Department of Mathematics, HKUST  

  LING, Shi-Qing   凌仕卿

  PhD Univ of Hong Kong

  Professor

Office: Room 3460  

Telephone: 7459  

Email: maling@ust.hk  

Home Page:
https://www.math.ust.hk/~maling  

Research Interests

  • Large sample theory; empirical processes; nonstationary time series; nonlinear time series; long memory time series; econometrics

Awards & Honors

  • ET Lecture: The 14th International Symposium on Econometric Theory and Applications (SETA). Sydney, Australia, 31/05-01/06, 2018.  (2018)
  • Econometric Theory Plura Scripsit Award, awarded by Econometric Theory  (2017)
  • Biennial Medal and Fellowship by The Modelling and Simulation Society of Australia and New Zealand  (2013)

       Selected Publications

Full Publication List [HKUST Scholarly Publications]  

Article   

  1. The ZD-GARCH Model: A New Way to Study Heteroscedasticity  (2018)
    • Journal of Econometrics. , v. 202, (1), January 2018, p. 1-17

  2. Inference for Heavy-tailed and Multiple-Threshold Double Autoregressive Models  (2017)
    • Journal of Business and Economic Statistics. , v. 35, (2), April 2017, p. 318-333

  3. Self-weighted LAD-Based Inference for Heavy-tailed Threshold Autoregressive Models  (2017)
    • Journal of Econometrics. , v. 197, (2), April 2017, p. 368-381

  4. Estimation of Change-Points in Linear and Nolinear Time Series Models  (2016)
    • Econometric Theory. , v. 32, (2), April 2016, p. 402-430

  5. On a Threshold Double Autoregressive Model  (2016)
    • Journal of Business and Economic Statistics. , v. 34, (1), January 2016, p. 68-80

  6. LADE-Based Inference for ARMA Models With Unspecified and Heavy-Tailed Heteroscedastic Noises  (2015)
    • Journal of the American Statistical Association. , v. 110, (510), April 2015, p. 784-794

  7. Asymptotic inference in multiple-threshold double autoregressive models  (2015)
    • Journal of Econometrics. , v. 189, (2), December 2015, p. 415-427

  8. On functional limits of short- and long-memory linear processes with GARCH(1,1) noises  (2015)
    • Stochastic Processes and their Applications. , v. 125, (2), 2015, p. 482-512

  9. Model-based pricing for financial derivatives  (2015)
    • Journal of Econometrics. , v. 187, (2), August 2015, p. 447-457

  10. Asymptotic Inference for Ar Models with Heavy-Tailed G-Garch Noises  (2015)
    • Econometric Theory. , v. 31, (4), 2014, p. 880-890

  11. INFERENCE FOR A SPECIAL BILINEAR TIME-SERIES MODEL  (2015)
    • Journal of Time Series Analysis. , v. 36, (1), January 2015, p. 61-66

  12. Factor double autoregressive models with application to simultaneous causality testing  (2014)
    • Journal of Statistical Planning and Inference. , v. 148, May 2014, p. 82-94

  13. Non-stationarity and quasi-maximum likelihood estimation on a double autoregressive model  (2014)
    • Journal of Time Series Analysis. , v. 35, (3), 2014, p. 189-202

  14. Comment  (2014)
    • Journal of Business and Economic Statistics. , v. 32, (2), April 2014, p. 202-203

  15. On Conditionally Heteroscedastic AR Models with Thresholds  (2014)
    • Statistica Sinica. , v. 24, (2), April 2014, p. 625-652

  16. Comment of "Principal Volatility Component Analysis" by Hu and Tsay  (2014)
    • Journal of Business and Economic Statistics. , v. 32, (2), April 2014, p. 165

  17. Quasi-maximum exponential likelihood estimators for a double AR(p) model  (2013)
    • Statistica Sinica. , v. 23, (2), April 2013, p. 251-270

  18. Diagnostic checking for non-stationary ARMA models with an application to financial data  (2013)
    • North American Journal of Economics and Finance. , v. 26, December 2013, p. 624-639

  19. ASYMPTOTIC THEORY ON THE LEAST SQUARES ESTIMATION OF THRESHOLD MOVING-AVERAGE MODELS  (2013)
    • Econometric Theory. , v. 29, (3), June 2013, p. 482-516

  20. Likelihood ratio tests for the structural change of an AR(p) model to a Threshold AR(p) model  (2012)
    • Journal of time series analysis. , v. 33, (2), March 2012, p. 223-232

  21. On moving-average models with feedback  (2012)
    • Bernoulli. , v. 18, (2), May 2012, p. 735-745

  22. On the least squares estimation of multiple-regime threshold autoregressive models  (2012)
    • Journal of econometrics. , v. 167, (1), 2012, p. 240-253

