Edit Profile (opens in new tab) Li, Wai Keung Co-Author Distance Author ID: li.wai-keung Published as: Li, W. K.; Li, Wai Keung; Li, Wai-Keung; Li, Wai K. more...less Homepage: https://saasweb.hku.hk/staff/hrntlwk/ External Links: MGP · ORCID Documents Indexed: 133 Publications since 1981, including 1 Book 3 Contributions as Editor Co-Authors: 91 Co-Authors with 118 Joint Publications 2,732 Co-Co-Authors all top 5 Co-Authors 12 single-authored 17 Li, Guodong 13 Yu, Philip Leung Ho 9 Ling, Shiqing 8 Xia, Yingcun 7 Tong, Howell 6 Hui, Yer Van 6 Wong, Heung 6 Zhu, Ke 5 Fong, Pak Wing 5 Yuen, Kam Chuen 4 Jayawardena, A. W. 4 Mak, Tak K. 4 Wong, Tony Siu Tung 4 Xu, Pengcheng 4 Yao, Jianfeng 3 Li, Dong 3 McLeod, Angus Ian 3 Shen, Keren 3 Wang, Chao 3 Zhang, Zhiqiang 3 Zheng, Yao 2 An, Hongzhi 2 Chan, Kung-Sik 2 Cheng, Xixin 2 Ching, Wai-Ki 2 Ip, Ryan H. L. 2 Jiang, Feiyu 2 Kwan, Wilson C. 2 Kwok, Simon Sai Man 2 Li, Muyi 2 Lo, Pak Hang 2 Ng, F. C. 2 Ng, Tze-Man 2 Siu, Tak Kuen 2 Wan, Lai Mei 2 Wang, Guochang 2 Wong, Chun Shan 2 Wu, Edmond HaoCun 2 Wu, K. Y. K. 1 Brockwell, Peter J. 1 Chan, Wai-Sum 1 Cui, Yan 1 Dan, Ralescu 1 Davis, Richard A. 1 Franke, Jürgen 1 Fu, Bo 1 Fung, Eric S. 1 Fung, Wing-Kam 1 Guan, Bo 1 Guo, Sini 1 Jin, Shusong 1 Kuk, Anthony Yung Cheung 1 Kwan, Wingfai 1 Kwok, Michael C. O. 1 Law, Keith K. F. 1 Lee, Andy H. 1 Li, Degao 1 Li, Limin 1 Li, Tang 1 Li, Xiang 1 Li, Yang 1 Lim, Hwa Kyung 1 Ling, Shiquing 1 Liu, Heng 1 Liu, Jian 1 Lo, Chan-Lam 1 McAleer, Michael 1 Ng, Michael Kwok-Po 1 So, Mike K. P. 1 Stanford, David A. 1 Stockis, Jean-Pierre 1 Tadjuidje-Kamgaing, Joseph 1 Tsay, Ruey S. 1 Wang, Guojing 1 Wong, Chi Song 1 Wong, Tong Siu Tung 1 Wu, Jianhong 1 Xia, Qiang 1 Xu, Jinfeng 1 Yao, Qiwei 1 Yau, C. W. 1 Ying, Zhiliang 1 Yu, Hao 1 Zeng, Ruochen 1 Zhang, Dixin 1 Zhang, Liwen 1 Zhang, Zhiwen 1 Zhou, Jiayuan 1 Zhou, Xuan 1 Zhu, Fukang 1 Zhu, Lixing all top 5 Serials 18 Biometrika 17 Statistica Sinica 13 Journal of Time Series Analysis 12 Computational Statistics and Data Analysis 6 Statistics and Its Interface 4 Journal of the American Statistical Association 4 Journal of Statistical Computation and Simulation 4 Econometric Theory 4 Quantitative Finance 3 The Canadian Journal of Statistics 3 Journal of Econometrics 3 Insurance Mathematics & Economics 3 Econometric Reviews 2 Annals of the Institute of Statistical Mathematics 2 Journal of Statistical Planning and Inference 2 Science in China. Series A 2 Communications in Statistics. Simulation and Computation 2 Communications in Statistics. Theory and Methods 2 Chaos 2 Journal of the Royal Statistical Society. Series B. Statistical Methodology 2 Journal of Actuarial Practice 1 Scandinavian Journal of Statistics 1 The Annals of Statistics 1 The Australian Journal of Statistics 1 Biometrics 1 Journal of Multivariate Analysis 1 Sankhyā. Series B. Methodological 1 Journal of the Japan Statistical Society 1 Statistics & Probability Letters 1 International Journal of Approximate Reasoning 1 Economics Letters 1 Journal of the Royal Statistical Society. Series B 1 International Journal of Bifurcation and Chaos in Applied Sciences and Engineering 1 Computational Economics 1 Journal of Nonparametric Statistics 1 Journal of Applied Statistics 1 Stochastic Environmental Research and Risk Assessment 1 IMA Journal of Management Mathematics 1 Fields Institute Communications 1 Monographs on Statistics and Applied Probability all top 5 Fields 130 Statistics (62-XX) 30 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 18 Numerical analysis (65-XX) 12 Probability theory and stochastic processes (60-XX) 3 General and overarching topics; collections (00-XX) 3 Dynamical systems and ergodic theory (37-XX) 3 Computer science (68-XX) 1 History and biography (01-XX) 1 Integral equations (45-XX) 1 Operations research, mathematical programming (90-XX) 1 Information and communication