• 2020 Citations
  • 23 h-Index
19992019
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Personal profile

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
GARCH Model Mathematics
Heteroscedastic Model Mathematics
Model Mathematics
Autoregressive Model Mathematics
Time series Mathematics
Conditional Model Mathematics

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Research Outputs 1999 2019

  • 2020 Citations
  • 23 h-Index
  • 97 Article
  • 8 Chapter
  • 2 Book
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 journalArticle

High-frequency Data
Noisy Data
Spike
Volatility
Eigenvalue Distribution

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 journalArticle

Pairs trading
Cointegration
Mean reversion
Statistics
Screening
2 Citations (Scopus)

Forecasting high-dimensional realized volatility matrices using a factor model

SHEN, K., YAO, J. & LI, W. K., Jun 2018, In : Quantitative Finance.

Research output: Contribution to journalArticle

Realized volatility
Covariance matrix
Benchmark
Modeling
Asymptotic theory

GPS trajectory data segmentation based on probabilistic logic

GUO, S., LI, X., CHING, W-K., DAN, R., LI, W. K. & ZHANG, Z., Dec 2018, In : International Journal of Approximate Reasoning. 103, p. 227-247

Research output: Contribution to journalArticle

Probabilistic logics
Probabilistic Logic
Global positioning system
Segmentation
Trajectories