics. , v. 34, (1), January 2016, p. 6880

LADEBased Inference for ARMA Models With Unspecified and HeavyTailed Heteroscedastic Noises

Author(s): Zhu, Ke; Ling, Shiqing

Source: Journal of the American Statistical Association. , v. 110, (510), April 2015, p. 784794

Asymptotic inference in multiplethreshold double autoregressive models

Author(s): Li, Dong; Ling, Shiqing; Zakoïan, Jean Michel

Source: Journal of Econometrics. , v. 189, (2), December 2015, p. 415427

On functional limits of short and longmemory linear processes with GARCH(1,1) noises

Author(s): Zhang, RongMao; Sin, Choryiu; Ling, Shiqing

Source: Stochastic Processes and their Applications. , v. 125, (2), 2015, p. 482512

Modelbased pricing for financial derivatives

Author(s): Zhu, Ke; Ling, Shiqing

Source: Journal of Econometrics. , v. 187, (2), August 2015, p. 447457

Asymptotic Inference for Ar Models with HeavyTailed GGarch Noises

Author(s): Zhang, Rongmao; Ling, Shiqing

Source: Econometric Theory. , v. 31, (4), 2014, p. 880890

INFERENCE FOR A SPECIAL BILINEAR TIMESERIES MODEL

Author(s): Ling, Shiqing; Peng, Liang; Zhu, Fukang

Source: Journal of Time Series Analysis. , v. 36, (1), January 2015, p. 6166

Factor double autoregressive models with application to simultaneous causality testing

Author(s): Guo, Shaojun; Ling, Shiqing; Zhu, Ke

Source: Journal of Statistical Planning and Inference. , v. 148, May 2014, p. 8294

Nonstationarity and quasimaximum likelihood estimation on a double autoregressive model

Author(s): Chen, Min; Li, Dong; Ling, Shiqing

Source: Journal of Time Series Analysis. , v. 35, (3), 2014, p. 189202

Comment

Author(s): Ling, Shiqing; Zhu, Ke

Source: Journal of Business and Economic Statistics. , v. 32, (2), April 2014, p. 202203

On Conditionally Heteroscedastic AR Models with Thresholds

Author(s): Chan, KungSik; Li, Dong; Ling, Shiqing; Tong, Howell

Source: Statistica Sinica. , v. 24, (2), April 2014, p. 625652

Comment of "Principal Volatility Component Analysis" by Hu and Tsay

Source: Journal of Business and Economic Statistics. , v. 32, (2), April 2014, p. 165

Quasimaximum exponential likelihood estimators for a double AR(p) model

Author(s): Zhu, Ke; Ling, Shiqing

Source: Statistica Sinica. , v. 23, (2), April 2013, p. 251270

Diagnostic checking for nonstationary ARMA models with an application to financial data

Author(s): Ling, Shiqing; Zhu, Ke; Yee, Chong Ching

Source: North American Journal of Economics and Finance. , v. 26, December 2013, p. 624639

ASYMPTOTIC THEORY ON THE LEAST SQUARES ESTIMATION OF THRESHOLD MOVINGAVERAGE MODELS

Author(s): Li, Dong; Ling, Shiqing; Li, Wai Keung

Source: Econometric Theory. , v. 29, (3), June 2013, p. 482516

Likelihood ratio tests for the structural change of an AR(p) model to a Threshold AR(p) model

Author(s): Zhu, Ke; Ling, Shiqing

Source: Journal of time series analysis. , v. 33, (2), March 2012, p. 223232

On movingaverage models with feedback

Author(s): Li, Dong; Ling, Shiqing; Tong, Howell

Source: Bernoulli. , v. 18, (2), May 2012, p. 735745

On the least squares estimation of multipleregime threshold autoregressive models

Author(s): Li, D.; Ling, S.

Source: Journal of econometrics. , v. 167, (1), 2012, p. 240253

The global weighted LAD estimators for finite/infinite variance ARMA (p, q) models

Author(s): Zhu, Ke; Ling, Shiqing

Source: Econometric Theory. , v. 28, (5), 2012, p. 10651086

Testing for structural change of AR model to threshold AR model

Author(s): Berkes, Istvan; Horvath, Lajos; Ling, Shiqing; Schauer, Johannes

Source: Journal of time series analysis. , v. 32, (5), September 2011, p. 547565

On nonstationary threshold autoregressive models

Author(s): Liu, Weidong; Ling, Shiqing; Shao, QiMan

Source: Bernoulli. , v. 17, (3), August 2011, p. 969986

On the Least Squares Estimation of Threshold Autoregressive and Movingaverage Models

Author(s): Li, Dong; Li, Wai Keung; Ling, Shiqing

Source: Statistics and Its Interface. , v. 4, (2), 2011, p. 183196

Score Based Goodnessoffit Tests for Time Series

Author(s): Ling, S.; Tong, H.

