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Showing results 1 to 20 of 195
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Title
Author(s)
Issue Date
A Black–Litterman approach to correlation stress testing
Journal:
Quantitative Finance
NG, FC
Li, WK
Yu, PLH
2014
A Bootstrapped Spectral Test for Adequacy in Weak ARMA Models
Proceeding/Conference:
The IMS-China Internatioanl Conference on Statistics and Probability
Li, WK
Zhu, K
2015
A bootstrapped spectral test for adequacy in weak ARMA models
Journal:
Journal of Econometrics
Zhu, K
Li, WK
2015
A new hyperbolic GARCH model
Journal:
Journal of Econometrics
Li, M
Li, WK
Li, G
2015
A New Pearson-Type QMLE for Conditionally Heteroscedastic Models
Journal:
Journal of Business and Economic Statistics
Zhu, K
Li, WK
2015
A note on the estimation of extreme value distributions using maximum product of spacings
Book:
Time Series and Related Topics: In Memory of Ching-Zong Wei
Wong, TST
Li, WK
2006
A note on the estimation of extreme value distributions using maximum product of spacings
Wong, ST
Li, WK
2006
A robust goodness-of-fit test for generalized autoregressive conditional heteroscedastic models
Journal:
Biometrika
Zheng, Y
Li, WK
Li, G
2018
A robust goodness-of-fit test for generalized autoregressive conditional heteroscedastic models
Proceeding/Conference:
Seventh Singapore Conference on Statistical Science
Li, WK
2017
A single-stage approach for cointegration-based pairs trading
Journal:
Finance Research Letters
LAW, KF
Li, WK
Yu, PLH
2018
A Time Series Model for Realized Volatility Matrices Based on the Matrix-F Distribution
Proceeding/Conference:
International Conference on Econometrics and Statistics (EcoSta)
Li, WK
Zhou, J
Zhu, K
2017
An adaptive estimation of dimension reduction space
Journal:
Journal of the Royal Statistical Society. Series B: Statistical Methodology
Xia, Y
Tong, H
Li, WK
Zhu, LX
2002
The akaike information criterion in threshold modelling: Some empirical evidences
Journal:
Lecture Notes in Control and Information Sciences
Li, WK
1988
Ammonia water quality criteria for saltwater: a revisit
Proceeding/Conference:
Society of Environmental Toxicology and Chemistry (SETAC) Europe Annual Meeing
Kwok, WHKP
Leung, KMY
Lui, CSG
Li, WK
Lam, PKS
Lee, JHW
2006
Analysis of an insurance risk model with thinning dependence and common shock
Journal:
Journal of Actuarial Practice
Wan, LM
Yuen, KC
Li, WK
2006
Analysis of the Gerber-Shiu function for compound Poisson models with interest and a constant dividend barrier
Yuen, KC
Wang, G
Li, WK
2006
Applications of time-series models to ruin theory with dependent classes of business
Proceeding/Conference:
ISI World Statistics Congress of the International Statistical Institute
Wat, KP
Li, WK
Yuen, KC
2011
Arma modelling with non-Gaussian innovations
Journal:
Journal of Time Series Analysis
Li, WK
McLeod, AI
1988
Asymptotic behavior of bandwidth selected by the cross-validation method for local polynomial fitting
Journal:
Journal of Multivariate Analysis
Xia, Y
Li, WK
2002
Asymptotic inference for nonstationary fractionally integrated autoregressive moving-average models
Journal:
Econometric Theory
Ling, S
Li, WK
2001
