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LI Wai Keung

  • 3564 Citations
  • 30 h-Index
1985 …2020
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Personal profile

Personal profile

Chinese Name : 李偉強

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Time Series Models Mathematics
Residual Autocorrelation Mathematics
Conditional Heteroscedasticity Mathematics
Time series Mathematics
Asymptotic distribution Mathematics
Heteroscedastic Model Mathematics
Model Mathematics
Conditional Model Mathematics

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Research Outputs 1985 2020

  • 3564 Citations
  • 30 h-Index
  • 130 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

A portmanteau test for smooth transition autoregressive models

XIA, Q., ZHANG, Z. & LI, W. K., Dec 2019, In : Journal of Time Series Analysis.

Research output: Contribution to journal › Article

Residual Autocorrelation
Portmanteau Test
Transition Model
Autoregressive Model
Lagrange multiplier Test
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