Details about Shiqing Ling

Access statistics for papers by Shiqing Ling.

Last updated 2014-09-28. Update your information in the RePEc Author Service.

Short-id: pli831

Working Papers

2015

1. Frontiers in Time Series and Financial Econometrics: An Overview
   Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico

2014

2. Model-based pricing for financial derivatives
   MPRA Paper, University Library of Munich, Germany

2013

3. Asymptotic Inference in Multiple-Threshold Nonlinear Time Series Models
   Working Papers, Center for Research in Economics and Statistics
4. Factor double autoregressive models with application to simultaneous causality testing
   MPRA Paper, University Library of Munich, Germany
5. Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models
   MPRA Paper, University Library of Munich, Germany View citations (1)

2009

6. A General Asymptotic Theory for Time Series Models
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
   See also Journal Article A general asymptotic theory for time‐series models, Statistica Neerlandica, Netherlands Society for Statistics and Operations Research (2010) View citations (12) (2010)

2003

7. Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (31)
   Also in ISER Discussion Paper, Institute of Social and Economic Research, The University of Osaka (2001) View citations (8)
   See also Journal Article Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence, Econometric Reviews, Taylor & Francis Journals (2003) View citations (37) (2003)
8. Regression Quantiles for Unstable Autoregressive Models
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo
   Also in ISER Discussion Paper, Institute of Social and Economic Research, The University of Osaka (2001)
   See also Journal Article Regression quantiles for unstable autoregressive models, Journal of Multivariate Analysis, Elsevier (2004) View citations (4) (2004)

2001

9. A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors
   ISER Discussion Paper, Institute of Social and Economic Research, The University of Osaka View citations (15)
10. Asymptotic Theory for a Vector ARMA-GARCH Model
    ISER Discussion Paper, Institute of Social and Economic Research, The University of Osaka View citations (2)
    See also Journal Article ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL, Econometric Theory, Cambridge University Press (2003) View citations (652) (2003)
11. Necessary and Sufficient Moment Conditions for the GARCH(r,s) and Asymmetric Power GARCH(r,s) Models
    ISER Discussion Paper, Institute of Social and Economic Research, The University of Osaka View citations (45)
    See also Journal Article NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS, Econometric Theory, Cambridge University Press (2002) View citations (159) (2002)
12. On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors
    ISER Discussion Paper, Institute of Social and Economic Research, The University of Osaka View citations (83)
13. Stationarity and the Existence of Moments of a Family of GARCH Processes
    ISER Discussion Paper, Institute of Social and Economic Research, The University of Osaka View citations (11)
    See also Journal Article Stationarity and the existence of moments of a family of GARCH processes, Journal of Econometrics, Elsevier (2002) View citations (211) (2002)

Journal Articles

2014

1. Comment
   Journal of Business & Economic Statistics, 2014, 32, (2), 165-165
2. Comment
   Journal of Business & Economic Statistics, 2014, 32, (2), 202-203
3. NON-STATIONARITY AND QUASI-MAXIMUM LIKELIHOOD ESTIMATION ON A DOUBLE AUTOREGRESSIVE MODEL
   Journal of Time Series Analysis, 2014, 35, (3), 189-202 View citations (13)

2013

4. ASYMPTOTIC THEORY ON THE LEAST SQUARES ESTIMATION OF THRESHOLD MOVING-AVERAGE MODELS
   Econometric Theory, 2013, 29, (3), 482-516 View citations (8)
5. Diagnostic checking for non-stationary ARMA models with an application to financial data
   The North American Journal of Economics and Finance, 2013, 26, (C), 624-639 View citations (4)

2012

6. Likelihood ratio tests for the structural change of an AR(p) model to a Threshold AR(p) model
   Journal of Time Series Analysis, 2012, 33, (2), 223-232 View citations (4)
7. On the least squares estimation of multiple-regime threshold autoregressive models
   Journal of Econometrics, 2012, 167, (1), 240-253 View citations (32)
8. THE GLOBAL WEIGHTED LAD ESTIMATORS FOR FINITE/INFINITE VARIANCE ARMA(p,q) MODELS
   Econometric Theory, 2012, 28, (5), 1065-1086 View citations (7)