  23. The global weighted LAD estimators for finite/infinite variance ARMA (p, q) models  (2012)
    • Econometric Theory. , v. 28, (5), 2012, p. 1065-1086

  24. Testing for structural change of AR model to threshold AR model  (2011)
    • Journal of time series analysis. , v. 32, (5), September 2011, p. 547-565

  25. On non-stationary threshold autoregressive models  (2011)
    • Bernoulli. , v. 17, (3), August 2011, p. 969-986

  26. On the Least Squares Estimation of Threshold Autoregressive and Moving-average Models  (2011)
    • Statistics and Its Interface. , v. 4, (2), 2011, p. 183-196

  27. Score Based Goodness-of-fit Tests for Time Series  (2011)
    • Statistica Sinica. , v. 21, (4), 2011, p. 1807-1829

  28. Global Self-weighted and Local Quasi-maximum Exponential Likelihood Estimators for ARMA–GARCH/IGARCH Models  (2011)
    • The Annals of Statistics. , v. 39, (4), August 2011, p. 2131-2163

  29. A General Asymptotic Theory for Time-series Models  (2010)
    • Statistica Neerlandica. , v. 64, (1), 2010, FEB, p. 97-111

  30. On Distinguishing between Random Walk and Change in the Mean Alternatives  (2009)
    • Econometric theory. , v. 25, (2), 2009, APR, p. 411-441

  31. Estimation in Nonstationary Random Coefficient Autoregressive Models  (2009)
    • Journal of time series analysis. , v. 30, (4), 2009, p. 395-416

  32. Canonical Correlation Analysis for the Vector AR(1) Model with ARCH Innovations  (2008)
    • Journal of statistical planning and inference. , v. 138, (9), 2008, SEP 1, p. 2826-2836

  33. Asymptotic inference for a nonstationary double AR(1) model  (2008)
    • Biometrika. , v. 95, (1), 2008, MAR, p. 257-263

  34. Residual Empirical Processes for Long and Short Memory Time Series  (2008)
    • The Annals of Statistics. , v. 36, (5), 2008, OCT, p. 2453-2470

  35. A Double AR(p) Model: Structure and Estimation  (2007)
    • Statistica Sinica. , v. 17, (1), 2007, JAN, p. 161-175

  36. Ergodicity and Invertibility of Threshold Moving-average Models  (2007)
    • Bernoulli. , v. 13, (1), 2007, FEB, p. 161-168

  37. Testing for Change Points in Time Series Models and Limiting Theorems for NED Sequences  (2007)
    • The Annals of Statistics. , v. 35, (3), 2007, JUN, p. 1213-1237

  38. Self-weighted and Local Quasi-maximum Likelihood Estimators for ARMA-GARCH/IGARCH Models  (2007)
    • Journal of econometrics. , v. 140, (2), 2007, OCT, p. 849-873

  39. Fitting an Error Distribution in Some Heteroscedastic Time Series Models  (2006)
    • The Annals of Statistics. , v. 34, (2), 2006, APR, p. 994-1012

  40. Empirical Likelihood for GARCH Models  (2006)
    • Econometric theory. , v. 22, (3), 2006, JUN, p. 403-428

  41. Mixed Portmanteau Tests for Time-series Models  (2005)
    • Journal of time series analysis. , v. 26, (4), 2005, JUL, p. 569-579

  42. Self-weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models  (2005)
    • Journal OF The Royal STATISTICAL Society Series b-statistical Methodology. , v. 67, (3), 2005, p. 381-393

  43. Joint Modeling of Cointegration and Conditional Beteroscedasticity with Applications  (2005)
    • Annals of the Institute of Statistical Mathematics. , v. 57, (1), 2005, MAR, p. 83-103

  44. Testing for a Linear MA Model Against Threshold MA Models  (2005)
    • The Annals of Statistics. , v. 33, (6), 2005, DEC, p. 2529-2552

  45. Regression Quantiles for Unstable Autoregressive Models  (2004)
    • Journal of multivariate analysis. , v. 89, (2), 2004, MAY, p. 304-328

  46. Hill's Estimator for the Tail Index of an ARMA Model  (2004)
    • Journal of statistical planning and inference. , v. 123, (2), 2004, JUL 1, p. 279-293

  47. Estimation and Testing Stationarity for Double-autoregressive Models  (2004)
    • Journal OF The Royal STATISTICAL Society Series b-statistical Methodology. , v. 66, (1), 2004, Feb, p. 63-78

  48. Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence  (2003)
    • Econometric Reviews. , v. 22, (2), 2003, p. 179-202