theory, circuits (94-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 105 Publications have been cited 1,990 times in 1,468 Documents Cited by ▼ Year ▼ An adaptive estimation of dimension reduction space (with discussion). Zbl 1091.62028 Xia, Yingcun; Tong, Howell; Li, W. K.; Zhu, Li-Xing 388 2002 Diagnostic checking ARMA time series models using squared-residual autocorrelations. Zbl 0536.62067 McLeod, A. I.; Li, W. K. 119 1983 On a mixture autoregressive model. Zbl 0941.62095 Wong, Chun Shan; Li, Wai Keung 83 2000 On single-index coefficient regression models. Zbl 1069.62548 Xia, Yingcun; Li, W. K. 81 1999 Diagnostic checks in time series. Zbl 1053.62100 Li, Wai Keung 77 2004 On the squared residual autocorrelations in nonlinear time series with conditional heteroskedasticity. Zbl 0807.62070 Li, W. K.; Mak, T. K. 76 1994 On fractionally integrated autoregressive moving-average time series models with conditional heteroscedasticity. Zbl 1067.62572 Ling, Shiqing; Li, W. K. 68 1997 On a mixture autoregressive conditional heteroscedastic model. Zbl 1051.62091 Wong, Chun Shan; Li, Wai Keung 67 2001 On extended partially linear single-index models. Zbl 0942.62109 Xia, Yingcun; Tong, Howell; Li, W. K. 61 1999 Distribution of the residual autocorrelations in multivariate ARMA time series models. Zbl 0505.62079 Li, W. K.; McLeod, A. I. 56 1981 On the estimation and testing of functional-coefficient linear models. Zbl 0958.62040 Xia, Yingcun; Li, W. K. 49 1999 Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors. Zbl 0932.62103 Ling, Shiqing; Li, W. K. 43 1998 Time series models based on generalized linear models: Some further results. Zbl 0825.62606 Li, W. K. 43 1994 Self-excited threshold Poisson autoregression. Zbl 1367.62267 Wang, Chao; Liu, Heng; Yao, Jian-Feng; Davis, Richard A.; Li, Wai Keung 39 2014 Estimation and testing for unit root processes with GARCH(1,1) errors: theory and Monte Carlo evidence. Zbl 1106.62346 Ling, Shiqing; Li, W. K.; McAleer, Michael 35 2003 The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier. Zbl 1273.91456 Yuen, Kam C.; Wang, Guojing; Li, Wai K. 33 2007 On a logistic mixture autoregressive model. Zbl 0985.62074 Wong, C. S.; Li, W. K. 31 2001 Diagnostic checking of nonlinear multivariate time series with multivariate ARCH errors. Zbl 0882.62081 Ling, Shiqing; Li, W. K. 30 1997 ARMA modelling with non-Gaussian innovations. Zbl 0637.62079 Li, W. K.; McLeod, A. I. 24 1988 A goodness-of-fit test for single-index models. (With comments and rejoinder). Zbl 1040.62034 Xia, Yingcun; Li, W. K.; Tong, Howell; Zhang, Dixin 23 2004 On a threshold autoregression with conditional heteroscedastic variances. Zbl 0921.62113 Liu, J.; Li, W. K.; Li, C. W. 22 1997 Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach. Zbl 1152.62370 Li, Guodong; Li, Wai Keung 20 2005 Testing for threshold autoregression with conditional heteroscedasticity. Zbl 1058.62554 Wong, C. S.; Li, W. K. 19 1997 On a mixture vector autoregressive model. Zbl 1124.62059 Fong, P. W.; Li, W. K.; Yau, C. W.; Wong, C. S. 18 2007 On the asymptotic standard errors of residual autocorrelations in nonlinear time series modelling. Zbl 0751.62042 Li, W. K. 18 1992 On a multivariate conditional heteroscedastic model. Zbl 0883.62106 Wong, Heung; Li, W. K. 17 1997 Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity. Zbl 1437.62529 Li, Guodong; Li, Wai Keung 16 2008 Hysteretic autoregressive time series models. Zbl 1452.62658 Li, Guodong; Guan, Bo; Li, Wai Keung; Yu, Philip L. H. 16 2015 On a mixture GARCH time-series model. Zbl 1115.62094 Zhang, Zhiqiang; Li, Wai Keung; Yuen, Kam Chuen 15 2006 Estimation of nonlinear time series with conditional heteroscedastic variances by iteratively weighted least squares. Zbl 0900.62467 Mak, T. K.; Wong, H.; Li, W. K. 15 1997 Asymptotic behavior of bandwidth selected by the cross-validation method for local