49. Li, D., Li, W.K. and Ling, S. (2011) On the least squares estimation of threshold autoregressive and moving-average models Statistics and its Interface 4, 183-196.
48. Li, D. and Ling, S. (2011) On the least squares estimation of multiple-regime threshold autoregressive models. To appear in Journal of Econometrics. PDF
47. Zhu, K. and Ling, S. (2011). The Global LAD Estimators for Finite/Infinite Variance ARMA(p, q) Models. To appear in Econometric Theory. PDF
46. Zhu, K. and Ling, S. (2011). Likelihood ratio test for the structural change of an AR(p) model to a threshold AR(p) model. To appear in Journal of Time Series Analysis. PDF
45. Zhu, K. and Ling, S. (2011). Global self-weighted and local quasi-maximum ex-ponential likelihood estimators for ARMA-GARCH /IGARCH models. To appear in Annals of Statistics. PDF
43. Berkes, I., Horvath, L., Ling, S. and Schauer, J. (2010) Testing for structural change of AR model to threshold AR models. To appear in Journal of Time Series Analysis, 18
42. Liu, W., Ling, S. and and Shao, Q.M. (2010) On non-stationary threshold autoregressive models. To appear in Bernoulli. PDF
41. Li, D., Ling, S. and Tong, H. (2011) Strict stationarity and ergodicity of threshold MA models. To appear in Bernoulli PDF
40. Ling, S. and McAleer, M. (2010) Strong consistency and asymptotic normality of estimates for time series models. Statistica Neerlandica, 64, 97-111. PDF
39. Berkes, I., Horv´ath, L. and Ling, S. (2009) Estimation in random coefficient autoregressive models. Journal of Time Series Analysis, 30, 395-416
38. Aue, A., Horvath, L., Huskova, M. and Ling, S (2009) On Distinguishing between Random Walk and Changes in the Mean Alternatives. Econometric Theory, 25, 411-441.
37. Ling, S.} (2009) Some Remarks on Professor Tong's Two Papers. Exploration of a Nonlinear Word: an Appreciation of Howell Tong's Contributions to Statistics, edited by K.S. Chan, World Scientific Publisher, pp. 289-295.
34. Tsay, R.S. and Ling, S. (2008) Canonical correlation analysis for the vector AR(1) model with ARCH innovations. Journal of Statistical and Planning Inference, 138, 2826-2836 .PDF
32. Ling, S. (2007) A double AR(p) model: structure and estimation. Statistica Sinica, 17, 161-175 .pdf
31. Ling, S. (2007) Testing for change-points in time series models and limiting theorems for NED sequences. Annals of Statistics, 35, 1213–1237. .AAn-6.pdf
30. Ling, S. (2007) Self-weighted and Local Quasi-maximum Likelihood Estimators for?ARMA -GARCH/IGARCH Models. Journal of Econometrics. 140, 849-873. JOE.pdf
29. Chan, N.H. and Ling, S. (2006) Empirical likelihood for GARCH models. Econometric Theory, 22, 402-428
28. Koul, H. and Ling, S . (2006) Fitting an error distribution in some heteroscedastic time series models. Annals of Statistics 34, 994-1012. Ann-5.pdf
27. Ling, S. and Tong, H. (2005) Testing a linear MA model against threshold MA models. Annals of Statistics 33, 2529-2552 . Ann-4.pdf
26. Ling, S. (2005). Self-weighted LAD estimation for infinite variance autoregressive models. Journal of the Royal Statistical Society: Series B. JRSS.pdf
25. Wong, H. and Ling, S. (2005) Mixed portmanteau tests for time series Journal of Time Series Analysis 26, 569-579 WL.pdf
24. Wong, H., Li, W.K. and Ling, S. (2005) A cointegrated conditional heteroscedastic model with applications. Ann. Inst. Statist. Math. 57, 83-103.
23. Ling, S. (2005) Self-weighted quantile estimation for infinite variance autoregressive models. Simulation and Modeling: Integrating Sciences and Technology for Effective Resource Management, Asian Institute of Technology, Bangkok, pp. 626-634.
