Shiqing LING
凌仕卿

PhD in Statistics
The University of Hong Kong, 1997

Chair Professor
Department of Mathematics

Research Interest


  • Large sample theory
  • Empirical processes
  • Nonstationary time series
  • Nonlinear time series
  • Long memory time series

Publications



2024 3

Asymptotic inference of the ARMA model with time-functional variance noises

Scandinavian Journal of Statistics, February 2024
Cai, Bibi; Zhu, Enwen; Ling, Shiqing
Article

On a Partially Non-Stationary Vector AR Model with Vector GARCH Noises: Estimation and Testing

Communications in Mathematical Research, v. 40, (1), February 2024, p. 64-101
Sin, Chor-yiu; Mi, Zichuan; Ling, Shiqing
Article

On ergodicity of threshold ARMA(m, p, q) models

Japanese Journal of Statistics and Data Science, May 2024
Bai, Qiang; Ling, Shiqing
Article
2023 3

Inference for the VEC(1) model with a heavy-tailed linear process errors*

Econometric Reviews, 31 July 2023
Guo, Feifei; Ling, Shiqing
Article

Testing for Structural Change of Predictive Regression Model to Threshold Predictive Regression Model

Journal of Business & Economic Statistics, v. 41, (1), January 2023, p. 228-240
Zhu, Fukang; Liu, Mengya; Ling, Shiqing; Cai, Zongwu
Article

Testing threshold effect in single-index models

Statistics and Its Interface, v. 16, (1), 2023, p. 43-56
Gao, Zhaoxing; Mi, Zichuan; Ling, Shiqing
Article
2022 5

Automated Estimation of Heavy-Tailed Vector Error Correction Models

Statistica Sinica, v. 32, (4), October 2022, p. 2171-2198
Guo, Feifei; Ling, Shiqing; Mi, Zichuan
Article

Consistency of global LSE for MA(1) models

Statistics and Probability Letters, v. 182, March 2022, article number 109292
Yang, Yaxing; Ling, Shiqing; Wang, Qiying
Article

LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise

Journal of Econometrics, v. 227, (1), March 2022, p. 228-240
Zhang, Xingfa; Zhang, Rongmao; Li, Yuan; Ling, Shiqing
Article

Self-Weighted LSE and Residual-Based QMLE of ARMA-GARCH Models

Journal of Risk and Financial Management, v. 15, (2), February 2022, article number 90
Ling, Shiqing; Zhu, Ke
Article

Whittle parameter estimation for vector ARMA models with heavy-tailed noises

Journal of Statistical Planning and Inference, v. 219, July 2022, p. 216-230
She, Rui; Mi, Zichuan; Ling, Shiqing
Article
2021 1

Testing Serial Correlation and ARCH Effect of High-Dimensional Time-Series Data

Journal of Business and Economic Statistics, v. 39, (1), January 2021, p. 136-147
Ling, Shiqing; Tsay, Ruey; Yang, Yaxing
Article
2020 3

Inference in heavy-tailed vector error correction models

Journal of Econometrics, v. 214, (2), February 2020, p. 433-450
She, Rui; Ling, Shiqing
Article

Lasso-based Variable Selection of ARMA Models

Statistica Sinica, v. 30, (4), October 2020, p. 1925-1948
Chan, Ngai Hang; Ling, Shiqing; Yau, Chun Yip
Article

Quasi-likelihood estimation of structure-changed threshold double autoregressive models

Journal of Statistical Planning and Inference, v. 205, March 2020, p. 138-155
Guo, Feifei; Ling, Shiqing
Article
2019 2

On brownian motion approximation of compound poisson processes with applications to threshold models

Advances in Decision Sciences, v. 23, (2), June 2019, p. 164-191
Li, Dong; Ling, Shiqing; Tong, Howell; Yang, Guangren
Article

Statistical Inference for Structurally Changed Threshold Autoregressive Models

Statistica Sinica, v. 29, (4), October 2019, p. 1803-1829
Gao, Zhaoxing; Ling, Shiqing
Article
2018 3

A note on the LSE of three-regime TAR model with an infinite variance

Annals of Financial Economics, v. 13, (2), June 2018, article number 1850007, p. 1-13
Yang, Yaxing; Ling, Shiqing
Article

Tests for tar models VS. star models-a separate family of hypotheses approach

Statistica Sinica, v.28, (4), October 2018, p. 2857-2883
Gao, Zhaoxing; Ling, Shiqing; Tong, Howell
Article

The ZD-GARCH model: a new way to study heteroscedasticity

Journal of Econometrics, v. 202, (1), January 2018, p. 1-17
Li, Dong; Zhang, Xingfa; Zhu, Ke; Ling, Shiqing
Article
2017 3

Goodness-of-fit test for non-linear time series models

Annals of Financial Economics, v. 12, (2), Jun 2017, p. 1-21
Ngai sze han; Ling, Shiqing
Article

Inference for heavy-tailed and multiple-threshold double autoregressive models

Journal of Business and Economic Statistics, v. 35, (2), April 2017, p. 318-333
Yang, Yaxing; Ling, Shiqing
Article

Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models

Journal of Econometrics, v. 197, (2), April 2017, p. 368-381
Yang, Yaxing; Ling, Shiqing
Article
2016 3

Estimation of Change-Points in Linear and Nonlinear Time Series Models

Econometric Theory, v. 32, (2), April 2016, p. 402-430
Ling, Shiqing
Article

On a Threshold Double Autoregressive Model

Journal of Business and Economic Statistics, v. 34, (1), January 2016, p. 68-80
Li, Dong; Ling, Shiqing; Zhang, Rongmao
Article

Diagnostic Checking for Partially Nonstationary Multivariate ARMA Models

Advances in Time Series Methods and Applications: The A. Ian McLeod Festschrift / Edited by Wai Keung Li, David A. Stanford, Hao Yu. New York : Springer, 2016, p. 115-130, Book series: Fields Institute Communications, v. 78
Tai, Man Tang; Yang, Yaxing; Ling, Shiqing
Book chapter
2015 6

Asymptotic Inference for Ar Models with Heavy-Tailed G-Garch Noises

Econometric Theory, v. 31, (4), August 2015, p. 880-890
Zhang, Rongmao; Ling, Shiqing
Article

Asymptotic inference in multiple-threshold double autoregressive models

Journal of Econometrics, v. 189, (2), December 2015, p. 415-427
Li, Dong; Ling, Shiqing; Zakoïan, Jean Michel
Article

INFERENCE FOR A SPECIAL BILINEAR TIME-SERIES MODEL

Journal of Time Series Analysis, v. 36, (1), January 2015, p. 61-66
Ling, Shiqing; Peng, Liang; Zhu, Fukang
Article

LADE-Based Inference for ARMA Models With Unspecified and Heavy-Tailed Heteroscedastic Noises

Journal of the American Statistical Association, v. 110, (510), April 2015, p. 784-794
Zhu, Ke; Ling, Shiqing
Article

