Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors | 69 |

Some statistical properties of the autopersistence functions and autopersistence graphs of a binary autoregressive time series | 100 |

A method of estimating the noise level in a chaotic time series | 219 |

Estimation procedures for categorical survey data with nonignorable nonresponse | 57 |

Arma modelling with non-Gaussian innovations | 156 |

Test for homogeneity in gamma mixture models using likelihood ratio | 48 |

Tests for seasonal differencing with an unknown break-point | 194 |

Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence | 202 |

An improved multivariate Markov chain model for credit risk | 155 |

Diagnostic checking of the vector multiplicative error model | 68 |

Global Statistical Collaboration: Opportunities, Challenges and Future | 36 |

On the residual autocorrelation of the autoregressive conditional duration model | 192 |

Variable screening for survival data in the presence of heterogeneous censoring | 36 |

Forecasting high-dimensional realized volatility matrices using a factor model | 42 |

A note on the estimation of extreme value distributions using maximum product of spacings | 44 |

Diagnostic checking of nonlinear multivariate time series with multivariate ARCH errors | 195 |

A stochastic volatility model with Markov switching | 274 |

On the estimation and diagnostic checking of the ARFIMA-HYGARCH model | 157 |

On fractionally differenced periodic processes | 97 |

On the asymptotic standard errors of residual autocorrelations in nonlinear time series modelling | 145 |

Modeling Zero-Inflated Continuous Data with Varying Dispersion | 119 |

Buffered threshold autoregressive time series models | 99 |

Test for homogeneity in gamma mixture models using likelihood ratio | 61 |

A Time Series Model for Realized Volatility Matrices Based on the Matrix-F Distribution | 84 |

Distribution of residual autocorrelations in multivariate autoregressive index models | 60 |

On the compound binomial risk model with delayed claims and randomized dividends | 97 |

On Mixture Double Autoregressive Time Series Models | 88 |

A Vulnerability Index for Predicting Extreme Market Events in Hong Kong | 121 |

On a threshold autoregression with conditional heteroscedastic variances | 219 |

Time series insurance risk models with dependence structures | 40 |

Multivariate modelling of the autoregressive random variance process | 173 |

Fractional time series modelling | 142 |

Some lagrange multiplier tests for seasonal differencing | 117 |

On a double-threshold autoregressive heteroscedastic time series model | 214 |

Deriving sediment quality guidelines from field-based species sensitivity distributions | 267 |

Modeling insurance claims via a mixture exponential model combined with peaks-over-threshold approach | 85 |

Testing a linear time series model against its threshold extension | 151 |

Portmanteau test for conditional heteroscedasticity using ranks of squared residuals | 129 |

Self-Excited Threshold Poisson Autoregression | 77 |

A Black–Litterman approach to correlation stress testing | 100 |

On a dynamic mixture GARCH model | 190 |

Asymptotic inference for nonstationary fractionally integrated autoregressive moving-average models | 199 |

Conditional quantile estimation for hysteretic autoregressive models | 25 |

On a dispersion model with Pearson residual responses | 73 |

Asymptotic inference for unit root processes with GARCH(1,1) errors | 155 |

On diagnostic checking of the autoregressive conditional intensity model | 136 |

An adaptive estimation of dimension reduction space | 130 |

Modelling algal blooms using vector autoregressive model with exogenous variables and long memory filter | 111 |

Modelling subset multivariate ARCH model via the AIC principle | 187 |

Zero-inflated Poisson regression mixture model | 93 |

Model selection for generalized linear models with factor-augmented predictors | 61 |

The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier | 231 |

Financial data mining using flexible ICA-GARCH models | 170 |

A simple multivariate ARCH model specified by random coefficients | 222 |

Time series models based on generalized linear models: Some further results | 215 |

On a mixture autoregressive model | 198 |

Fuzzy Hidden Markov-Switching Portfolio Selection with Capital Gain Tax | 85 |

Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity | 33 |

Analysis of the Gerber-Shiu function for compound Poisson models with interest and a constant dividend barrier | 42 |

On the use of the predictive least squares criterion in time series with changing conditional variance | 136 |

On the estimation and testing of functional-coefficient linear models | 170 |

Extreme Values Identification in Regression Using a Peaks-Over-Threshold Approach | 95 |

Double Generalized Threshold Models with constraint on the dispersion by the mean | 67 |

Advances in Time Series Methods and Applications: The A. Ian McLeod Festschrift | 110 |

Mixtures of nonparametric autoregressions | 113 |

Deriving field-based sediment quality guidelines from the relationship between species density and contaminant level using a novel nonparametric empirical Bayesian approach | 73 |

On the empirical influence functionof the portmanteau statistic in AR (1) process | 107 |

Diagnostic checking arma time series models using squared-residual autocorrelations | 388 |

