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Details about Shiqing Ling

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Homepage:http://www.math.ust.hk/~maling/

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

  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 Downloads

2014

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

2013

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

2009

  1. A General Asymptotic Theory for Time Series Models
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads
    See also Journal Article in Statistica Neerlandica (2010)

2003

  1. 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 Downloads View citations (19)
    Also in ISER Discussion Paper, Institute of Social and Economic Research, Osaka University (2001) Downloads View citations (7)

    See also Journal Article in Econometric Reviews (2003)
  2. Regression Quantiles for Unstable Autoregressive Models
    CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo Downloads
    Also in ISER Discussion Paper, Institute of Social and Economic Research, Osaka University (2001) Downloads

    See also Journal Article in Journal of Multivariate Analysis (2004)

2001

  1. A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors
    ISER Discussion Paper, Institute of Social and Economic Research, Osaka University Downloads View citations (9)
  2. Asymptotic Theory for a Vector ARMA-GARCH Model
    ISER Discussion Paper, Institute of Social and Economic Research, Osaka University Downloads View citations (5)
    See also Journal Article in Econometric Theory (2003)
  3. 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 Downloads View citations (56)
    See also Journal Article in Econometric Theory (2002)
  4. On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors
    ISER Discussion Paper, Institute of Social and Economic Research, Osaka University Downloads View citations (91)
  5. Stationarity and the Existence of Moments of a Family of GARCH Processes
    ISER Discussion Paper, Institute of Social and Economic Research, Osaka University Downloads View citations (11)
    See also Journal Article in Journal of Econometrics (2002)

Journal Articles

2014

  1. Comment
    Journal of Business & Economic Statistics, 2014, 32, (2), 165-165 Downloads
  2. Comment
    Journal of Business & Economic Statistics, 2014, 32, (2), 202-203 Downloads
  3. NON-STATIONARITY AND QUASI-MAXIMUM LIKELIHOOD ESTIMATION ON A DOUBLE AUTOREGRESSIVE MODEL
    Journal of Time Series Analysis, 2014, 35, (3), 189-202 Downloads View citations (8)

2013

  1. ASYMPTOTIC THEORY ON THE LEAST SQUARES ESTIMATION OF THRESHOLD MOVING-AVERAGE MODELS
    Econometric Theory, 2013, 29, (3), 482-516 Downloads View citations (5)
  2. 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 Downloads View citations (2)

2012

  1. 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 Downloads View citations (2)
  2. On the least squares estimation of multiple-regime threshold autoregressive models
    Journal of Econometrics, 2012, 167, (1), 240-253 Downloads View citations (24)
  3. THE GLOBAL WEIGHTED LAD ESTIMATORS FOR FINITE/INFINITE VARIANCE ARMA(p,q) MODELS
    Econometric Theory, 2012, 28, (5), 1065-1086 Downloads View citations (5)

2011

  1. Testing for structural change of AR model to threshold AR model
    Journal of Time Series Analysis, 2011, 32, (5), 547-565 View citations (1)

2010

  1. A general asymptotic theory for time‐series models
    Statistica Neerlandica, 2010, 64, (1), 97-111 Downloads View citations (11)
    See also Working Paper (2009)

2009

  1. Estimation in nonstationary random coefficient autoregressive models
    Journal of Time Series Analysis, 2009, 30, (4), 395-416 Downloads View citations (17)
  2. ON DISTINGUISHING BETWEEN RANDOM WALK AND CHANGE IN THE MEAN ALTERNATIVES
    Econometric Theory, 2009, 25, (2), 411-441 Downloads View citations (3)

2008

  1. Asymptotic inference for a nonstationary double AR (1) model
    Biometrika, 2008, 95, (1), 257-263 Downloads View citations (15)

2007

  1. Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
    Journal of Econometrics, 2007, 140, (2), 849-873 Downloads View citations (37)

2006

  1. EMPIRICAL LIKELIHOOD FOR GARCH MODELS
    Econometric Theory, 2006, 22, (3), 403-428 Downloads View citations (13)

2005

  1. Joint modeling of cointegration and conditional heteroscedasticity with applications
    Annals of the Institute of Statistical Mathematics, 2005, 57, (1), 83-103 Downloads View citations (5)
  2. Mixed Portmanteau Tests for Time‐Series Models
    Journal of Time Series Analysis, 2005, 26, (4), 569-579 Downloads View citations (13)
  3. Self‐weighted least absolute deviation estimation for infinite variance autoregressive models
    Journal of the Royal Statistical Society Series B, 2005, 67, (3), 381-393 Downloads View citations (28)

2004

  1. Estimation and testing stationarity for double‐autoregressive models
    Journal of the Royal Statistical Society Series B, 2004, 66, (1), 63-78 Downloads View citations (42)
  2. Regression quantiles for unstable autoregressive models
    Journal of Multivariate Analysis, 2004, 89, (2), 304-328 Downloads View citations (3)
    See also Working Paper (2003)

2003

  1. ASYMPTOTIC INFERENCE FOR UNIT ROOT PROCESSES WITH GARCH(1,1) ERRORS
    Econometric Theory, 2003, 19, (4), 541-564 Downloads View citations (27)
  2. ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
    Econometric Theory, 2003, 19, (2), 280-310 Downloads View citations (591)
    See also Working Paper (2001)
  3. 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 Downloads View citations (9)
  4. Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
    Econometric Reviews, 2003, 22, (2), 179-202 Downloads View citations (23)
    See also Working Paper (2003)

2002

  1. NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
    Econometric Theory, 2002, 18, (3), 722-729 Downloads View citations (152)
    See also Working Paper (2001)
  2. Stationarity and the existence of moments of a family of GARCH processes
    Journal of Econometrics, 2002, 106, (1), 109-117 Downloads View citations (202)
    See also Working Paper (2001)

2001

  1. ASYMPTOTIC INFERENCE FOR NONSTATIONARY FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE MODELS
    Econometric Theory, 2001, 17, (4), 738-764 Downloads View citations (5)
 
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