22 . Ling, S. and McAleer, M. (2004) Regression quantiles for unstable autoregression model. Journal of Multivariate Analysis 89 (2), 304-328. rquu.pdf
21. Ling, S. (2004) Estimation and testing of stationarity for double autoregressive models. Journal of the Royal Statistical Society: Series B 66, 63-78. JRSS.pdf
20. Ling, S. and Peng, L. (2004) Hill's estimator for the tail index of ARMA model. Journal of Statistical and Planning Inference, 123, 279-293.
19. Ling, S.} (2004) MLE of change-point in ARMA-GARCH model with a changing drift. Probability, Finance and Insurance, edited by Tze Leung Lai, Hailiang Yang & Siu Pang Yung,World Scientific, Publisher.
18. Ling, S. (2003) Adaptive estimators and tests of stationary and non-stationary short and long memory ARIMA-GARCH models. Journal of the American Statistical Association 98, 955-967 JASA.pdf
17. Ling, S. and McAleer, M. (2003) Adaptive estimation in nonstationry ARMA models with GARCH noises. Annals of Statistics, 31, 642-674. Ann.pdf
16. Ling, S. and McAleer, M. (2003) Asymptotic theory for a vector ARMA-GARCH model. Econometric Theory, 19, 280-310 ET.pdf.
15. Ling, S. and Li, W.K. (2003) Asymptotic inference for unit root with GARCH (1,1) errors. Econometric Theory, 19, 541-564ET.pdf.
14. Ling, S., Li, W.K. and McAleer, M. (2003) Estimation and testing for a unit root process with GARCH (1,1) errors. Econometric Reviews, 22, 179 - 202.
13. Ling, S. and McAleer, M. (2002) Necessary and sufficient moment conditions for the GARCH(r,s) and asymmetric power GARCH($r,s$) models. Econometric Theory, 18, 722-729.
12. Ling, S. and McAleer, M. (2002) Stationarity and the existence of moments of a family of GARCH processes. Journal of Econometrics, 106, 109-117.
11. Li, W.K., Ling, S., and McAleer, M.} (2002) Recent theoretical results for time series models with GARCH errors. Journal of Economic Surveys, 16, 245-269.
10. Yew, X.C.H., McAleer, M. and Ling, S. (2002) Determining an Optimal Window Size for Modelling Volatility. Handbook of Applied Econometrics and Statistical Inference, edited by Ullah, A., Wan, A. and Chaturvedi, A., Marcel Dekker, New York. pp. 443-467 (Chapter 21).
9. Li, W. K., Ling, S. and Wong, H. (2001) Estimation for partially nonstationary multivariate autoregressive models with conditional heteroscedasticity. Biometrika 88, no. 4, 1135-1152. .Bio.pdf
8. Ling, S. and Li, W.K. (2001) Asymptotic properties of CSS estimation for nonstationary fractionally integrated autoregressive moving average models. Econometric Theory, 17, 738-764ET.pdf..
7. Ling, S. (1999 On probability properties of a double threshold ARMA conditional heteroskedasticity model. Journal of Applied Probability, 36 (3), 688-705.
6. Ling, S. and McAleer, M. (1999) Testing GARCH versus E-GARCH. Statistics and Finance: An Interface , edited by Chan, W.-S., Li, W.K., and Tong, H., World Scientific Publisher, pp. 226-244.
5. Ling, S.} (1999) On the stationarity and the existence of moments of conditional heteroskedastic ARMA models. Statistica Sinica, 9, 1119-1130.
4. Ling, S. (1998) Weak convergence of the sequential empirical processes of residuals in nonstationary autoregressive models. Annals of Statistics 26 (2), 741-754. Ann.pdf.
3. Ling, S. and Li, W.K. (1998) Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors. Annals of Statistics 26 (1), 84-125.Ann.pdf
2. Ling, S. and Li, W.K.} (1997) Diagnostic checking of nonlinear multivariate time series with multivariate ARCH errors. Journal of Time Series Analysis, 18, 447-464
1. Ling, S. and Li, W.K. (1997) Fractional autoregressive integrated moving-average time series conditional heteroskedasticity. Journal of the American Statistical Association, 92 (439), 1184-1194.JASA.pdf