10.  RGC-HKUST602609(Sole Principal Investigator) in progress
                Title: A general goodness-of-fit test approach for time series models.
                 Amount: HK.
                 Period: 12/2009-11/2012.

    9.  RGC-HKUST601607(Sole Principal Investigator)  Completed
                Title: On a first-order multiple threshold double autoregressive model: structure and estimation.
                Amount: HK $570,000. Period: 12/2007-11/2010.

    8.  RGC-HKUST6428/06H(Principal Investigator) in progress
                Title: Testing change of structural forms of dynamic systems in time series. (Co-I: L. Horvath)
                 Amount: HK $545,446. Period: 12/2006-11/2008.

    7.  RGC-703606/06P(Co-Investigator) in progress\\
                Title: Statistical inference for time series with threshold moving average structure. (PI: W.K. Li and C-I: H. Tong)
                Amount: HK $557,690. Period: 12/2006-11/2009.

   6.   RGC-HKUST6022/05P (Principal Investigator) in progress\\
                Title: The Self-weighted LAD estimation for infinite variance time  series model. (Co-I: H.L. Koul and W.K. Li)
                Amount: HK $231,000. Period: 07/2005-06/2008.

   5.   RGC-703104/04P(Co-Investigator) in progress\\
                Title: Least absolute deviations estimation and inferences for time series models with conditional heteroscedastic errors. (PI: W.K.  Li)
                Amount: HK $318,000. Period: 07/2004-06/2007.

   4.  RGC-HKUST6273/03H(Sole Principal Investigator) in progress
                  Title: Efficient and adaptive estimation and testing of cointegration time series with heteroscadasticity: Theory and applications.
                  Amount: HK $474,000. Period: 07/2003-06/2006.
 
   3.  RGC HKUST6113/02P (Sole Principal Investigator) Completed
                Title: Estimating structural change fractionally integrated ARMA models with conditional heteroscedasticity
                Amount: HK$394,000. {Period}: 07/2002-06/2004

   2.  DAG01/02.SC16 (Sole Principal Investigator) Completed

              Title: Maximum likelihood estimation for structural change ARMA-GARCH models
              Amount: HK $30,000. Period: 01/2002-06/2003.
    
  1.   DAG00/01.SC31 (Sole Principal Investigator) Completed
               Title: Estimation and testing for non-stationary long memory time series
               Amount: HK $72,600. Period: 01/2001-06/2002.