Model-based pricing for financial derivatives

Journal of Econometrics, v. 187, (2), August 2015, p. 447-457
Zhu, Ke; Ling, Shiqing
Article

On functional limits of short- and long-memory linear processes with GARCH(1,1) noises

Stochastic Processes and their Applications, v. 125, (2), 2015, p. 482-512
Zhang, Rong-Mao; Sin, Chor-yiu; Ling, Shiqing
Article
2014 5

Comment

Journal of Business and Economic Statistics, v. 32, (2), April 2014, p. 202-203
Ling, Shiqing; Zhu, Ke
Article

Comment of "Principal Volatility Component Analysis" by Hu and Tsay

Journal of Business and Economic Statistics, v. 32, (2), April 2014, p. 165
Ling, Shiqing
Article

Factor double autoregressive models with application to simultaneous causality testing

Journal of Statistical Planning and Inference, v. 148, May 2014, p. 82-94
Guo, Shaojun; Ling, Shiqing; Zhu, Ke
Article

Non-stationarity and quasi-maximum likelihood estimation on a double autoregressive model

Journal of Time Series Analysis, v. 35, (3), 2014, p. 189-202
Chen, Min; Li, Dong; Ling, Shiqing
Article

On Conditionally Heteroscedastic AR Models with Thresholds

Statistica Sinica, v. 24, (2), April 2014, p. 625-652
Chan, Kung-Sik; Li, Dong; Ling, Shiqing; Tong, Howell
Article
2013 3

ASYMPTOTIC THEORY ON THE LEAST SQUARES ESTIMATION OF THRESHOLD MOVING-AVERAGE MODELS

Econometric Theory, v. 29, (3), June 2013, p. 482-516
Li, Dong; Ling, Shiqing; Li, Wai Keung
Article

Diagnostic checking for non-stationary ARMA models with an application to financial data

North American Journal of Economics and Finance, v. 26, December 2013, p. 624-639
Ling, Shiqing; Zhu, Ke; Yee, Chong Ching
Article

Quasi-maximum exponential likelihood estimators for a double AR(p) model

Statistica Sinica, v. 23, (2), April 2013, p. 251-270
Zhu, Ke; Ling, Shiqing
Article
2012 4

Likelihood ratio tests for the structural change of an AR(p) model to a Threshold AR(p) model

Journal of time series analysis, v. 33, (2), March 2012, p. 223-232
Zhu, Ke; Ling, Shiqing
Article

On moving-average models with feedback

Bernoulli, v. 18, (2), May 2012, p. 735-745
Li, Dong; Ling, Shiqing; Tong, Howell
Article

On the least squares estimation of multiple-regime threshold autoregressive models

Journal of econometrics, v. 167, (1), 2012, p. 240-253
Li, D.; Ling, S.
Article

The global weighted LAD estimators for finite/infinite variance ARMA (p, q) models

Econometric Theory, v. 28, (5), 2012, p. 1065-1086
Zhu, Ke; Ling, Shiqing
Article
2011 5

Global Self-weighted and Local Quasi-maximum Exponential Likelihood Estimators for ARMA–GARCH/IGARCH Models

The Annals of Statistics, v. 39, (4), August 2011, p. 2131-2163
Zhu, Ke; Ling, Shiqing
Article

On non-stationary threshold autoregressive models

Bernoulli, v. 17, (3), August 2011, p. 969-986
Liu, Weidong; Ling, Shiqing; Shao, Qi-Man
Article

On the Least Squares Estimation of Threshold Autoregressive and Moving-average Models

Statistics and Its Interface, v. 4, (2), 2011, p. 183-196
Li, Dong; Li, Wai Keung; Ling, Shiqing
Article

Score Based Goodness-of-fit Tests for Time Series

Statistica Sinica, v. 21, (4), 2011, p. 1807-1829
Ling, S.; Tong, H.
Article

Testing for structural change of AR model to threshold AR model

Journal of time series analysis, v. 32, (5), September 2011, p. 547-565
Berkes, Istvan; Horvath, Lajos; Ling, Shiqing; Schauer, Johannes
Article
2010 1

A General Asymptotic Theory for Time-series Models

Statistica Neerlandica, v. 64, (1), 2010, FEB, p. 97-111
Ling, Shiqing; McAleer, Michael
Article
2009 2

Estimation in Nonstationary Random Coefficient Autoregressive Models

Journal of time series analysis, v. 30, (4), 2009, p. 395-416
Berkes, I.; Horváth, L.; Ling, S.
Article

On Distinguishing between Random Walk and Change in the Mean Alternatives

Econometric theory, v. 25, (2), 2009, APR, p. 411-441
Aue, Alexander; Horvath, Lajos; Huskova, Marie; Ling, Shiqing
Article
2008 3

Asymptotic inference for a nonstationary double AR(1) model

Biometrika, v. 95, (1), 2008, MAR, p. 257-263
Ling, Shiqing; Li, Dong
Article

Canonical Correlation Analysis for the Vector AR(1) Model with ARCH Innovations

Journal of statistical planning and inference, v. 138, (9), 2008, SEP 1, p. 2826-2836
Tsay, Ruey S.; Ling, Shiqing
Article

Residual Empirical Processes for Long and Short Memory Time Series

The Annals of Statistics, v. 36, (5), 2008, OCT, p. 2453-2470
Chan, Ngai Hang; Ling, Shiqing
Article
2007 4

A Double AR(p) Model: Structure and Estimation

Statistica Sinica, v. 17, (1), 2007, JAN, p. 161-175
Ling, Shiqing
Article

Ergodicity and Invertibility of Threshold Moving-average Models

Bernoulli, v. 13, (1), 2007, FEB, p. 161-168
Ling, Shiqing; Tong, Howell; Li, Dong
Article

Self-weighted and Local Quasi-maximum Likelihood Estimators for ARMA-GARCH/IGARCH Models

Journal of econometrics, v. 140, (2), 2007, OCT, p. 849-873
Ling, Shiqing
Article

Testing for Change Points in Time Series Models and Limiting Theorems for NED Sequences

The Annals of Statistics, v. 35, (3), 2007, JUN, p. 1213-1237
Ling, Shiqing
Article
2006 2

Empirical Likelihood for GARCH Models

Econometric theory, v. 22, (3), 2006, JUN, p. 403-428
Chan, NH; Ling, SQ
Article

Fitting an Error Distribution in Some Heteroscedastic Time Series Models

The Annals of Statistics, v. 34, (2), 2006, APR, p. 994-1012
Koul, Hira L.; Ling, Shiqing
Article
2005 5

Joint Modeling of Cointegration and Conditional Beteroscedasticity with Applications

Annals of the Institute of Statistical Mathematics, v. 57, (1), 2005, MAR, p. 83-103
Wong, H.; Li, WK; Ling, SQ
Article

Mixed Portmanteau Tests for Time-series Models

Journal of time series analysis, v. 26, (4), 2005, JUL, p. 569-579
Wong, H.; Ling, SQ
Article

Self-weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models

Journal of the Royal Statistical Society. Series B: Statistical Methodology,, v. 67, (3), 2005, p. 381-393
Ling, Shiqing
Article

Testing for a Linear MA Model Against Threshold MA Models

The Annals of Statistics, v. 33, (6), 2005, DEC, p. 2529-2552
Ling, Shiqing; Tong, H.
Article

Self-Weighted Guantile Estimation for Infinite Variance Autoregressive Models.