Value at risk estimation using independent component analysis-generalized autoregressive conditional heteroscedasticity (ICA-garch) models | 206 |

Discussion on the paper 'Analyzing short time series data from periodically fluctuating rodent populations by threshold models: a nearest block bootstrap approach' | 165 |

A threshold approach for peaks-over-threshold modeling using maximum product of spacings | 132 |

On Some Time Series Models for Realized Volatility Matrices | 73 |

On Buffered Autoregressive Models with Conditional Heteroscedasticity | 33 |

Small, C. & McLeish, D.L., Hilbert Space Methods in probability and statistical inference (Book review) | 112 |

On the squared residual autocorrelations in non-linear time series with conditional heteroskedasticity | 273 |

A new hyperbolic GARCH model | 109 |

Modelling asymmetry in stock returns by a threshold autoregressive conditional heteroscedastic model | 121 |

A Note On Diagnostic Checking Of The Double Autoregressive Model | 144 |

Distribution of residual autocorrelations in multivariate ARMA time series models | 145 |

A New Pearson-Type QMLE for Conditionally Heteroscedastic Models | 99 |

Evolutionary product unit based neural networks for hydrological time series analysis | 212 |

Ensemble Kalman filter with nonlinear updating equation | 34 |

The generalized conditional autoregressive Wishart model for multivariate stochastic volatility | 64 |

Some recent developments on conditional variance models | 93 |

Ammonia water quality criteria for saltwater: a revisit | 144 |

Seemingly unrelated intervention time series model for effectiveness evaluation of large scale environmental remediation | 39 |

Least absolute deviation estimation for unit root processes with garch errors | 191 |

A multivariate threshold varying conditional correlations model | 205 |

On Mixture Memory Garch Models | 108 |

A robust goodness-of-fit test for generalized autoregressive conditional heteroscedastic models | 117 |

Diagnostic Checking for Weibull Autoregressive Conditional Duration Models | 111 |

On a mixture vector autoregressive model | 194 |

Interactive hidden Markov models and their applications | 151 |

A bootstrapped spectral test for adequacy in weak ARMA models | 111 |

A goodness-of-fit test for single-index models | 135 |

A goodness-of-fit test in robust time series modelling | 168 |

Deriving sediment quality guidelines from field-based species sensitivity distributions: an update | 107 |

Time Series: Advanced methods | 187 |

Determining the structure of a radial basis function network for prediction of nonlinear hydrological time series | 203 |

On extended partially linear single-index models | 222 |

A threshold stochastic volatility model | 343 |

A note on kernel estimation in integrated time series | 113 |

On Buffered GARCH Models | 42 |

Seemingly unrelated intervention time series models for effectiveness evaluation of large scale environmental remediation | 68 |

Asymptotic Theory on the Least Squares Estimation of Threshold Moving-Average Models | 63 |

On a spiked model for large volatility matrix estimation from noisy high-frequency data | 49 |

Model Selection for RBF Network via Generalized Degree of Freedom | 74 |

Some results on cointegration with random coefficients in the error correction form: Estimation and testing | 203 |

Multivariate modelling of volatility by the autoregressive random variance process | 128 |

Hysteretic autoregressive time series models | 99 |

Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity | 66 |

The Autoregressive Conditional Marked Duration Model: Statistical Inference to Market Microstructure | 127 |

Statistics and finance : an interface : proceedings of the Hong Kong International Workshop on Statistics and Finance, Centre of Financial Time Series, The University of Hong Kong, 4-8 July 1999 | 133 |

On Hysteretic Time Series with Financial Applications | 28 |

On the surprising explanatory power of higher realized moments in practice | 31 |

With a randomized dividend strategy in the compound binomial risk processes with delayed claims | 110 |

On the Use of Predictive Least Square Criterion in Economic Time Series | 121 |

On Buffered Threshold Garch Models | 83 |

Deriving field-based sediment quality guidelines from the relationship between species density and contaminant level using a nonparametric empirical Bayesian approach | 62 |

Testing for threshold autoregression with conditional heteroscedasticity | 210 |

On a rescaled fractionally integrated GARCH model | 48 |

Modified correlation entropy estimation for a noisy chaotic time series | 168 |

On some models for value-at-risk | 172 |

Advances in Statistics, Probability and Actuarial Science | 96 |

A note on the estimation of extreme value distributions using maximum product of spacings | 136 |

Testing for the Buffered Autoregressive Processes | 104 |

Robust multiple time series modelling | 165 |

On fractionally integrated autoregressive moving-average time series models with conditional heteroscedasticity | 204 |

Joint modeling of cointegration and conditional heteroscedasticity with applications | 185 |

The autoregressive conditional intensity model and its diagnostic checking | 26 |