polynomial fitting. Zbl 1025.62016 Xia, Yingcun; Li, W. K. 15 2002 Testing a linear time series model against its threshold extension. Zbl 1210.62123 Li, Guodong; Li, Wai Keung 14 2011 Testing for double threshold autoregressive conditional heteroscedastic model. Zbl 0970.62059 Wong, C. S.; Li, W. K. 14 2000 Single-index volatility models and estimation. Zbl 1002.62082 Xia, Yingcun; Tong, Howell; Li, W. K. 14 2002 Estimation for partially nonstationary multivariate autoregressive models with conditional heteroscedasticity. Zbl 1006.62080 Li, W. K.; Ling, Shiqing; Wong, H. 12 2001 A bootstrapped spectral test for adequacy in weak ARMA models. Zbl 1337.62285 Zhu, Ke; Li, Wai Keung 12 2015 Zero-inflated Poisson regression mixture model. Zbl 1471.62116 Lim, Hwa Kyung; Li, Wai Keung; Yu, Philip L. H. 12 2014 A note on the corrected Akaike information criterion for threshold autoregressive models. Zbl 0902.62113 Wong, C. S.; Li, W. K. 11 1998 Testing model adequacy for some Markov regression models for time series. Zbl 0717.62078 Li, W. K. 11 1991 Detecting and diagnostic checking multivariate conditional heteroscedastic time series models. Zbl 0991.62037 Wong, H.; Li, W. K. 11 2002 Asymptotic theory on the least squares estimation of threshold moving-average models. Zbl 1274.62604 Li, Dong; Ling, Shiqing; Li, Wai Keung 11 2013 Asymptotic inference for unit root processes with GARCH(1,1) errors. Zbl 1441.62798 Ling, Shiqing; Li, W. K. 11 2003 Asymptotic inference for nonstationary fractionally integrated autoregressive moving-average models. Zbl 1018.62075 Ling, Shiqing; Li, W. K. 10 2001 On the residual autocorrelation of the autoregressive conditional duration model. Zbl 1254.91677 Li, W. K.; Yu, Philip L. H. 10 2003 Modeling insurance claims via a mixture exponential model combined with peaks-over-threshold approach. Zbl 1285.91061 Lee, David; Li, Wai Keung; Wong, Tony Siu Tung 10 2012 Testing for threshold moving average with conditional heteroscedasticity. Zbl 1135.62071 Li, Guodong; Li, Wai Keung 9 2008 On the least squares estimation of threshold autoregressive and moving-average models. Zbl 1513.62176 Li, Dong; Li, Wai Keung; Ling, Shiqing 9 2011 A method of estimating the noise level in a chaotic time series. Zbl 1307.37035 Jayawardena, A. W.; Xu, Pengcheng; Li, W. K. 9 2008 On some models for value-at-risk. Zbl 1205.91095 Yu, Philip L. H.; Li, Wai Keung; Jin, Shusong 9 2010 An algorithm for the exact likelihood of periodic autoregressive moving average models. Zbl 0695.62217 Li, W. K.; Hui, Yer Van 7 1988 Threshold variable selection using nonparametric methods. Zbl 1145.62326 Xia, Yingcun; Li, Wai-Keung; Tong, Howell 7 2007 A threshold approach for peaks-over-threshold modeling using maximum product of spacings. Zbl 1507.62229 Wong, Tony Siu Tung; Li, Wai Keung 7 2010 On the autopersistence functions and the autopersistence graphs of binary autoregressive time series. Zbl 1273.62227 Wang, Chao; Li, Wai Keung 7 2011 Robust multiple time series modelling. Zbl 0666.62087 Li, W. K.; Hui, Yer Van 6 1989 Robust residual cross correlation tests for lagged relations in time series. Zbl 0832.62080 Li, W. K.; Hui, Y. V. 6 1994 A new hyperbolic GARCH model. Zbl 1337.62273 Li, Muyi; Li, Wai Keung; Li, Guodong 6 2015 Least absolute deviation estimation for unit root processes with GARCH errors. Zbl 1284.62565 Li, Guodong; Li, Wai Keung 6 2009 A goodness-of-fit test in robust time series modelling. Zbl 0638.62085 Li, W. K. 5 1988 Testing model adequacy for dynamic panel data with intercorrelation. Zbl 1036.62073 Fu, Bo; Li, Wai-Keung; Fung, Wing-Kam 5 2002 Some Lagrange multiplier tests for seasonal differencing. Zbl 0735.62090 Li, W. K. 5 1991 Modified correlation entropy estimation for a noisy chaotic time series. Zbl 1311.37001 Jayawardena, A. W.; Xu, Pengcheng; Li, W. K. 5 2010 On the estimation and diagnostic checking of the ARFIMA-HYGARCH model. Zbl 1255.62261 Kwan, Wilson; Li, Wai Keung; Li, Guodong 5 2012 Testing for the buffered autoregressive processes. Zbl 1285.62113 Zhu, Ke; Yu, Philip L. H.; Li, Wai Keung 5 2014 On the autocorrelation structure and identification of some bilinear time series. Zbl 0546.62062 Li, W. K. 4 1984 Mixtures of nonparametric autoregressions. Zbl 1327.62253 Franke, J.; Stockis, J.