LI Wai Keung

Research Chair Professor of Data Science, Department of Mathematics and Information Technology (MIT)
Dean, Faculty of Liberal Arts and Social Sciences (FLASS)

3516 Citations
29 h-Index

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Personal profile

Chinese Name : 李偉強

Fingerprint Dive into the research topics where Wai Keung LI is active. These topic labels come from the works of this person. Together they form a unique fingerprint.

Time Series Models Mathematics

Conditional Heteroscedasticity Mathematics

Time series Mathematics

Residual Autocorrelation Mathematics

Asymptotic distribution Mathematics

Heteroscedastic Model Mathematics

Model Mathematics

Conditional Model Mathematics

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Research Outputs 1985 2020

3516 Citations
29 h-Index
129 Article
9 Chapter
2 Book

Modeling RCOV matrices with a generalized threshold conditional autoregressive Wishart model

CUI, Y., ZHU, F. & LI, W. K., 2020, In : Statistics and its Interface. 13, 1, p. 77-89

Research output: Contribution to journal › Article

Covariance matrix

Modeling

Time series

Wishart Distribution

Positive Definiteness

An experiment on Autoregressive and Threshold Autoregressive models with non-Gaussian error with application to realized volatility

ZHANG, Z. & LI, W. K., Jun 2019, In : Economies. 7, 2, 58.

Research output: Contribution to journal › Article

Realized Volatility

Threshold Autoregressive Model

Random Error

AR Model

Threshold Model

1 Citation (Scopus)

On a spiked model for large volatility matrix estimation from noisy high-frequency data

SHEN, K., YAO, J. & LI, W. K., Mar 2019, In : Computational Statistics and Data Analysis. 131, p. 207-221

Research output: Contribution to journal › Article

High-frequency Data

Noisy Data

Spike

Volatility

Eigenvalue Distribution

1 Citation (Scopus)

A robust goodness-of-fit test for generalized autoregressive conditional heteroscedastic models

ZHENG, Y., LI, W. K. & LI, G., Mar 2018, In : Biometrika. 105, 1, p. 73-89

Research output: Contribution to journal › Article

Heteroscedastic Model

Robust Tests

Conditional Model

Goodness of Fit Test

Innovation

A single-stage approach for cointegration-based pairs trading

LAW, K. F., LI, W. K. & YU, P. L. H., Sep 2018, In : Finance Research Letters. 26, p. 177-184

Research output: Contribution to journal › Article

Pairs trading

Cointegration

Mean reversion

Statistics

Screening