A single-stage approach for cointegration-based pairs trading | 97 |

Formulating hypothetical scenarios in correlation stress testing via a Bayesian framework | 63 |

GPS trajectory data segmentation based on probabilistic logic | 108 |

On the threshold hyperbolic GARCH models | 142 |

Ultimate ruin probability for a time-series risk model with dependent classes of insurance business | 119 |

Threshold variable selection using nonparametric methods | 111 |

A new method for estimating subgroup means under misclassification | 196 |

Diagnostic Checks in Time Series | 150 |

On a logistic mixture autoregressive model | 250 |

On Time Series with a Buffer - AR and GARCH Models | 24 |

An empirical study of volatility in seven Southeast Asian stock markets using ARV models | 207 |

On the autopersistence functions and the autopersistence graphs of binary autoregressive time series | 195 |

Introductory Time Series with R (Book Review) | 88 |

Estimation for partially nonstationary multivariate autoregressive models with conditional heteroscedasticity | 181 |

Testing for threshold moving average with conditional heteroscedasticity | 20 |

On a multivariate conditional heteroscedastic model | 204 |

The akaike information criterion in threshold modelling: Some empirical evidences | 48 |

On Single-Index Coefficient Regression Models | 234 |

On the autocorrelation structure and identification of some bilinear time series | 131 |

A robust goodness-of-ﬁt test for generalized autoregressive conditional heteroscedastic models | 56 |

A note on the corrected Akaike information criterion for threshold autoregressive models | 237 |

On a mixture GARCH time-series model | 200 |

Estimation of random coefficient autoregressive process: an empirical Bayes Approach | 132 |

Bayesian unit-root testing in stochastic volatility models | 216 |

Single-index volatility models and estimation | 197 |

Price changes and trading volume relationship in the Hong Kong stock market | 71 |

Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach | 190 |

Testing for threshold moving average with conditional heteroscedasticity | 149 |

Modeling default data via an interactive hidden markov model | 231 |

On time series with randomized unit root and randomized seasonal unit root | 184 |

Modeling threshold conditional heteroscedasticity with regime-dependent skewness and kurtosis | 210 |

Radial basis function network for prediction of hydrological time series | 114 |

Hydrologic classification system: A data reconstruction approach | 126 |

Neighbourhood selection for local modelling and prediction of hydrological time series | 221 |

Distribution of the cross-correlations of squared residuals in ARIMA models | 195 |

A smoothed bootstrap test for independence based on mutual information | 182 |

Testing model adequacy for some Markov regression models for time series | 183 |

Time Varying Spatio-temporal Covariance Models | 54 |

On the least squares estimation of threshold autoregressive moving-average models | 137 |

Applications of time-series models to ruin theory with dependent classes of business | 126 |

Recent theoretical results for time series models with GARCH errors | 207 |

F-tests for seasonal differencing with a break-point | 216 |

On buffered threshold GARCH models | 70 |

Ian McLeod’s Contribution to Time Series Analysis—A Tribute | 107 |

ON SOME MATÉRN COVARIANCE FUNCTIONS FOR SPATIO-TEMPORAL RANDOM FIELDS | 72 |

Asymptotic behavior of bandwidth selected by the cross-validation method for local polynomial fitting | 78 |

Derivation of better ammonia water quality criteria for saltwater | 130 |

On Buffered Time Series Models | 36 |

Testing for double threshold autoregressive conditional heteroscedastic model | 180 |

A Bootstrapped Spectral Test for Adequacy in Weak ARMA Models | 33 |

Peter Hall: HKU and Time series | 31 |

On the estimation of an instantaneous transformation for time series | 198 |

Estimation of nonlinear time series with conditional heteroscedastic variances by iteratively weighted least squares | 181 |

Buffered autoregressive models with conditional heteroscedasticity: An application to exchange rates | 88 |

On a Mixture Autoregressive Conditional Heteroscedastic Model | 220 |

Detecting and diagnostic checking multivariate conditional heteroscedastic time series models | 152 |

Testing model adequacy for dynamic panel data with intercorrelation | 196 |

Rainfall data simulation by hidden Markov model and discrete wavelet transformation | 157 |

Basket trading under co-integration with the logistic mixture autoregressive model | 305 |

Analysis of an insurance risk model with thinning dependence and common shock | 127 |

Hydrologic complexity and classification: A simple data reconstruction approach | 171 |

An independent component ordering and selection procedure based on the MSE criterion | 182 |

A time-series risk model with constant interest for dependent classes of business | 173 |

Modeling panel time series with mixture autoregressive model | 98 |

Noise level estimation for a chaotic time series | 174 |

Forecasting exchange rate volatility using autoregressive random variance model | 218 |

Score tests for hyperbolic GARCH models | 245 |