-P.; Tadjuidje-Kamgaing, J.; Li, W. K. 4 2011 A simple multivariate ARCH model specified by random coefficients. Zbl 1157.62490 Fong, P. W.; Li, W. K.; An, Hong-Zhi 4 2006 Multivariate modelling of the autoregressive random variance process. Zbl 0927.62092 So, Mike K. P.; Li, W. K.; Lam, K. 4 1997 Interactive hidden Markov models and their applications. Zbl 1123.62087 Ching, W. K.; Fung, E.; Ng, M.; Siu, T. K.; Li, W. K. 4 2007 A note on the estimation of extreme value distributions using maximum product of spacings. Zbl 1268.62048 Wong, T. S. T.; Li, W. K. 4 2006 Test for homogeneity in gamma mixture models using likelihood ratio. Zbl 1471.62219 Wong, Tony Siu Tung; Li, Wai Keung 4 2014 A robust goodness-of-fit test for generalized autoregressive conditional heteroscedastic models. Zbl 07072394 Zheng, Yao; Li, Wai Keung; Li, Guodong 4 2018 Modeling default data via an interactive hidden Markov model. Zbl 1195.91176 Ching, Wai-Ki; Siu, Tak Kuen; Li, Li-Min; Li, Tang; Li, Wai-Keung 3 2009 A multivariate threshold varying conditional correlations model. Zbl 1180.62123 Kwan, W.; Li, W. K.; Ng, K. W. 3 2010 Distribution of residual autocorrelations in multivariate autoregressive index models. Zbl 0586.62148 Li, W. K. 3 1985 On buffered threshold GARCH models. Zbl 1356.62150 Lo, Pak Hang; Li, Wai Keung; Yu, Philip L. H.; Li, Guodong 3 2016 On some Matérn covariance functions for spatio-temporal random fields. Zbl 1369.62250 Ip, Ryan H. L.; Li, W. K. 3 2017 Time series models for realized covariance matrices based on the matrix-F distribution. Zbl 1524.62462 Zhou, Jiayuan; Jiang, Feiyu; Zhu, Ke; Li, Wai Keung 3 2022 Diagnostic checking of the vector multiplicative error model. Zbl 1468.62146 Ng, F. C.; Li, W. K.; Yu, Philip L. H. 3 2016 On mixture memory GARCH models. Zbl 1306.62201 Li, Muyi; Li, Wai Keung; Li, Guodong 3 2013 A time-series risk model with constant interest for dependent classes of business. Zbl 1119.91060 Zhang, Zhiqiang; Yuen, Kam C.; Li, Wai Keung 2 2007 Estimation of random coefficient autoregressive process: An empirical Bayes approach. Zbl 0523.62078 Li, W. K.; Hui, Y. V. 2 1983 Ultimate ruin probability for a time-series risk model with dependent classes of insurance business. Zbl 1192.91121 Wan, Lai Mei; Yuen, Kam Chuen; Li, Wai Keung 2 2005 A smoothed bootstrap test for independence based on mutual information. Zbl 1453.62248 Wu, Edmond H. C.; Yu, Philip L. H.; Li, W. K. 2 2009 An independent component ordering and selection procedure based on the MSE criterion. Zbl 1178.94123 Wu, Edmond HaoCun; Yu, Philip L. H.; Li, W. K. 2 2006 Some results on the estimation of a higher order Markov chain. Zbl 0707.62179 Li, W. K.; Kwok, Michael C. O. 2 1990 The Akaike information criterion in threshold modelling: Some empirical evidences. Zbl 0709.62516 Li, W. K. 2 1988 Joint modeling of cointegration and conditional heteroscedasticity with applications. Zbl 1083.62097 Wong, Heung; Li, W. K.; Ling, Shiquing 2 2005 Distribution of the cross-correlations of squared residuals in ARIMA models. Zbl 0879.62089 Wong, H.; Li, W. K. 2 1996 A Black-Litterman approach to correlation stress testing. Zbl 1402.62254 Ng, F. C.; Li, W. K.; Yu, Philip L. H. 2 2014 On the surprising explanatory power of higher realized moments in practice. Zbl 06938688 Shen, Keren; Yao, Jianfeng; Li, Wai Keung 2 2018 A new method for estimating subgroup means under misclassification. Zbl 0644.62008 Mak, T. K.; Li, W. K. 1 1988 Diagnostic checking multivariate conditional