Simulation and Modeling: Integrating Sciences and Technology for Effective Resource Management /Putchong Utayopas, Ussanee Purintrapiban, Voratas Kachitvichyanukul. Bangkok: Asian Institute of Technology, 2005, p. 626-634
Ling, Shiqing
Book chapter
2004 4

Estimation and Testing Stationarity for Double-autoregressive Models

Journal of the Royal Statistical Society. Series B: Statistical Methodology, v. 66, (1), February 2004, p. 63-78
Ling, Shiqing
Article

Hill's Estimator for the Tail Index of an ARMA Model

Journal of statistical planning and inference, v. 123, (2), 2004, JUL 1, p. 279-293
Ling, SQ; Peng, LA
Article

Regression Quantiles for Unstable Autoregressive Models

Journal of multivariate analysis, v. 89, (2), 2004, MAY, p. 304-328
Ling, SQ; McAleer, M.
Article

MLE for change-point in ARMA-GARCH models with a changing drift

PROBABILITY, FINANCE AND INSURANCE, 2004, p. 174-194
Ling, SQ
Conference paper
2003 6

Adaptive Estimators and Tests of Stationary and Nonstationary Short- and Long-Memory ARFIMA–GARCH Models

Journal of the American Statistical Association, v. 98, (464), 2003, DEC, p. 955-967
Ling, SQ
Article

Asymptotic Inference for Unit Root Processes with GARCH(1,1) Errors

Econometric theory, v. 19, (4), 2003, AUG, p. 541-564
Ling, SQ; Li, WK
Article

Asymptotic Theory for a Vector ARMA-GARCH Model

Econometric theory, v. 19, (2), 2003, APR, p. 280-310
Ling, SQ; McAleer, M.
Article

Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence

Econometric Reviews, v. 22, (2), 2003, p. 179-202
Ling, S.; Li, W.K.; McAleer, M.
Article

On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors

The Annals of Statistics, v. 31, (2), 2003, p. 642-674
Ling, S.; McAleer, M.
Article

MLE for change-point in ARMA-GARCH models with a changing drift

MODSIM 2003: INTERNATIONAL CONGRESS ON MODELLING AND SIMULATION, VOLS 1-4: VOL 1: NATURAL SYSTEMS, PT 1; VOL 2: NATURAL SYSTEMS, PT 2; VOL 3: SOCIO-ECONOMIC SYSTEMS; VOL 4: GENERAL SYSTEMS, 2003, p. 1299-1304
Ling, SQ
Conference paper
2002 4

Necessary and Sufficient Moment Conditions for the GARCH(r,s) and Asymmetric Power GARCH(r,s) Models

Econometric theory, v. 18, (3), 2002, JUN, p. 722-729
Ling, SQ; McAleer, M.
Article

Recent Theoretical Results for Time Series Models with GARCH Errors

Journal of economic surveys, v. 16, (3), 2002, p. 245-270
Li, W.K.; Ling, S.; McAleer, M.
Article

Stationarity and the Existence of Moments of a Family of GARCH Processes

Journal of econometrics, v. 106, (1), 2002, JAN, p. 109-117
Ling, SQ; McAleer, M.
Article

Determining an Optimal Window Size for Modelling Volatility

Handbook of Applied Econometrics and Statistical Inference / Edited by Ullah, A., Wan, A., Chaturvedi, A., Marcel Dekker. New York. 2002, p. 443-467
Yew, X.C.H.; McAleer, M.; Ling, Shiqing
Book chapter
2001 2

Asymptotic Inference for Nonstationary Fractionally Integrated Autoregressive Moving-Average Models

Econometric theory, v. 17, (4), 2001, AUG, p. 738-764
Ling, Shiqing; Li, W.K.
Article

Estimation for Partially Nonstationary Multivariate Autoregressive models with Conditional Heteroscedasticity

Biometrika, v. 88, (4), 2001, DEC, p. 1135-1152
Li, WK; Ling, SQ; Wong, H.
Article
1999 2

On the Probabilistic Properties of a Double Threshold ARMA Conditional Heteroskedastic Model

Journal of Applied Probability, v.36, (3), 1999, p. 688-705
Ling, Shiqing
Article

On the Stationarity and the Existence of Moment of Conditional Heteroskedastic ARMA Models

Statistica Sinica, v. 9, (4), 1999, Oct, p. 1119-1130
Ling, S.
Article
1998 3

Limiting Distributions of Maximum Likelihood Estimators for Unstable Autoregressive Moving-Average Time Series with General Autoregressive Heteroscedastic Errors

The Annals of Statistics, v. 26, (1), 1998, Feb, p. 84-125
Ling, S.; Li, W.K.
Article

Weak Convergence of the Sequential Empirical Processes of Residuals in Nonstationary Autoregressive Models

The Annals of Statistics, v. 26, (2), 1998, p. 741-754
Ling, S.
Article

Testing GARCH versus E-GARCH

Statistics and Finance: An Interface / Edited by Wai-Sum Chan, Wai Keung Li, Howell Tong. World Scientific Publishing Company, 2000, p. 226-244
Ling, Shiqing; McAleer, M.
Book chapter
1997 2

Diagnostic checking of nonlinear multivariate time series with multivariate ARCH errors

Journal of time series analysis, v. 18, (5), 1997, p. 447-464
Ling, S.; Li, W.K.
Article

On Fractionally Integrated Autoregressive Moving-Average Time Series Models with Conditional Heteroscedasticity

Journal of the American Statistical Association, v. 92, (439), September 1997, p. 1184-1194
Ling, SQ; Li, WK
Article
Article 3

Asymptotic inference of the ARMA model with time-functional variance noises

Scandinavian Journal of Statistics, February 2024
Cai, Bibi; Zhu, Enwen; Ling, Shiqing

On a Partially Non-Stationary Vector AR Model with Vector GARCH Noises: Estimation and Testing

Communications in Mathematical Research, v. 40, (1), February 2024, p. 64-101
Sin, Chor-yiu; Mi, Zichuan; Ling, Shiqing

On ergodicity of threshold ARMA(m, p, q) models

Japanese Journal of Statistics and Data Science, May 2024
Bai, Qiang; Ling, Shiqing
Article 3

Inference for the VEC(1) model with a heavy-tailed linear process errors*

Econometric Reviews, 31 July 2023
Guo, Feifei; Ling, Shiqing

Testing for Structural Change of Predictive Regression Model to Threshold Predictive Regression Model

Journal of Business & Economic Statistics, v. 41, (1), January 2023, p. 228-240
Zhu, Fukang; Liu, Mengya; Ling, Shiqing; Cai, Zongwu