Source: Statistica Sinica. , v. 21, (4), 2011, p. 18071829

Global Selfweighted and Local Quasimaximum Exponential Likelihood Estimators for ARMA–GARCH/IGARCH Models

Author(s): Zhu, Ke; Ling, Shiqing

Source: The Annals of Statistics. , v. 39, (4), August 2011, p. 21312163

A General Asymptotic Theory for Timeseries Models

Author(s): Ling, Shiqing; McAleer, Michael

Source: Statistica Neerlandica. , v. 64, (1), 2010, FEB, p. 97111

On Distinguishing between Random Walk and Change in the Mean Alternatives

Author(s): Aue, Alexander; Horvath, Lajos; Huskova, Marie; Ling, Shiqing

Source: Econometric theory. , v. 25, (2), 2009, APR, p. 411441

Estimation in Nonstationary Random Coefficient Autoregressive Models

Author(s): Berkes, I.; Horváth, L.; Ling, S.

Source: Journal of time series analysis. , v. 30, (4), 2009, p. 395416

Canonical Correlation Analysis for the Vector AR(1) Model with ARCH Innovations

Author(s): Tsay, Ruey S.; Ling, Shiqing

Source: Journal of statistical planning and inference. , v. 138, (9), 2008, SEP 1, p. 28262836

Asymptotic inference for a nonstationary double AR(1) model

Author(s): Ling, Shiqing; Li, Dong

Source: Biometrika. , v. 95, (1), 2008, MAR, p. 257263

Residual Empirical Processes for Long and Short Memory Time Series

Author(s): Chan, Ngai Hang; Ling, Shiqing

Source: The Annals of Statistics. , v. 36, (5), 2008, OCT, p. 24532470

A Double AR(p) Model: Structure and Estimation

Source: Statistica Sinica. , v. 17, (1), 2007, JAN, p. 161175

Ergodicity and Invertibility of Threshold Movingaverage Models

Author(s): Ling, Shiqing; Tong, Howell; Li, Dong

Source: Bernoulli. , v. 13, (1), 2007, FEB, p. 161168

Testing for Change Points in Time Series Models and Limiting Theorems for NED Sequences

Source: The Annals of Statistics. , v. 35, (3), 2007, JUN, p. 12131237

Selfweighted and Local Quasimaximum Likelihood Estimators for ARMAGARCH/IGARCH Models

Source: Journal of econometrics. , v. 140, (2), 2007, OCT, p. 849873

Fitting an Error Distribution in Some Heteroscedastic Time Series Models

Author(s): Koul, Hira L.; Ling, Shiqing

Source: The Annals of Statistics. , v. 34, (2), 2006, APR, p. 9941012

Empirical Likelihood for GARCH Models

Author(s): Chan, NH; Ling, SQ

Source: Econometric theory. , v. 22, (3), 2006, JUN, p. 403428

Mixed Portmanteau Tests for Timeseries Models

Author(s): Wong, H.; Ling, SQ

Source: Journal of time series analysis. , v. 26, (4), 2005, JUL, p. 569579

Selfweighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models

Source: Journal OF The Royal STATISTICAL Society Series bstatistical Methodology. , v. 67, (3), 2005, p. 381393

Joint Modeling of Cointegration and Conditional Beteroscedasticity with Applications

Author(s): Wong, H.; Li, WK; Ling, SQ

Source: Annals of the Institute of Statistical Mathematics. , v. 57, (1), 2005, MAR, p. 83103

Testing for a Linear MA Model Against Threshold MA Models

Author(s): Ling, Shiqing; Tong, H.

Source: The Annals of Statistics. , v. 33, (6), 2005, DEC, p. 25292552

Regression Quantiles for Unstable Autoregressive Models

Author(s): Ling, SQ; McAleer, M.

Source: Journal of multivariate analysis. , v. 89, (2), 2004, MAY, p. 304328

Hill's Estimator for the Tail Index of an ARMA Model

Author(s): Ling, SQ; Peng, LA

Source: Journal of statistical planning and inference. , v. 123, (2), 2004, JUL 1, p. 279293

Estimation and Testing Stationarity for Doubleautoregressive Models

Source: Journal OF The Royal STATISTICAL Society Series bstatistical Methodology. , v. 66, (1), 2004, Feb, p. 6378

Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence

Author(s): Ling, S.; Li, W.K.; McAleer, M.

Source: Econometric Reviews. , v. 22, (2), 2003, p. 179202

Adaptive Estimators and Tests of Stationary and Nonstationary Short and LongMemory ARFIMA–GARCH Models

Source: Journal of the American Statistical Association. , v. 98, (464), 2003, DEC, p. 955967

On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors

Author(s): Ling, S.; McAleer, M.