heteroscedasticity. Zbl 0912.62100 Wong, H.; Li, W. K. 1 1996 A simple one degree of freedom test for nonlinear time series model discrimination. Zbl 0822.62075 Li, W. K. 1 1993 On the threshold hyperbolic GARCH models. Zbl 1229.91360 Kwan, Wilson; Li, Wai Keung; Li, Guodong 1 2011 A note on diagnostic checking of the double autoregressive model. Zbl 1186.62108 Kwok, Simon Sai Man; Li, Wai Keung 1 2009 Some results on cointegration with random coefficients in the error correction form: estimation and testing. Zbl 1062.62170 Fong, P. W.; Li, W. K. 1 2004 On fractionally differenced periodic processes. Zbl 0856.62074 Hui, Y. V.; Li, W. K. 1 1995 On time series with randomized unit root and randomized seasonal unit root. Zbl 1429.62395 Fong, Pak Wing; Li, Wai Keung 1 2003 Basket trading under co-integration with the logistic mixture autoregressive model. Zbl 1277.91166 Cheng, Xixin; Yu, Philip L. H.; Li, W. K. 1 2011 New HSIC-based tests for independence between two stationary multivariate time series. Zbl 1466.62392 Wang, Guochang; Li, Wai Keung; Zhu, Ke 1 2021 Time series models for realized covariance matrices based on the matrix-F distribution. Zbl 1524.62462 Zhou, Jiayuan; Jiang, Feiyu; Zhu, Ke; Li, Wai Keung 3 2022 Hybrid quantile estimation for asymmetric power GARCH models. Zbl 07491159 Wang, Guochang; Zhu, Ke; Li, Guodong; Li, Wai Keung 1 2022 New HSIC-based tests for independence between two stationary multivariate time series. Zbl 1466.62392 Wang, Guochang; Li, Wai Keung; Zhu, Ke 1 2021 Variable screening for survival data in the presence of heterogeneous censoring. Zbl 1467.62160 Xu, Jinfeng; Li, Wai Keung; Ying, Zhiliang 1 2020 On a spiked model for large volatility matrix estimation from noisy high-frequency data. Zbl 1471.62184 Shen, Keren; Yao, Jianfeng; Li, Wai Keung 1 2019 A robust goodness-of-fit test for generalized autoregressive conditional heteroscedastic models. Zbl 07072394 Zheng, Yao; Li, Wai Keung; Li, Guodong 4 2018 On the surprising explanatory power of higher realized moments in practice. Zbl 06938688 Shen, Keren; Yao, Jianfeng; Li, Wai Keung 2 2018 On some Matérn covariance functions for spatio-temporal random fields. Zbl 1369.62250 Ip, Ryan H. L.; Li, W. K. 3 2017 On buffered threshold GARCH models. Zbl 1356.62150 Lo, Pak Hang; Li, Wai Keung; Yu, Philip L. H.; Li, Guodong 3 2016 Diagnostic checking of the vector multiplicative error model. Zbl 1468.62146 Ng, F. C.; Li, W. K.; Yu, Philip L. H. 3 2016 Hysteretic autoregressive time series models. Zbl 1452.62658 Li, Guodong; Guan, Bo; Li, Wai Keung; Yu, Philip L. H. 16 2015 A bootstrapped spectral test for adequacy in weak ARMA models. Zbl 1337.62285 Zhu, Ke; Li, Wai Keung 12 2015 A new hyperbolic GARCH model. Zbl 1337.62273 Li, Muyi; Li, Wai Keung; Li, Guodong 6 2015 Double generalized threshold models with constraint on the dispersion by the mean. Zbl 1507.62186 Wu, K. Y. K.; Li, W. K. 1 2015 Self-excited threshold Poisson autoregression. Zbl 1367.62267 Wang, Chao; Liu, Heng; Yao, Jian-Feng; Davis, Richard A.; Li, Wai Keung 39 2014 Zero-inflated Poisson regression mixture model. Zbl 1471.62116 Lim, Hwa Kyung; Li, Wai Keung; Yu, Philip L. H. 12 2014 Testing for the buffered autoregressive processes. Zbl 1285.62113 Zhu, Ke; Yu, Philip L. H.; Li, Wai Keung 5 2014 Test for homogeneity in gamma mixture models using likelihood ratio. Zbl 1471.62219 Wong, Tony Siu Tung; Li, Wai Keung 4 2014 A Black-Litterman approach to correlation stress testing. Zbl 1402.62254 Ng, F. C.; Li, W. K.; Yu, Philip L. H. 2 2014 Asymptotic theory on the least squares estimation of threshold moving-average models. Zbl 1274.62604 Li, Dong; Ling, Shiqing; Li, Wai Keung 11 2013 On mixture memory GARCH models. Zbl 1306.62201 Li, Muyi; Li, Wai Keung; Li, Guodong 3 2013 Modeling insurance claims via a mixture exponential model combined with peaks-over-threshold approach. Zbl 1285.91061 