Testing threshold effect in single-index models

Statistics and Its Interface, v. 16, (1), 2023, p. 43-56
Gao, Zhaoxing; Mi, Zichuan; Ling, Shiqing
Article 5

Automated Estimation of Heavy-Tailed Vector Error Correction Models

Statistica Sinica, v. 32, (4), October 2022, p. 2171-2198
Guo, Feifei; Ling, Shiqing; Mi, Zichuan

Consistency of global LSE for MA(1) models

Statistics and Probability Letters, v. 182, March 2022, article number 109292
Yang, Yaxing; Ling, Shiqing; Wang, Qiying

LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise

Journal of Econometrics, v. 227, (1), March 2022, p. 228-240
Zhang, Xingfa; Zhang, Rongmao; Li, Yuan; Ling, Shiqing

Self-Weighted LSE and Residual-Based QMLE of ARMA-GARCH Models

Journal of Risk and Financial Management, v. 15, (2), February 2022, article number 90
Ling, Shiqing; Zhu, Ke

Whittle parameter estimation for vector ARMA models with heavy-tailed noises

Journal of Statistical Planning and Inference, v. 219, July 2022, p. 216-230
She, Rui; Mi, Zichuan; Ling, Shiqing
Article 1

Testing Serial Correlation and ARCH Effect of High-Dimensional Time-Series Data

Journal of Business and Economic Statistics, v. 39, (1), January 2021, p. 136-147
Ling, Shiqing; Tsay, Ruey; Yang, Yaxing
Article 3

Inference in heavy-tailed vector error correction models

Journal of Econometrics, v. 214, (2), February 2020, p. 433-450
She, Rui; Ling, Shiqing

Lasso-based Variable Selection of ARMA Models

Statistica Sinica, v. 30, (4), October 2020, p. 1925-1948
Chan, Ngai Hang; Ling, Shiqing; Yau, Chun Yip

Quasi-likelihood estimation of structure-changed threshold double autoregressive models

Journal of Statistical Planning and Inference, v. 205, March 2020, p. 138-155
Guo, Feifei; Ling, Shiqing
Article 2

On brownian motion approximation of compound poisson processes with applications to threshold models

Advances in Decision Sciences, v. 23, (2), June 2019, p. 164-191
Li, Dong; Ling, Shiqing; Tong, Howell; Yang, Guangren

Statistical Inference for Structurally Changed Threshold Autoregressive Models

Statistica Sinica, v. 29, (4), October 2019, p. 1803-1829
Gao, Zhaoxing; Ling, Shiqing
Article 3

A note on the LSE of three-regime TAR model with an infinite variance

Annals of Financial Economics, v. 13, (2), June 2018, article number 1850007, p. 1-13
Yang, Yaxing; Ling, Shiqing

Tests for tar models VS. star models-a separate family of hypotheses approach

Statistica Sinica, v.28, (4), October 2018, p. 2857-2883
Gao, Zhaoxing; Ling, Shiqing; Tong, Howell

The ZD-GARCH model: a new way to study heteroscedasticity

Journal of Econometrics, v. 202, (1), January 2018, p. 1-17
Li, Dong; Zhang, Xingfa; Zhu, Ke; Ling, Shiqing
Article 3

Goodness-of-fit test for non-linear time series models

Annals of Financial Economics, v. 12, (2), Jun 2017, p. 1-21
Ngai sze han; Ling, Shiqing

Inference for heavy-tailed and multiple-threshold double autoregressive models

Journal of Business and Economic Statistics, v. 35, (2), April 2017, p. 318-333
Yang, Yaxing; Ling, Shiqing

Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models

Journal of Econometrics, v. 197, (2), April 2017, p. 368-381
Yang, Yaxing; Ling, Shiqing
Article 2

Estimation of Change-Points in Linear and Nonlinear Time Series Models

Econometric Theory, v. 32, (2), April 2016, p. 402-430
Ling, Shiqing

On a Threshold Double Autoregressive Model

Journal of Business and Economic Statistics, v. 34, (1), January 2016, p. 68-80
Li, Dong; Ling, Shiqing; Zhang, Rongmao
Book chapter 1

Diagnostic Checking for Partially Nonstationary Multivariate ARMA Models

Advances in Time Series Methods and Applications: The A. Ian McLeod Festschrift / Edited by Wai Keung Li, David A. Stanford, Hao Yu. New York : Springer, 2016, p. 115-130, Book series: Fields Institute Communications, v. 78
Tai, Man Tang; Yang, Yaxing; Ling, Shiqing
Article 6

Asymptotic Inference for Ar Models with Heavy-Tailed G-Garch Noises

Econometric Theory, v. 31, (4), August 2015, p. 880-890
Zhang, Rongmao; Ling, Shiqing

Asymptotic inference in multiple-threshold double autoregressive models

Journal of Econometrics, v. 189, (2), December 2015, p. 415-427
Li, Dong; Ling, Shiqing; Zakoïan, Jean Michel

INFERENCE FOR A SPECIAL BILINEAR TIME-SERIES MODEL

Journal of Time Series Analysis, v. 36, (1), January 2015, p. 61-66
Ling, Shiqing; Peng, Liang; Zhu, Fukang

LADE-Based Inference for ARMA Models With Unspecified and Heavy-Tailed Heteroscedastic Noises

Journal of the American Statistical Association, v. 110, (510), April 2015, p. 784-794
Zhu, Ke; Ling, Shiqing

Model-based pricing for financial derivatives

Journal of Econometrics, v. 187, (2), August 2015, p. 447-457
Zhu, Ke; Ling, Shiqing

On functional limits of short- and long-memory linear processes with GARCH(1,1) noises

Stochastic Processes and their Applications, v. 125, (2), 2015, p. 482-512
Zhang, Rong-Mao; Sin, Chor-yiu; Ling, Shiqing
Article 5

Comment

Journal of Business and Economic Statistics, v. 32, (2), April 2014, p. 202-203
Ling, Shiqing; Zhu, Ke

Comment of "Principal Volatility Component Analysis" by Hu and Tsay

Journal of Business and Economic Statistics, v. 32, (2), April 2014, p. 165
Ling, Shiqing

Factor double autoregressive models with application to simultaneous causality testing

Journal of Statistical Planning and Inference, v. 148, May 2014, p. 82-94
Guo, Shaojun; Ling, Shiqing; Zhu, Ke

Non-stationarity and quasi-maximum likelihood estimation on a double autoregressive model

Journal of Time Series Analysis, v. 35, (3), 2014, p. 189-202
Chen, Min; Li, Dong; Ling, Shiqing

On Conditionally Heteroscedastic AR Models with Thresholds

Statistica Sinica, v. 24, (2), April 2014, p. 625-652
Chan, Kung-Sik; Li, Dong; Ling, Shiqing; Tong, Howell
Article 3

