Research Output per year
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
Time series
Mathematics
Residual Autocorrelation
Mathematics
Asymptotic distribution
Mathematics
Heteroscedastic Model
Mathematics
Conditional Model
Mathematics
Model
Mathematics
Network
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Research Outputs 1985 2019
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. 207-221Research 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. 73-89Research 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. 177-184Research output: Contribution to journal › Article
Pairs trading
Cointegration
Mean reversion
Statistics
Screening
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 journal › Article
Realized volatility
Covariance matrix
Benchmark
Modeling
Asymptotic theory