Lee, David; Li, Wai Keung; Wong, Tony Siu Tung 10 2012 On the estimation and diagnostic checking of the ARFIMA-HYGARCH model. Zbl 1255.62261 Kwan, Wilson; Li, Wai Keung; Li, Guodong 5 2012 Testing a linear time series model against its threshold extension. Zbl 1210.62123 Li, Guodong; Li, Wai Keung 14 2011 On the least squares estimation of threshold autoregressive and moving-average models. Zbl 1513.62176 Li, Dong; Li, Wai Keung; Ling, Shiqing 9 2011 On the autopersistence functions and the autopersistence graphs of binary autoregressive time series. Zbl 1273.62227 Wang, Chao; Li, Wai Keung 7 2011 Mixtures of nonparametric autoregressions. Zbl 1327.62253 Franke, J.; Stockis, J.-P.; Tadjuidje-Kamgaing, J.; Li, W. K. 4 2011 On the threshold hyperbolic GARCH models. Zbl 1229.91360 Kwan, Wilson; Li, Wai Keung; Li, Guodong 1 2011 Basket trading under co-integration with the logistic mixture autoregressive model. Zbl 1277.91166 Cheng, Xixin; Yu, Philip L. H.; Li, W. K. 1 2011 Modeling threshold conditional heteroscedasticity with regime-dependent skewness and kurtosis. Zbl 1464.62043 Cheng, Xixin; Li, W. K.; Yu, Philip L. H.; Zhou, Xuan; Wang, Chao; Lo, P. H. 1 2011 On some models for value-at-risk. Zbl 1205.91095 Yu, Philip L. H.; Li, Wai Keung; Jin, Shusong 9 2010 A threshold approach for peaks-over-threshold modeling using maximum product of spacings. Zbl 1507.62229 Wong, Tony Siu Tung; Li, Wai Keung 7 2010 Modified correlation entropy estimation for a noisy chaotic time series. Zbl 1311.37001 Jayawardena, A. W.; Xu, Pengcheng; Li, W. K. 5 2010 A multivariate threshold varying conditional correlations model. Zbl 1180.62123 Kwan, W.; Li, W. K.; Ng, K. W. 3 2010 Least absolute deviation estimation for unit root processes with GARCH errors. Zbl 1284.62565 Li, Guodong; Li, Wai Keung 6 2009 Modeling default data via an interactive hidden Markov model. Zbl 1195.91176 Ching, Wai-Ki; Siu, Tak Kuen; Li, Li-Min; Li, Tang; Li, Wai-Keung 3 2009 A smoothed bootstrap test for independence based on mutual information. Zbl 1453.62248 Wu, Edmond H. C.; Yu, Philip L. H.; Li, W. K. 2 2009 A note on diagnostic checking of the double autoregressive model. Zbl 1186.62108 Kwok, Simon Sai Man; Li, Wai Keung 1 2009 Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity. Zbl 1437.62529 Li, Guodong; Li, Wai Keung 16 2008 Testing for threshold moving average with conditional heteroscedasticity. Zbl 1135.62071 Li, Guodong; Li, Wai Keung 9 2008 A method of estimating the noise level in a chaotic time series. Zbl 1307.37035 Jayawardena, A. W.; Xu, Pengcheng; Li, W. K. 9 2008 The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier. Zbl 1273.91456 Yuen, Kam C.; Wang, Guojing; Li, Wai K. 33 2007 On a mixture vector autoregressive model. Zbl 1124.62059 Fong, P. W.; Li, W. K.; Yau, C. W.; Wong, C. S. 18 2007 Threshold variable selection using nonparametric methods. Zbl 1145.62326 Xia, Yingcun; Li, Wai-Keung; Tong, Howell 7 2007 Interactive hidden Markov models and their applications. Zbl 1123.62087 Ching, W. K.; Fung, E.; Ng, M.; Siu, T. K.; Li, W. K. 4 2007 A time-series risk model with constant interest for dependent classes of business. Zbl 1119.91060 Zhang, Zhiqiang; Yuen, Kam C.; Li, Wai Keung 2 2007 On a mixture GARCH time-series model. Zbl 1115.62094 Zhang, Zhiqiang; Li, Wai Keung; Yuen, Kam Chuen 15 2006 A simple multivariate ARCH model specified by random coefficients. Zbl 1157.62490 Fong, P. W.; Li, W. K.; An, Hong-Zhi 4 2006 A note on the estimation of extreme value distributions using maximum product of spacings. Zbl 1268.62048 Wong, T. S. T.; Li, W. K. 4 2006 An independent component ordering and selection procedure based on the MSE criterion. Zbl 1178.94123 Wu, Edmond HaoCun; Yu, Philip L. H.; Li, W. K. 2 2006 Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach. Zbl 1152.62370 Li, Guodong; Li, Wai Keung 20 2005 Ultimate ruin probability for a time-series