ASYMPTOTIC THEORY ON THE LEAST SQUARES ESTIMATION OF THRESHOLD MOVING-AVERAGE MODELS

Econometric Theory, v. 29, (3), June 2013, p. 482-516
Li, Dong; Ling, Shiqing; Li, Wai Keung

Diagnostic checking for non-stationary ARMA models with an application to financial data

North American Journal of Economics and Finance, v. 26, December 2013, p. 624-639
Ling, Shiqing; Zhu, Ke; Yee, Chong Ching

Quasi-maximum exponential likelihood estimators for a double AR(p) model

Statistica Sinica, v. 23, (2), April 2013, p. 251-270
Zhu, Ke; Ling, Shiqing
Article 4

Likelihood ratio tests for the structural change of an AR(p) model to a Threshold AR(p) model

Journal of time series analysis, v. 33, (2), March 2012, p. 223-232
Zhu, Ke; Ling, Shiqing

On moving-average models with feedback

Bernoulli, v. 18, (2), May 2012, p. 735-745
Li, Dong; Ling, Shiqing; Tong, Howell

On the least squares estimation of multiple-regime threshold autoregressive models

Journal of econometrics, v. 167, (1), 2012, p. 240-253
Li, D.; Ling, S.

The global weighted LAD estimators for finite/infinite variance ARMA (p, q) models

Econometric Theory, v. 28, (5), 2012, p. 1065-1086
Zhu, Ke; Ling, Shiqing
Article 5

Global Self-weighted and Local Quasi-maximum Exponential Likelihood Estimators for ARMA–GARCH/IGARCH Models

The Annals of Statistics, v. 39, (4), August 2011, p. 2131-2163
Zhu, Ke; Ling, Shiqing

On non-stationary threshold autoregressive models

Bernoulli, v. 17, (3), August 2011, p. 969-986
Liu, Weidong; Ling, Shiqing; Shao, Qi-Man

On the Least Squares Estimation of Threshold Autoregressive and Moving-average Models

Statistics and Its Interface, v. 4, (2), 2011, p. 183-196
Li, Dong; Li, Wai Keung; Ling, Shiqing

Score Based Goodness-of-fit Tests for Time Series

Statistica Sinica, v. 21, (4), 2011, p. 1807-1829
Ling, S.; Tong, H.

Testing for structural change of AR model to threshold AR model

Journal of time series analysis, v. 32, (5), September 2011, p. 547-565
Berkes, Istvan; Horvath, Lajos; Ling, Shiqing; Schauer, Johannes
Article 1

A General Asymptotic Theory for Time-series Models

Statistica Neerlandica, v. 64, (1), 2010, FEB, p. 97-111
Ling, Shiqing; McAleer, Michael
Article 2

Estimation in Nonstationary Random Coefficient Autoregressive Models

Journal of time series analysis, v. 30, (4), 2009, p. 395-416
Berkes, I.; Horváth, L.; Ling, S.

On Distinguishing between Random Walk and Change in the Mean Alternatives

Econometric theory, v. 25, (2), 2009, APR, p. 411-441
Aue, Alexander; Horvath, Lajos; Huskova, Marie; Ling, Shiqing
Article 3

Asymptotic inference for a nonstationary double AR(1) model

Biometrika, v. 95, (1), 2008, MAR, p. 257-263
Ling, Shiqing; Li, Dong

Canonical Correlation Analysis for the Vector AR(1) Model with ARCH Innovations

Journal of statistical planning and inference, v. 138, (9), 2008, SEP 1, p. 2826-2836
Tsay, Ruey S.; Ling, Shiqing

Residual Empirical Processes for Long and Short Memory Time Series

The Annals of Statistics, v. 36, (5), 2008, OCT, p. 2453-2470
Chan, Ngai Hang; Ling, Shiqing
Article 4

A Double AR(p) Model: Structure and Estimation

Statistica Sinica, v. 17, (1), 2007, JAN, p. 161-175
Ling, Shiqing

Ergodicity and Invertibility of Threshold Moving-average Models

Bernoulli, v. 13, (1), 2007, FEB, p. 161-168
Ling, Shiqing; Tong, Howell; Li, Dong

Self-weighted and Local Quasi-maximum Likelihood Estimators for ARMA-GARCH/IGARCH Models

Journal of econometrics, v. 140, (2), 2007, OCT, p. 849-873
Ling, Shiqing

Testing for Change Points in Time Series Models and Limiting Theorems for NED Sequences

The Annals of Statistics, v. 35, (3), 2007, JUN, p. 1213-1237
Ling, Shiqing
Article 2

Empirical Likelihood for GARCH Models

Econometric theory, v. 22, (3), 2006, JUN, p. 403-428
Chan, NH; Ling, SQ

Fitting an Error Distribution in Some Heteroscedastic Time Series Models

The Annals of Statistics, v. 34, (2), 2006, APR, p. 994-1012
Koul, Hira L.; Ling, Shiqing
Article 4

Joint Modeling of Cointegration and Conditional Beteroscedasticity with Applications

Annals of the Institute of Statistical Mathematics, v. 57, (1), 2005, MAR, p. 83-103
Wong, H.; Li, WK; Ling, SQ

Mixed Portmanteau Tests for Time-series Models

Journal of time series analysis, v. 26, (4), 2005, JUL, p. 569-579
Wong, H.; Ling, SQ

Self-weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models

Journal of the Royal Statistical Society. Series B: Statistical Methodology,, v. 67, (3), 2005, p. 381-393
Ling, Shiqing

Testing for a Linear MA Model Against Threshold MA Models

The Annals of Statistics, v. 33, (6), 2005, DEC, p. 2529-2552
Ling, Shiqing; Tong, H.
Book chapter 1

Self-Weighted Guantile Estimation for Infinite Variance Autoregressive Models.

Simulation and Modeling: Integrating Sciences and Technology for Effective Resource Management /Putchong Utayopas, Ussanee Purintrapiban, Voratas Kachitvichyanukul. Bangkok: Asian Institute of Technology, 2005, p. 626-634
Ling, Shiqing
Article 3

Estimation and Testing Stationarity for Double-autoregressive Models

Journal of the Royal Statistical Society. Series B: Statistical Methodology, v. 66, (1), February 2004, p. 63-78
Ling, Shiqing

Hill's Estimator for the Tail Index of an ARMA Model

Journal of statistical planning and inference, v. 123, (2), 2004, JUL 1, p. 279-293
Ling, SQ; Peng, LA

Regression Quantiles for Unstable Autoregressive Models

Journal of multivariate analysis, v. 89, (2), 2004, MAY, p. 304-328
Ling, SQ; McAleer, M.
Conference paper 1

MLE for change-point in ARMA-GARCH models with a changing drift

PROBABILITY, FINANCE AND INSURANCE, 2004, p. 174-194
Ling, SQ
Article 5

Adaptive Estimators and Tests of Stationary and Nonstationary Short- and Long-Memory ARFIMA–GARCH Models

Journal of the American Statistical Association, v. 98, (464), 2003, DEC, p. 955-967
Ling, SQ

Asymptotic Inference for Unit Root Processes with GARCH(1,1) Errors

Econometric theory, v. 19, (4), 2003, AUG, p. 541-564
Ling, SQ; Li, WK

Asymptotic Theory for a Vector ARMA-GARCH Model

Econometric theory, v. 19, (2), 2003, APR, p. 280-310
Ling, SQ; McAleer, M.

Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence

Econometric Reviews, v. 22, (2), 2003, p. 179-202
Ling, S.; Li, W.K.; McAleer, M.

On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors

The Annals of Statistics, v. 31, (2), 2003, p. 642-674
Ling, S.; McAleer, M.
Conference paper 1

MLE for change-point in ARMA-GARCH models with a changing drift

MODSIM 2003: INTERNATIONAL CONGRESS ON MODELLING AND SIMULATION, VOLS 1-4: VOL 1: NATURAL SYSTEMS, PT 1; VOL 2: NATURAL SYSTEMS, PT 2; VOL 3: SOCIO-ECONOMIC SYSTEMS; VOL 4: GENERAL SYSTEMS, 2003, p. 1299-1304
Ling, SQ
Article 3

Necessary and Sufficient Moment Conditions for the GARCH(r,s) and Asymmetric Power GARCH(r,s) Models

Econometric theory, v. 18, (3), 2002, JUN, p. 722-729
Ling, SQ; McAleer, M.

Recent Theoretical Results for Time Series Models with GARCH Errors

Journal of economic surveys, v. 16, (3), 2002, p. 245-270
Li, W.K.; Ling, S.; McAleer, M.

Stationarity and the Existence of Moments of a Family of GARCH Processes

Journal of econometrics, v. 106, (1), 2002, JAN, p. 109-117
Ling, SQ; McAleer, M.
Book chapter 1

Determining an Optimal Window Size for Modelling Volatility

Handbook of Applied Econometrics and Statistical Inference / Edited by Ullah, A., Wan, A., Chaturvedi, A., Marcel Dekker. New York. 2002, p. 443-467
Yew, X.C.H.; McAleer, M.; Ling, Shiqing
Article 2

Asymptotic Inference for Nonstationary Fractionally Integrated Autoregressive Moving-Average Models

Econometric theory, v. 17, (4), 2001, AUG, p. 738-764
Ling, Shiqing; Li, W.K.

Estimation for Partially Nonstationary Multivariate Autoregressive models with Conditional Heteroscedasticity

Biometrika, v. 88, (4), 2001, DEC, p. 1135-1152
Li, WK; Ling, SQ; Wong, H.
Article 2

On the Probabilistic Properties of a Double Threshold ARMA Conditional Heteroskedastic Model

Journal of Applied Probability, v.36, (3), 1999, p. 688-705
Ling, Shiqing

On the Stationarity and the Existence of Moment of Conditional Heteroskedastic ARMA Models

Statistica Sinica, v. 9, (4), 1999, Oct, p. 1119-1130
Ling, S.
Book chapter 1

Testing GARCH versus E-GARCH

Statistics and Finance: An Interface / Edited by Wai-Sum Chan, Wai Keung Li, Howell Tong. World Scientific Publishing Company, 2000, p. 226-244
Ling, Shiqing; McAleer, M.
Article 2

Diagnostic checking of nonlinear multivariate time series with multivariate ARCH errors

Journal of time series analysis, v. 18, (5), 1997, p. 447-464
Ling, S.; Li, W.K.

On Fractionally Integrated Autoregressive Moving-Average Time Series Models with Conditional Heteroscedasticity

Journal of the American Statistical Association, v. 92, (439), September 1997, p. 1184-1194
Ling, SQ; Li, WK
2019 2

On brownian motion approximation of compound poisson processes with applications to threshold models

Advances in Decision Sciences, v. 23, (2), June 2019, p. 164-191
Li, Dong; Ling, Shiqing; Tong, Howell; Yang, Guangren
Article

Statistical Inference for Structurally Changed Threshold Autoregressive Models

Statistica Sinica, v. 29, (4), October 2019, p. 1803-1829
Gao, Zhaoxing; Ling, Shiqing
Article
2018 3

A note on the LSE of three-regime TAR model with an infinite variance

Annals of Financial Economics, v. 13, (2), June 2018, article number 1850007, p. 1-13
Yang, Yaxing; Ling, Shiqing
Article

Tests for tar models VS. star models-a separate family of hypotheses approach

Statistica Sinica, v.28, (4), October 2018, p. 2857-2883
Gao, Zhaoxing; Ling, Shiqing; Tong, Howell
Article

The ZD-GARCH model: a new way to study heteroscedasticity

Journal of Econometrics, v. 202, (1), January 2018, p. 1-17
Li, Dong; Zhang, Xingfa; Zhu, Ke; Ling, Shiqing
Article
2017 3

Goodness-of-fit test for non-linear time series models

Annals of Financial Economics, v. 12, (2), Jun 2017, p. 1-21
Ngai sze han; Ling, Shiqing
Article

Inference for heavy-tailed and multiple-threshold double autoregressive models

Journal of Business and Economic Statistics, v. 35, (2), April 2017, p. 318-333
Yang, Yaxing; Ling, Shiqing
Article

Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models

Journal of Econometrics, v. 197, (2), April 2017, p. 368-381
Yang, Yaxing; Ling, Shiqing
Article
2016 3

Estimation of Change-Points in Linear and Nonlinear Time Series Models

Econometric Theory, v. 32, (2), April 2016, p. 402-430
Ling, Shiqing
Article

On a Threshold Double Autoregressive Model

Journal of Business and Economic Statistics, v. 34, (1), January 2016, p. 68-80
Li, Dong; Ling, Shiqing; Zhang, Rongmao
Article

Diagnostic Checking for Partially Nonstationary Multivariate ARMA Models

Advances in Time Series Methods and Applications: The A. Ian McLeod Festschrift / Edited by Wai Keung Li, David A. Stanford, Hao Yu. New York : Springer, 2016, p. 115-130, Book series: Fields Institute Communications, v. 78
Tai, Man Tang; Yang, Yaxing; Ling, Shiqing
Book chapter
2015 6

Asymptotic Inference for Ar Models with Heavy-Tailed G-Garch Noises

Econometric Theory, v. 31, (4), August 2015, p. 880-890
Zhang, Rongmao; Ling, Shiqing
Article

Asymptotic inference in multiple-threshold double autoregressive models

Journal of Econometrics, v. 189, (2), December 2015, p. 415-427
Li, Dong; Ling, Shiqing; Zakoïan, Jean Michel
Article

INFERENCE FOR A SPECIAL BILINEAR TIME-SERIES MODEL

Journal of Time Series Analysis, v. 36, (1), January 2015, p. 61-66
Ling, Shiqing; Peng, Liang; Zhu, Fukang
Article

LADE-Based Inference for ARMA Models With Unspecified and Heavy-Tailed Heteroscedastic Noises