  49. Adaptive Estimators and Tests of Stationary and Nonstationary Short- and Long-Memory ARFIMA–GARCH Models  (2003)
    • Journal of the American Statistical Association. , v. 98, (464), 2003, DEC, p. 955-967

  50. On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors  (2003)
    • The Annals of Statistics. , v. 31, (2), 2003, p. 642-674

  51. Asymptotic Inference for Unit Root Processes with GARCH(1,1) Errors  (2003)
    • Econometric theory. , v. 19, (4), 2003, AUG, p. 541-564

  52. Asymptotic Theory for a Vector ARMA-GARCH Model  (2003)
    • Econometric theory. , v. 19, (2), 2003, APR, p. 280-310

  53. Stationarity and the Existence of Moments of a Family of GARCH Processes  (2002)
    • Journal of econometrics. , v. 106, (1), 2002, JAN, p. 109-117

  54. Recent Theoretical Results for Time Series Models with GARCH Errors  (2002)
    • Journal of economic surveys. , v. 16, (3), 2002, p. 245-270

  55. Necessary and Sufficient Moment Conditions for the GARCH(r,s) and Asymmetric Power GARCH(r,s) Models  (2002)
    • Econometric theory. , v. 18, (3), 2002, JUN, p. 722-729

  56. Estimation for Partially Nonstationary Multivariate Autoregressive models with Conditional Heteroscedasticity  (2001)
    • Biometrika. , v. 88, (4), 2001, DEC, p. 1135-1152

  57. Asymptotic Inference for Nonstationary Fractionally Integrated Autoregressive Moving-Average Models  (2001)
    • Econometric theory. , v. 17, (4), 2001, AUG, p. 738-764

  58. On the Probabilistic Properties of a Double Threshold ARMA Conditional Heteroskedastic Model  (1999)
    • Journal of Applied Probability. , v.36, (3), 1999, p. 688-705

  59. On the Stationarity and the Existence of Moment of Conditional Heteroskedastic ARMA Models  (1999)
    • Statistica Sinica. , v. 9, (4), 1999, Oct, p. 1119-1130

  60. Limiting Distributions of Maximum Likelihood Estimators for Unstable Autoregressive Moving-Average Time Series with General Autoregressive Heteroscedastic Errors  (1998)
    • The Annals of Statistics. , v. 26, (1), 1998, Feb, p. 84-125

  61. Weak Convergence of the Sequential Empirical Processes of Residuals in Nonstationary Autoregressive Models  (1998)
    • The Annals of Statistics. , v. 26, (2), 1998, p. 741-754

  62. On Fractionally Integrated Autoregressive Moving-Average Time Series Models with Conditional Heteroscedasticity  (1997)
    • Journal of the American Statistical Association. , v. 92, (439), September 1997, p. 1184-1194

  63. Diagnostic checking of nonlinear multivariate time series with multivariate ARCH errors  (1997)
    • Journal of time series analysis. , v. 18, (5), 1997, p. 447-464

Conference paper   

  1. MLE for change-point in ARMA-GARCH models with a changing drift  (2004)
    • PROBABILITY, FINANCE AND INSURANCE. , 2004, p. 174-194

  2. MLE for change-point in ARMA-GARCH models with a changing drift  (2003)
    • MODSIM 2003: INTERNATIONAL CONGRESS ON MODELLING AND SIMULATION, VOLS 1-4: VOL 1: NATURAL SYSTEMS, PT 1; VOL 2: NATURAL SYSTEMS, PT 2; VOL 3: SOCIO-ECONOMIC SYSTEMS; VOL 4: GENERAL SYSTEMS. , 2003, p. 1299-1304

Book chapter   

  1. Diagnostic checking for partially nonstationary multivariate ARMA Models  (2016)
    • 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. 115-130, Volume 78 of the series Fields Institute Communications

  2. Self-Weighted Guantile Estimation for Infinite Variance Autoregressive Models.  (2005)
    • Simulation and Modeling: Integrating Sciences and Technology for Effective Resource Management. , /Putchong Utayopas, Ussanee Purintrapiban, Voratas Kachitvichyanukul. Bangkok: Asian Institute of Technology, 2005, p. 626-634

  3. Determining an Optimal Window Size for Modelling Volatility  (2002)
    • Handbook of Applied Econometrics and Statistical Inference. , Edited by Ullah, A., Wan, A., Chaturvedi, A., Marcel Dekker. New York. 2002, p. 443-467

  4. Testing GARCH versus E-GARCH  (1998)
    • Statistics and Finance: An Interface. , / Edited by Wai-Sum Chan, Wai Keung Li, Howell Tong. World Scientific Publishing Company, 2000, p. 226-244