risk model with dependent classes of insurance business. Zbl 1192.91121 Wan, Lai Mei; Yuen, Kam Chuen; Li, Wai Keung 2 2005 Joint modeling of cointegration and conditional heteroscedasticity with applications. Zbl 1083.62097 Wong, Heung; Li, W. K.; Ling, Shiquing 2 2005 Diagnostic checks in time series. Zbl 1053.62100 Li, Wai Keung 77 2004 A goodness-of-fit test for single-index models. (With comments and rejoinder). Zbl 1040.62034 Xia, Yingcun; Li, W. K.; Tong, Howell; Zhang, Dixin 23 2004 Some results on cointegration with random coefficients in the error correction form: estimation and testing. Zbl 1062.62170 Fong, P. W.; Li, W. K. 1 2004 Estimation and testing for unit root processes with GARCH(1,1) errors: theory and Monte Carlo evidence. Zbl 1106.62346 Ling, Shiqing; Li, W. K.; McAleer, Michael 35 2003 Asymptotic inference for unit root processes with GARCH(1,1) errors. Zbl 1441.62798 Ling, Shiqing; Li, W. K. 11 2003 On the residual autocorrelation of the autoregressive conditional duration model. Zbl 1254.91677 Li, W. K.; Yu, Philip L. H. 10 2003 On time series with randomized unit root and randomized seasonal unit root. Zbl 1429.62395 Fong, Pak Wing; Li, Wai Keung 1 2003 An adaptive estimation of dimension reduction space (with discussion). Zbl 1091.62028 Xia, Yingcun; Tong, Howell; Li, W. K.; Zhu, Li-Xing 388 2002 Asymptotic behavior of bandwidth selected by the cross-validation method for local polynomial fitting. Zbl 1025.62016 Xia, Yingcun; Li, W. K. 15 2002 Single-index volatility models and estimation. Zbl 1002.62082 Xia, Yingcun; Tong, Howell; Li, W. K. 14 2002 Detecting and diagnostic checking multivariate conditional heteroscedastic time series models. Zbl 0991.62037 Wong, H.; Li, W. K. 11 2002 Testing model adequacy for dynamic panel data with intercorrelation. Zbl 1036.62073 Fu, Bo; Li, Wai-Keung; Fung, Wing-Kam 5 2002 On a mixture autoregressive conditional heteroscedastic model. Zbl 1051.62091 Wong, Chun Shan; Li, Wai Keung 67 2001 On a logistic mixture autoregressive model. Zbl 0985.62074 Wong, C. S.; Li, W. K. 31 2001 Estimation for partially nonstationary multivariate autoregressive models with conditional heteroscedasticity. Zbl 1006.62080 Li, W. K.; Ling, Shiqing; Wong, H. 12 2001 Asymptotic inference for nonstationary fractionally integrated autoregressive moving-average models. Zbl 1018.62075 Ling, Shiqing; Li, W. K. 10 2001 On a mixture autoregressive model. Zbl 0941.62095 Wong, Chun Shan; Li, Wai Keung 83 2000 Testing for double threshold autoregressive conditional heteroscedastic model. Zbl 0970.62059 Wong, C. S.; Li, W. K. 14 2000 On single-index coefficient regression models. Zbl 1069.62548 Xia, Yingcun; Li, W. K. 81 1999 On extended partially linear single-index models. Zbl 0942.62109 Xia, Yingcun; Tong, Howell; Li, W. K. 61 1999 On the estimation and testing of functional-coefficient linear models. Zbl 0958.62040 Xia, Yingcun; Li, W. K. 49 1999 Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors. Zbl 0932.62103 Ling, Shiqing; Li, W. K. 43 1998 A note on the corrected Akaike information criterion for threshold autoregressive models. Zbl 0902.62113 Wong, C. S.; Li, W. K. 11 1998 On fractionally integrated autoregressive moving-average time series models with conditional heteroscedasticity. Zbl 1067.62572 Ling, Shiqing; Li, W. K. 68 1997 Diagnostic checking of nonlinear multivariate time series with multivariate ARCH errors. Zbl 0882.62081 Ling, Shiqing; Li, W. K. 30 1997 On a threshold autoregression with conditional heteroscedastic variances. Zbl 0921.62113 Liu, J.; Li, W. K.; Li, C. W. 22 1997 Testing for threshold autoregression with conditional heteroscedasticity. Zbl 1058.62554 Wong, C. S.; Li, W. K. 19 1997 On a multivariate conditional heteroscedastic model. Zbl 0883.62106 Wong, Heung; Li, W. K. 17 1997 Estimation of nonlinear time series with conditional heteroscedastic variances