Journal of the American Statistical Association, v. 110, (510), April 2015, p. 784-794
Zhu, Ke; Ling, Shiqing
Article

Model-based pricing for financial derivatives

Journal of Econometrics, v. 187, (2), August 2015, p. 447-457
Zhu, Ke; Ling, Shiqing
Article

On functional limits of short- and long-memory linear processes with GARCH(1,1) noises

Stochastic Processes and their Applications, v. 125, (2), 2015, p. 482-512
Zhang, Rong-Mao; Sin, Chor-yiu; Ling, Shiqing
Article
2014 5

Comment

Journal of Business and Economic Statistics, v. 32, (2), April 2014, p. 202-203
Ling, Shiqing; Zhu, Ke
Article

Comment of "Principal Volatility Component Analysis" by Hu and Tsay

Journal of Business and Economic Statistics, v. 32, (2), April 2014, p. 165
Ling, Shiqing
Article

Factor double autoregressive models with application to simultaneous causality testing

Journal of Statistical Planning and Inference, v. 148, May 2014, p. 82-94
Guo, Shaojun; Ling, Shiqing; Zhu, Ke
Article

Non-stationarity and quasi-maximum likelihood estimation on a double autoregressive model

Journal of Time Series Analysis, v. 35, (3), 2014, p. 189-202
Chen, Min; Li, Dong; Ling, Shiqing
Article

On Conditionally Heteroscedastic AR Models with Thresholds

Statistica Sinica, v. 24, (2), April 2014, p. 625-652
Chan, Kung-Sik; Li, Dong; Ling, Shiqing; Tong, Howell
Article
2013 3

ASYMPTOTIC THEORY ON THE LEAST SQUARES ESTIMATION OF THRESHOLD MOVING-AVERAGE MODELS

Econometric Theory, v. 29, (3), June 2013, p. 482-516
Li, Dong; Ling, Shiqing; Li, Wai Keung
Article

Diagnostic checking for non-stationary ARMA models with an application to financial data

North American Journal of Economics and Finance, v. 26, December 2013, p. 624-639
Ling, Shiqing; Zhu, Ke; Yee, Chong Ching
Article

Quasi-maximum exponential likelihood estimators for a double AR(p) model

Statistica Sinica, v. 23, (2), April 2013, p. 251-270
Zhu, Ke; Ling, Shiqing
Article
2012 4

Likelihood ratio tests for the structural change of an AR(p) model to a Threshold AR(p) model

Journal of time series analysis, v. 33, (2), March 2012, p. 223-232
Zhu, Ke; Ling, Shiqing
Article

On moving-average models with feedback

Bernoulli, v. 18, (2), May 2012, p. 735-745
Li, Dong; Ling, Shiqing; Tong, Howell
Article

On the least squares estimation of multiple-regime threshold autoregressive models

Journal of econometrics, v. 167, (1), 2012, p. 240-253
Li, D.; Ling, S.
Article

The global weighted LAD estimators for finite/infinite variance ARMA (p, q) models

Econometric Theory, v. 28, (5), 2012, p. 1065-1086
Zhu, Ke; Ling, Shiqing
Article
2011 5

Global Self-weighted and Local Quasi-maximum Exponential Likelihood Estimators for ARMA–GARCH/IGARCH Models

The Annals of Statistics, v. 39, (4), August 2011, p. 2131-2163
Zhu, Ke; Ling, Shiqing
Article

On non-stationary threshold autoregressive models

Bernoulli, v. 17, (3), August 2011, p. 969-986
Liu, Weidong; Ling, Shiqing; Shao, Qi-Man
Article

On the Least Squares Estimation of Threshold Autoregressive and Moving-average Models

Statistics and Its Interface, v. 4, (2), 2011, p. 183-196
Li, Dong; Li, Wai Keung; Ling, Shiqing
Article

Score Based Goodness-of-fit Tests for Time Series

Statistica Sinica, v. 21, (4), 2011, p. 1807-1829
Ling, S.; Tong, H.
Article

Testing for structural change of AR model to threshold AR model

Journal of time series analysis, v. 32, (5), September 2011, p. 547-565
Berkes, Istvan; Horvath, Lajos; Ling, Shiqing; Schauer, Johannes
Article
2010 1

A General Asymptotic Theory for Time-series Models

Statistica Neerlandica, v. 64, (1), 2010, FEB, p. 97-111
Ling, Shiqing; McAleer, Michael
Article
2009 2

Estimation in Nonstationary Random Coefficient Autoregressive Models

Journal of time series analysis, v. 30, (4), 2009, p. 395-416
Berkes, I.; Horváth, L.; Ling, S.
Article

On Distinguishing between Random Walk and Change in the Mean Alternatives

Econometric theory, v. 25, (2), 2009, APR, p. 411-441
Aue, Alexander; Horvath, Lajos; Huskova, Marie; Ling, Shiqing
Article
2008 3

Asymptotic inference for a nonstationary double AR(1) model

Biometrika, v. 95, (1), 2008, MAR, p. 257-263
Ling, Shiqing; Li, Dong
Article

Canonical Correlation Analysis for the Vector AR(1) Model with ARCH Innovations

Journal of statistical planning and inference, v. 138, (9), 2008, SEP 1, p. 2826-2836
Tsay, Ruey S.; Ling, Shiqing
Article

Residual Empirical Processes for Long and Short Memory Time Series

The Annals of Statistics, v. 36, (5), 2008, OCT, p. 2453-2470
Chan, Ngai Hang; Ling, Shiqing
Article
2007 4

A Double AR(p) Model: Structure and Estimation

Statistica Sinica, v. 17, (1), 2007, JAN, p. 161-175
Ling, Shiqing
Article

Ergodicity and Invertibility of Threshold Moving-average Models

Bernoulli, v. 13, (1), 2007, FEB, p. 161-168
Ling, Shiqing; Tong, Howell; Li, Dong
Article

Self-weighted and Local Quasi-maximum Likelihood Estimators for ARMA-GARCH/IGARCH Models

Journal of econometrics, v. 140, (2), 2007, OCT, p. 849-873
Ling, Shiqing
Article

Testing for Change Points in Time Series Models and Limiting Theorems for NED Sequences

The Annals of Statistics, v. 35, (3), 2007, JUN, p. 1213-1237
Ling, Shiqing
Article
2006 2

Empirical Likelihood for GARCH Models

Econometric theory, v. 22, (3), 2006, JUN, p. 403-428
Chan, NH; Ling, SQ
Article

Fitting an Error Distribution in Some Heteroscedastic Time Series Models

The Annals of Statistics, v. 34, (2), 2006, APR, p. 994-1012
Koul, Hira L.; Ling, Shiqing
Article
2005 5

Joint Modeling of Cointegration and Conditional Beteroscedasticity with Applications

Annals of the Institute of Statistical Mathematics, v. 57, (1), 2005, MAR, p. 83-103
Wong, H.; Li, WK; Ling, SQ
Article

Mixed Portmanteau Tests for Time-series Models

Journal of time series analysis, v. 26, (4), 2005, JUL, p. 569-579
Wong, H.; Ling, SQ
Article

Self-weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models

Journal of the Royal Statistical Society. Series B: Statistical Methodology,, v. 67, (3), 2005, p. 381-393
Ling, Shiqing
Article

Testing for a Linear MA Model Against Threshold MA Models

The Annals of Statistics, v. 33, (6), 2005, DEC, p. 2529-2552
Ling, Shiqing; Tong, H.
Article

Self-Weighted Guantile Estimation for Infinite Variance Autoregressive Models.

