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
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Working Papers
2015
- 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
- Model-based pricing for financial derivatives
MPRA Paper, University Library of Munich, Germany
2013
- Asymptotic Inference in Multiple-Threshold Nonlinear Time Series Models
Working Papers, Center for Research in Economics and Statistics
- Factor double autoregressive models with application to simultaneous causality testing
MPRA Paper, University Library of Munich, Germany
- 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
- 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 (11) (2010)
2003
- 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, Osaka University (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 (36) (2003)
- 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, Osaka University (2001) 
See also Journal Article Regression quantiles for unstable autoregressive models, Journal of Multivariate Analysis, Elsevier (2004) View citations (4) (2004)
2001
- A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors
ISER Discussion Paper, Institute of Social and Economic Research, Osaka University View citations (15)
- Asymptotic Theory for a Vector ARMA-GARCH Model
ISER Discussion Paper, Institute of Social and Economic Research, Osaka University View citations (2)
See also Journal Article ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL, Econometric Theory, Cambridge University Press (2003) View citations (646) (2003)
- 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, Osaka University 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)
- On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors
ISER Discussion Paper, Institute of Social and Economic Research, Osaka University View citations (83)
- Stationarity and the Existence of Moments of a Family of GARCH Processes
ISER Discussion Paper, Institute of Social and Economic Research, Osaka University 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
- Comment
Journal of Business & Economic Statistics, 2014, 32, (2), 202-203
- Comment
Journal of Business & Economic Statistics, 2014, 32, (2), 165-165
- 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
- ASYMPTOTIC THEORY ON THE LEAST SQUARES ESTIMATION OF THRESHOLD MOVING-AVERAGE MODELS
Econometric Theory, 2013, 29, (3), 482-516 View citations (8)
- 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 (2)
2012
- 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)
- On the least squares estimation of multiple-regime threshold autoregressive models
Journal of Econometrics, 2012, 167, (1), 240-253 View citations (31)
- THE GLOBAL WEIGHTED LAD ESTIMATORS FOR FINITE/INFINITE VARIANCE ARMA(p,q) MODELS
Econometric Theory, 2012, 28, (5), 1065-1086 View citations (7)
2011
- 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
- A general asymptotic theory for time‐series models
Statistica Neerlandica, 2010, 64, (1), 97-111 View citations (11)
See also Working Paper A General Asymptotic Theory for Time Series Models, CIRJE F-Series (2009) (2009)
2009
- Estimation in nonstationary random coefficient autoregressive models
Journal of Time Series Analysis, 2009, 30, (4), 395-416 View citations (23)
- ON DISTINGUISHING BETWEEN RANDOM WALK AND CHANGE IN THE MEAN ALTERNATIVES
Econometric Theory, 2009, 25, (2), 411-441 View citations (3)
2008
- Asymptotic inference for a nonstationary double AR (1) model
Biometrika, 2008, 95, (1), 257-263 View citations (28)
2007
- Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
Journal of Econometrics, 2007, 140, (2), 849-873 View citations (46)
2006
- EMPIRICAL LIKELIHOOD FOR GARCH MODELS
Econometric Theory, 2006, 22, (3), 403-428 View citations (17)
2005
- Joint modeling of cointegration and conditional heteroscedasticity with applications
Annals of the Institute of Statistical Mathematics, 2005, 57, (1), 83-103 View citations (6)
- Mixed Portmanteau Tests for Time‐Series Models
Journal of Time Series Analysis, 2005, 26, (4), 569-579 View citations (14)
- 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
- Estimation and testing stationarity for double‐autoregressive models
Journal of the Royal Statistical Society Series B, 2004, 66, (1), 63-78 View citations (52)
- 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
- ASYMPTOTIC INFERENCE FOR UNIT ROOT PROCESSES WITH GARCH(1,1) ERRORS
Econometric Theory, 2003, 19, (4), 541-564 View citations (32)
- ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
Econometric Theory, 2003, 19, (2), 280-310 View citations (646)
See also Working Paper Asymptotic Theory for a Vector ARMA-GARCH Model, ISER Discussion Paper (2001) View citations (2) (2001)
- 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)
- 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 (36)
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
- 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)
- 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
- ASYMPTOTIC INFERENCE FOR NONSTATIONARY FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE MODELS
Econometric Theory, 2001, 17, (4), 738-764 View citations (9)
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