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

GARCH Model
Mathematics

Heteroscedastic Model
Mathematics

Model
Mathematics

Autoregressive Model
Mathematics

Time series
Mathematics

Conditional Model
Mathematics

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Network
Recent external collaboration on country level. Dive into details by clicking on the dots.

## Research Outputs 1999 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

## 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

## 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. 227-247Research output: Contribution to journal › Article

Probabilistic logics

Probabilistic Logic

Global positioning system

Segmentation

Trajectories