2011

9. Testing for structural change of AR model to threshold AR model
   Journal of Time Series Analysis, 2011, 32, (5), 547-565 View citations (2)

2010

10. A general asymptotic theory for time‐series models
    Statistica Neerlandica, 2010, 64, (1), 97-111 View citations (12)
    See also Working Paper A General Asymptotic Theory for Time Series Models, CIRJE F-Series (2009) (2009)

2009

11. Estimation in nonstationary random coefficient autoregressive models
    Journal of Time Series Analysis, 2009, 30, (4), 395-416 View citations (23)
12. ON DISTINGUISHING BETWEEN RANDOM WALK AND CHANGE IN THE MEAN ALTERNATIVES
    Econometric Theory, 2009, 25, (2), 411-441 View citations (3)

2008

13. Asymptotic inference for a nonstationary double AR (1) model
    Biometrika, 2008, 95, (1), 257-263 View citations (28)

2007

14. Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
    Journal of Econometrics, 2007, 140, (2), 849-873 View citations (47)

2006

15. EMPIRICAL LIKELIHOOD FOR GARCH MODELS
    Econometric Theory, 2006, 22, (3), 403-428 View citations (17)

2005

16. Joint modeling of cointegration and conditional heteroscedasticity with applications
    Annals of the Institute of Statistical Mathematics, 2005, 57, (1), 83-103 View citations (6)
17. Mixed Portmanteau Tests for Time‐Series Models
    Journal of Time Series Analysis, 2005, 26, (4), 569-579 View citations (14)
18. Self‐weighted least absolute deviation estimation for infinite variance autoregressive models
    Journal of the Royal Statistical Society Series B, 2005, 67, (3), 381-393 View citations (40)

2004

19. Estimation and testing stationarity for double‐autoregressive models
    Journal of the Royal Statistical Society Series B, 2004, 66, (1), 63-78 View citations (53)
20. Regression quantiles for unstable autoregressive models
    Journal of Multivariate Analysis, 2004, 89, (2), 304-328 View citations (4)
    See also Working Paper Regression Quantiles for Unstable Autoregressive Models, CIRJE F-Series (2003) (2003)

2003

21. ASYMPTOTIC INFERENCE FOR UNIT ROOT PROCESSES WITH GARCH(1,1) ERRORS
    Econometric Theory, 2003, 19, (4), 541-564 View citations (32)
22. ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
    Econometric Theory, 2003, 19, (2), 280-310 View citations (652)
    See also Working Paper Asymptotic Theory for a Vector ARMA-GARCH Model, ISER Discussion Paper (2001) View citations (2) (2001)
23. Adaptive Estimators and Tests of Stationary and Nonstationary Short- and Long-Memory ARFIMA-GARCH Models
    Journal of the American Statistical Association, 2003, 98, 955-967 View citations (18)
24. Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
    Econometric Reviews, 2003, 22, (2), 179-202 View citations (37)
    See also Working Paper Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence, CIRJE F-Series (2003) View citations (31) (2003)

2002

25. NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
    Econometric Theory, 2002, 18, (3), 722-729 View citations (159)
    See also Working Paper Necessary and Sufficient Moment Conditions for the GARCH(r,s) and Asymmetric Power GARCH(r,s) Models, ISER Discussion Paper (2001) View citations (45) (2001)
26. Stationarity and the existence of moments of a family of GARCH processes
    Journal of Econometrics, 2002, 106, (1), 109-117 View citations (211)
    See also Working Paper Stationarity and the Existence of Moments of a Family of GARCH Processes, ISER Discussion Paper (2001) View citations (11) (2001)

2001

27. ASYMPTOTIC INFERENCE FOR NONSTATIONARY FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE MODELS
    Econometric Theory, 2001, 17, (4), 738-764 View citations (9)