Details about Howell Tong

Workplace:

London School of Economics (LSE), (more information at EDIRC)

Access statistics for papers by Howell Tong.

Last updated 2025-05-16. Update your information in the RePEc Author Service.

Short-id: pto294

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Working Papers

2025

1. On a new robust method of inference for general time series models
   Papers, arXiv.org

2023

2. On the least squares estimation of multiple-threshold-variable autoregressive models
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library
   See also Journal Article On the Least Squares Estimation of Multiple-Threshold-Variable Autoregressive Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2024) (2024)

2022

3. Asymptotic theory of principal component analysis for time series data with cautionary comments
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (2)
   See also Journal Article Asymptotic theory of principal component analysis for time series data with cautionary comments, Journal of the Royal Statistical Society Series A, Royal Statistical Society (2022) View citations (2) (2022)

2021

4. Testing for threshold effects in the TARMA framework
   Papers, arXiv.org View citations (3)
5. Testing for threshold regulation in presence of measurement error with an application to the PPP hypothesis
   Papers, arXiv.org View citations (1)

2017

6. A new multivariate nonlinear time series model for portfolio risk measurement: the threshold copula-based TAR approach
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (3)
   See also Journal Article A New Multivariate Nonlinear Time Series Model for Portfolio Risk Measurement: The Threshold Copula-Based TAR Approach, Journal of Time Series Analysis, Wiley Blackwell (2017) View citations (3) (2017)

2016

7. Nested sub-sample search algorithm for estimation of threshold models
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (7)

2015

8. Frontiers in Time Series and Financial Econometrics
   Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (1)
9. Frontiers in Time Series and Financial Econometrics: An Overview
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
   Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2015)
   See also Journal Article Frontiers in Time Series and Financial Econometrics: An overview, Journal of Econometrics, Elsevier (2015) View citations (1) (2015)

2006

10. Semiparametric penalty function method in partially linear model selection
    MPRA Paper, University Library of Munich, Germany View citations (1)

2004

11. Nonparametric and semiparametric regression model selection
    MPRA Paper, University Library of Munich, Germany View citations (2)
12. Statistical tests for Lyapunov exponents of deterministic systems
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (3)
    See also Journal Article Statistical Tests for Lyapunov Exponents of Deterministic Systems, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2004) View citations (3) (2004)

2003

13. Smoothing for spatiotemporal models and its application to modeling Muskrat-Mink interaction
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (6)
    See also Journal Article Smoothing for Spatiotemporal Models and Its Application to Modeling Muskrat-Mink Interaction, Biometrics, The International Biometric Society (2003) View citations (4) (2003)

2002

14. Nonlinear time series modelling of highly fluctuating biological population over space - main results
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library

2001

15. Bootstrap estimation of actual significance levels for tests based on estimated nuisance parameters
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library

2000

16. Common structure in panels of short time series
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (4)
17. Nonparametric estimation of ratios of noise to signal in stochastic regression
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (6)

1998

18. A bootstrap detection for operational determinism
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (7)
19. Cross-validatory bandwidth selection for regression estimation based on dependent data
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (7)

1996

20. Asymmetric least squares regression estimation: a nonparametric approach
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (61)
21. Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (86)

1995

22. On initial-condition sensitivity and prediction in nonlinear stochastic systems
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (2)

1994

23. On prediction and chaos in stochastic systems
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (4)
24. On subset selection in non-parametric stochastic regression
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (16)
25. Quantifying the influence of initial values on nonlinear prediction
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (9)

Journal Articles

2024

1. On the Least Squares Estimation of Multiple-Threshold-Variable Autoregressive Models
   Journal of Business & Economic Statistics, 2024, 42, (1), 215-228
   See also Working Paper On the least squares estimation of multiple-threshold-variable autoregressive models, LSE Research Online Documents on Economics (2023) (2023)

2022

2. Asymptotic theory of principal component analysis for time series data with cautionary comments
   Journal of the Royal Statistical Society Series A, 2022, 185, (2), 543-565 View citations (2)
   See also Working Paper Asymptotic theory of principal component analysis for time series data with cautionary comments, LSE Research Online Documents on Economics (2022) View citations (2) (2022)