by iteratively weighted least squares. Zbl 0900.62467 Mak, T. K.; Wong, H.; Li, W. K. 15 1997 Multivariate modelling of the autoregressive random variance process. Zbl 0927.62092 So, Mike K. P.; Li, W. K.; Lam, K. 4 1997 Distribution of the cross-correlations of squared residuals in ARIMA models. Zbl 0879.62089 Wong, H.; Li, W. K. 2 1996 Diagnostic checking multivariate conditional heteroscedasticity. Zbl 0912.62100 Wong, H.; Li, W. K. 1 1996 On fractionally differenced periodic processes. Zbl 0856.62074 Hui, Y. V.; Li, W. K. 1 1995 On the squared residual autocorrelations in nonlinear time series with conditional heteroskedasticity. Zbl 0807.62070 Li, W. K.; Mak, T. K. 76 1994 Time series models based on generalized linear models: Some further results. Zbl 0825.62606 Li, W. K. 43 1994 Robust residual cross correlation tests for lagged relations in time series. Zbl 0832.62080 Li, W. K.; Hui, Y. V. 6 1994 A simple one degree of freedom test for nonlinear time series model discrimination. Zbl 0822.62075 Li, W. K. 1 1993 On the asymptotic standard errors of residual autocorrelations in nonlinear time series modelling. Zbl 0751.62042 Li, W. K. 18 1992 Testing model adequacy for some Markov regression models for time series. Zbl 0717.62078 Li, W. K. 11 1991 Some Lagrange multiplier tests for seasonal differencing. Zbl 0735.62090 Li, W. K. 5 1991 Some results on the estimation of a higher order Markov chain. Zbl 0707.62179 Li, W. K.; Kwok, Michael C. O. 2 1990 Robust multiple time series modelling. Zbl 0666.62087 Li, W. K.; Hui, Yer Van 6 1989 ARMA modelling with non-Gaussian innovations. Zbl 0637.62079 Li, W. K.; McLeod, A. I. 24 1988 An algorithm for the exact likelihood of periodic autoregressive moving average models. Zbl 0695.62217 Li, W. K.; Hui, Yer Van 7 1988 A goodness-of-fit test in robust time series modelling. Zbl 0638.62085 Li, W. K. 5 1988 The Akaike information criterion in threshold modelling: Some empirical evidences. Zbl 0709.62516 Li, W. K. 2 1988 A new method for estimating subgroup means under misclassification. Zbl 0644.62008 Mak, T. K.; Li, W. K. 1 1988 ...and 5 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 1,957 Authors 49 Li, Wai Keung 38 Zhu, Lixing 27 Ling, Shiqing 23 Duchesne, Pierre 18 Zhang, Riquan 16 Chen, Cathy W. S. 16 Xue, Liugen 16 Yin, Xiangrong 16 Zhang, Jun 15 Huang, Zhensheng 15 Li, Dong 14 Fokianos, Konstantinos 14 Lee, Sangyeol 14 Liang, Hua 14 McAleer, Michael 13 Wang, Dehui 13 Yang, Hu 13 Zhu, Ke 12 Francq, Christian 12 Li, Guodong 12 Lian, Heng 12 Wang, Qin 12 Yang, Kai 12 Zhu, Liping 11 Aknouche, Abdelhakim 11 Li, Bing 11 Tjøstheim, Dag B. 11 Tong, Howell 11 Wang, Qihua 11 You, Jinhong 11 Zakoïan, Jean-Michel 10 Gao, Jiti 10 Horváth, Lajos 10 Jiang, Rong 10 Li, Gaorong 10 Xia, Yingcun 10 Yu, Zhou 9 Dong, Yuexiao 9 Feng, Sanying 9 Li, Han 9 Yu, Philip Leung Ho 9 Yuen, Kam Chuen 9 Zhang, Rongmao 9 Zhou, Yong 9 Zhu, Fukang 8 Chen, Min 8 Lv, Jing 8 Mainassara, Yacouba Boubacar 8 Saikkonen, Pentti 8 So, Mike K. 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Robert 6 Teräsvirta, Timo 6 Xue, Yuan 6 Yang, Jing 6 Yao, Qiwei 5 Bindele, Huybrechts F. 5 Boshnakov, Georgi N. 5 Carvalho, Alexandre X. 5 Cavaliere, Giuseppe 5 Chan, Ngai Hang 5 Cook, Ralph Dennis 5 Ghoudi, Kilani 5 Hamdi, Fayçal 5 Hoti, Suhejla 5 Jiang, Feiyu 5 Lai, Peng 5 Lee, Oesook 5 Li, Yuan 5 Maleki, Mohsen 5 Patilea, Valentin ...and 1,857 more Authors all top 5 Cited in 181 Serials 125 Computational Statistics and Data Analysis 86 Journal of Econometrics 79 Journal of Multivariate Analysis 71 Journal of Time Series Analysis 56 Journal of Statistical Planning and Inference 49 Statistics & Probability Letters 48 Journal of Statistical Computation and Simulation 47 The Annals of Statistics 47 Communications in Statistics. Theory and Methods 36 Communications in Statistics. 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