Source: The Annals of Statistics. , v. 31, (2), 2003, p. 642674

Asymptotic Inference for Unit Root Processes with GARCH(1,1) Errors

Author(s): Ling, SQ; Li, WK

Source: Econometric theory. , v. 19, (4), 2003, AUG, p. 541564

Asymptotic Theory for a Vector ARMAGARCH Model

Author(s): Ling, SQ; McAleer, M.

Source: Econometric theory. , v. 19, (2), 2003, APR, p. 280310

Stationarity and the Existence of Moments of a Family of GARCH Processes

Author(s): Ling, SQ; McAleer, M.

Source: Journal of econometrics. , v. 106, (1), 2002, JAN, p. 109117

Recent Theoretical Results for Time Series Models with GARCH Errors

Author(s): Li, W.K.; Ling, S.; McAleer, M.

Source: Journal of economic surveys. , v. 16, (3), 2002, p. 245270

Necessary and Sufficient Moment Conditions for the GARCH(r,s) and Asymmetric Power GARCH(r,s) Models

Author(s): Ling, SQ; McAleer, M.

Source: Econometric theory. , v. 18, (3), 2002, JUN, p. 722729

Estimation for Partially Nonstationary Multivariate Autoregressive models with Conditional Heteroscedasticity

Author(s): Li, WK; Ling, SQ; Wong, H.

Source: Biometrika. , v. 88, (4), 2001, DEC, p. 11351152

Asymptotic Inference for Nonstationary Fractionally Integrated Autoregressive MovingAverage Models

Author(s): Ling, Shiqing; Li, W.K.

Source: Econometric theory. , v. 17, (4), 2001, AUG, p. 738764

On the Probabilistic Properties of a Double Threshold ARMA Conditional Heteroskedastic Model

Source: Journal of Applied Probability. , v.36, (3), 1999, p. 688705

On the Stationarity and the Existence of Moment of Conditional Heteroskedastic ARMA Models

Source: Statistica Sinica. , v. 9, (4), 1999, Oct, p. 11191130

Limiting Distributions of Maximum Likelihood Estimators for Unstable Autoregressive MovingAverage Time Series with General Autoregressive Heteroscedastic Errors

Author(s): Ling, S.; Li, W.K.

Source: The Annals of Statistics. , v. 26, (1), 1998, Feb, p. 84125

Weak Convergence of the Sequential Empirical Processes of Residuals in Nonstationary Autoregressive Models

Source: The Annals of Statistics. , v. 26, (2), 1998, p. 741754

On Fractionally Integrated Autoregressive MovingAverage Time Series Models with Conditional Heteroscedasticity

Author(s): Ling, SQ; Li, WK

Source: Journal of the American Statistical Association. , v. 92, (439), September 1997, p. 11841194

Diagnostic checking of nonlinear multivariate time series with multivariate ARCH errors

Author(s): Ling, S.; Li, W.K.

Source: Journal of time series analysis. , v. 18, (5), 1997, p. 447464
Book chapter

Diagnostic checking for partially nonstationary multivariate ARMA Models

Author(s): Tai, M. T.; Yang, Y. X.; Ling, Shiqing

Source: Advances in Time Series Methods and Applications: The A. Ian McLeod Festschrift. , / Edited by Wai Keung Li, David A. Stanford, Hao Yu. New York : Springer, 2016, p. 115130, Volume 78 of the series Fields Institute Communications

SelfWeighted Guantile Estimation for Infinite Variance Autoregressive Models.

Source: Simulation and Modeling: Integrating Sciences and Technology for Effective Resource Management. , /Putchong Utayopas, Ussanee Purintrapiban, Voratas Kachitvichyanukul. Bangkok: Asian Institute of Technology, 2005, p. 626634

Determining an Optimal Window Size for Modelling Volatility

Author(s): Yew, X.C.H.; McAleer, M.; Ling, Shiqing

Source: Handbook of Applied Econometrics and Statistical Inference. , Edited by Ullah, A., Wan, A., Chaturvedi, A., Marcel Dekker. New York. 2002, p. 443467

Testing GARCH versus EGARCH

Author(s): Ling, Shiqing; McAleer, M.

Source: Statistics and Finance: An Interface. , / Edited by WaiSum Chan, Wai Keung Li, Howell Tong. World Scientific Publishing Company, 2000, p. 226244
Conference paper

MLE for changepoint in ARMAGARCH models with a changing drift

Source: PROBABILITY, FINANCE AND INSURANCE. , 2004, p. 174194

MLE for changepoint in ARMAGARCH models with a changing drift

Source: MODSIM 2003: INTERNATIONAL CONGRESS ON MODELLING AND SIMULATION, VOLS 14: VOL 1: NATURAL SYSTEMS, PT 1; VOL 2: NATURAL SYSTEMS, PT 2; VOL 3: SOCIOECONOMIC SYSTEMS; VOL 4: GENERAL SYSTEMS. , 2003, p. 12991304