2020

3. ON AN ABSOLUTE AUTOREGRESSIVE MODEL AND SKEW SYMMETRIC DISTRIBUTIONS
   Statistica, 2020, 80, (2), 177-198 View citations (1)

2019

4. ON BROWNIAN MOTION APPROXIMATION OF COMPOUND POISSON PROCESSES WITH APPLICATIONS TO THRESHOLD MODELS
   Advances in Decision Sciences, 2019, 23, (2), 164-191

2017

5. A New Multivariate Nonlinear Time Series Model for Portfolio Risk Measurement: The Threshold Copula-Based TAR Approach
   Journal of Time Series Analysis, 2017, 38, (2), 243-265 View citations (3)
   See also Working Paper A new multivariate nonlinear time series model for portfolio risk measurement: the threshold copula-based TAR approach, LSE Research Online Documents on Economics (2017) View citations (3) (2017)

2015

6. Frontiers in Time Series and Financial Econometrics: An overview
   Journal of Econometrics, 2015, 189, (2), 245-250 View citations (1)
   See also Working Paper Frontiers in Time Series and Financial Econometrics: An Overview, Tinbergen Institute Discussion Papers (2015) View citations (1) (2015)
7. Threshold models in time series analysis—Some reflections
   Journal of Econometrics, 2015, 189, (2), 485-491 View citations (15)

2012

8. Asset allocation under threshold autoregressive models
   Applied Stochastic Models in Business and Industry, 2012, 28, (1), 60-72 View citations (1)
9. Discussion of ‘An analysis of global warming in the Alpine region based on nonlinear nonstationary time series models’ by Battaglia and Protopapas
   Statistical Methods & Applications, 2012, 21, (3), 335-339

2008

10. Estimation and tests for power-transformed and threshold GARCH models
    Journal of Econometrics, 2008, 142, (1), 352-378 View citations (32)

2006

11. A note on time-reversibility of multivariate linear processes
    Biometrika, 2006, 93, (1), 221-227 View citations (22)
12. On a Simple Graphical Approach to Modelling Economic Fluctuations with an Application to United Kingdom Price Inflation, 1265 to 2005
    Annals of Actuarial Science, 2006, 1, (1), 103-128

2004

13. On Bayesian Value at Risk: From Linear to Non-Linear Portfolios
    Asia-Pacific Financial Markets, 2004, 11, (2), 161-184 View citations (4)
14. On Pricing Derivatives Under GARCH Models: A Dynamic Gerber-Shiu Approach
    North American Actuarial Journal, 2004, 8, (3), 17-31 View citations (2)
15. Semiparametric non‐linear time series model selection
    Journal of the Royal Statistical Society Series B, 2004, 66, (2), 321-336 View citations (9)
16. Some Nonlinear Threshold Autoregressive Time Series Models for Actuarial Use
    North American Actuarial Journal, 2004, 8, (4), 37-61 View citations (8)
17. Statistical Tests for Lyapunov Exponents of Deterministic Systems
    Studies in Nonlinear Dynamics & Econometrics, 2004, 8, (2), 19 View citations (3)
    See also Working Paper Statistical tests for Lyapunov exponents of deterministic systems, LSE Research Online Documents on Economics (2004) View citations (3) (2004)
18. Testing for Common Structures in a Panel of Threshold Models
    Biometrics, 2004, 60, (1), 225-232 View citations (2)

2003

19. Smoothing for Spatiotemporal Models and Its Application to Modeling Muskrat-Mink Interaction
    Biometrics, 2003, 59, (4), 813-821 View citations (4)
    See also Working Paper Smoothing for spatiotemporal models and its application to modeling Muskrat-Mink interaction, LSE Research Online Documents on Economics (2003) View citations (6) (2003)

2002

20. An adaptive estimation of dimension reduction space
    Journal of the Royal Statistical Society Series B, 2002, 64, (3), 363-410 View citations (219)
21. Model Specification Tests in Nonparametric Stochastic Regression Models
    Journal of Multivariate Analysis, 2002, 83, (2), 324-359 View citations (20)

2001

22. Bayesian Risk Measures for Derivatives via Random Esscher Transform
    North American Actuarial Journal, 2001, 5, (3), 78-91 View citations (10)

