• 3516 Citations
  • 29 h-Index
1985 …2020
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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
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 journalArticle

Covariance matrix
Time series
Wishart Distribution
Positive Definiteness
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
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 journalArticle

Heteroscedastic Model
Robust Tests
Conditional Model
Goodness of Fit Test

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
Mean reversion