2000

23. On the estimation of an instantaneous transformation for time series
    Journal of the Royal Statistical Society Series B, 2000, 62, (2), 383-397

1998

24. On the statistical inference of a machine‐generated autoregressive AR(1) model
    Journal of the Royal Statistical Society Series B, 1998, 60, (4), 781-798

1996

25. 13. Chaotic Dynamics: Theory and Applications to Economics
    Journal of the Royal Statistical Society Series A, 1996, 159, (2), 352-353

1995

26. 1. Networks and Chaos—Statistical and Probabilistic Aspects
    Journal of the Royal Statistical Society Series A, 1995, 158, (3), 629-630

1993

27. A Note on Tests for Threshold‐Type Non‐Linearity in Open Loop Systems
    Journal of the Royal Statistical Society Series C, 1993, 42, (1), 95-104
28. On residual sums of squares in non-parametric autoregression
    Stochastic Processes and their Applications, 1993, 48, (1), 157-174

1991

29. On Tests for Self‐Exciting Threshold Autoregressive‐Type Non‐Linearity in Partially Observed Time Series
    Journal of the Royal Statistical Society Series C, 1991, 40, (1), 43-62 View citations (4)

1990

30. NUMERICAL EVALUATION OF DISTRIBUTIONS IN NON‐LINEAR AUTOREGRESSION
    Journal of Time Series Analysis, 1990, 11, (1), 33-48 View citations (5)

1987

31. A NOTE ON EMBEDDING A DISCRETE PARAMETER ARMA MODEL IN A CONTINUOUS PARAMETER ARMA MODEL
    Journal of Time Series Analysis, 1987, 8, (3), 277-281 View citations (10)

1986

32. ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS
    Journal of Time Series Analysis, 1986, 7, (3), 179-190 View citations (249)

1983

33. A STATISTICAL APPROACH TO DIFFERENCE‐DELAY EQUATION MODELLING IN ECOLOGY–TWO CASE STUDIES1
    Journal of Time Series Analysis, 1983, 4, (4), 239-267
34. ON THE DISTRIBUTION OF A SIMPLE STATIONARY BILINEAR PROCESS
    Journal of Time Series Analysis, 1983, 4, (3), 209-216

1982

35. A NOTE ON USING THRESHOLD AUTOREGRESSIVE MODELS FOR MULTI‐STEP‐AHEAD PREDICTION OF CYCLICAL DATA
    Journal of Time Series Analysis, 1982, 3, (2), 137-140

1981

36. A NOTE ON A MARKOV BILINEAR STOCHASTIC PROCESS IN DISCRETE TIME
    Journal of Time Series Analysis, 1981, 2, (4), 279-284
37. A NOTE ON THE DISTRIBUTIONS OF NON‐LINEAR AUTOREGRESSIVE STOCHASTIC MODELS
    Journal of Time Series Analysis, 1981, 2, (1), 49-52 View citations (2)
38. Data Transformation and Self‐Exciting Threshold Autoregression
    Journal of the Royal Statistical Society Series C, 1981, 30, (3), 238-248 View citations (3)

1975

39. A Simulation Study of the Estimation of Evolutionary Spectral Functions
    Journal of the Royal Statistical Society Series C, 1975, 24, (3), 333-341 View citations (2)

Books

2008

1. Asset Pricing:A Structural Theory and Its Applications
   World Scientific Books, World Scientific Publishing Co. Pte. Ltd.

Chapters

2008

1. A Structural Theory of Asset Pricing and the Equity Premium Puzzle
   Chapter 2 in Asset Pricing A Structural Theory and Its Applications, 2008, pp 13-29
2. Algebra of Stochastic Discount Factors — The Structural Theory of Asset Pricing (Part II)
   Chapter 3 in Asset Pricing A Structural Theory and Its Applications, 2008, pp 31-56
3. Introduction to Modern Asset Pricing
   Chapter 1 in Asset Pricing A Structural Theory and Its Applications, 2008, pp 1-12
4. Investment and Consumption in a Multi-period Framework
   Chapter 4 in Asset Pricing A Structural Theory and Its Applications, 2008, pp 57-69