Simulation and Modeling: Integrating Sciences and Technology for Effective Resource Management /Putchong Utayopas, Ussanee Purintrapiban, Voratas Kachitvichyanukul. Bangkok: Asian Institute of Technology, 2005, p. 626-634
Ling, Shiqing
Book chapter
2004 4

Estimation and Testing Stationarity for Double-autoregressive Models

Journal of the Royal Statistical Society. Series B: Statistical Methodology, v. 66, (1), February 2004, p. 63-78
Ling, Shiqing
Article

Hill's Estimator for the Tail Index of an ARMA Model

Journal of statistical planning and inference, v. 123, (2), 2004, JUL 1, p. 279-293
Ling, SQ; Peng, LA
Article

Regression Quantiles for Unstable Autoregressive Models

Journal of multivariate analysis, v. 89, (2), 2004, MAY, p. 304-328
Ling, SQ; McAleer, M.
Article

MLE for change-point in ARMA-GARCH models with a changing drift

PROBABILITY, FINANCE AND INSURANCE, 2004, p. 174-194
Ling, SQ
Conference paper
2003 6

Adaptive Estimators and Tests of Stationary and Nonstationary Short- and Long-Memory ARFIMA–GARCH Models

Journal of the American Statistical Association, v. 98, (464), 2003, DEC, p. 955-967
Ling, SQ
Article

Asymptotic Inference for Unit Root Processes with GARCH(1,1) Errors

Econometric theory, v. 19, (4), 2003, AUG, p. 541-564
Ling, SQ; Li, WK
Article

Asymptotic Theory for a Vector ARMA-GARCH Model

Econometric theory, v. 19, (2), 2003, APR, p. 280-310
Ling, SQ; McAleer, M.
Article

Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence

Econometric Reviews, v. 22, (2), 2003, p. 179-202
Ling, S.; Li, W.K.; McAleer, M.
Article

On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors

The Annals of Statistics, v. 31, (2), 2003, p. 642-674
Ling, S.; McAleer, M.
Article

MLE for change-point in ARMA-GARCH models with a changing drift

MODSIM 2003: INTERNATIONAL CONGRESS ON MODELLING AND SIMULATION, VOLS 1-4: VOL 1: NATURAL SYSTEMS, PT 1; VOL 2: NATURAL SYSTEMS, PT 2; VOL 3: SOCIO-ECONOMIC SYSTEMS; VOL 4: GENERAL SYSTEMS, 2003, p. 1299-1304
Ling, SQ
Conference paper
2002 4

Necessary and Sufficient Moment Conditions for the GARCH(r,s) and Asymmetric Power GARCH(r,s) Models

Econometric theory, v. 18, (3), 2002, JUN, p. 722-729
Ling, SQ; McAleer, M.
Article

Recent Theoretical Results for Time Series Models with GARCH Errors

Journal of economic surveys, v. 16, (3), 2002, p. 245-270
Li, W.K.; Ling, S.; McAleer, M.
Article

Stationarity and the Existence of Moments of a Family of GARCH Processes

Journal of econometrics, v. 106, (1), 2002, JAN, p. 109-117
Ling, SQ; McAleer, M.
Article

Determining an Optimal Window Size for Modelling Volatility

Handbook of Applied Econometrics and Statistical Inference / Edited by Ullah, A., Wan, A., Chaturvedi, A., Marcel Dekker. New York. 2002, p. 443-467
Yew, X.C.H.; McAleer, M.; Ling, Shiqing
Book chapter
2001 2

Asymptotic Inference for Nonstationary Fractionally Integrated Autoregressive Moving-Average Models

Econometric theory, v. 17, (4), 2001, AUG, p. 738-764
Ling, Shiqing; Li, W.K.
Article

Estimation for Partially Nonstationary Multivariate Autoregressive models with Conditional Heteroscedasticity

Biometrika, v. 88, (4), 2001, DEC, p. 1135-1152
Li, WK; Ling, SQ; Wong, H.
Article
1999 2

On the Probabilistic Properties of a Double Threshold ARMA Conditional Heteroskedastic Model

Journal of Applied Probability, v.36, (3), 1999, p. 688-705
Ling, Shiqing
Article

On the Stationarity and the Existence of Moment of Conditional Heteroskedastic ARMA Models

Statistica Sinica, v. 9, (4), 1999, Oct, p. 1119-1130
Ling, S.
Article
1998 3

Limiting Distributions of Maximum Likelihood Estimators for Unstable Autoregressive Moving-Average Time Series with General Autoregressive Heteroscedastic Errors

The Annals of Statistics, v. 26, (1), 1998, Feb, p. 84-125
Ling, S.; Li, W.K.
Article

Weak Convergence of the Sequential Empirical Processes of Residuals in Nonstationary Autoregressive Models

The Annals of Statistics, v. 26, (2), 1998, p. 741-754
Ling, S.
Article

Testing GARCH versus E-GARCH

Statistics and Finance: An Interface / Edited by Wai-Sum Chan, Wai Keung Li, Howell Tong. World Scientific Publishing Company, 2000, p. 226-244
Ling, Shiqing; McAleer, M.
Book chapter
1997 2

Diagnostic checking of nonlinear multivariate time series with multivariate ARCH errors

Journal of time series analysis, v. 18, (5), 1997, p. 447-464
Ling, S.; Li, W.K.
Article

On Fractionally Integrated Autoregressive Moving-Average Time Series Models with Conditional Heteroscedasticity

Journal of the American Statistical Association, v. 92, (439), September 1997, p. 1184-1194
Ling, SQ; Li, WK
Article
No Publications

Teaching Assignment



MAFS5130 Quantitative Analysis of Financial Time Series
MATH6913B Reading Course: Time Series Theory III
MSDM5053 Quantitative Analysis of Time Series
MATH6912H Reading Course: Time Series Theory II
MATH6912M Reading Course: Time Series Analysis
MSBD5006 Quantitative Analysis of Financial Time Series
MAFS5130 Quantitative Analysis of Financial Time Series
MATH4425 Introductory Time Series
MSDM5053 Quantitative Analysis of Time Series
No Teaching Assignments
No Teaching Assignments
No Teaching Assignments

Research Postgraduate (RPG) Supervision

From January 2022 to December 2025 (As of 03 April 2025)


Current RPGs

Doctor of Philosophy
  • QIU, Yu
    Mathematics

  • WANG, Haoyu
    Mathematics

  • KAZOVSKAIA, Anastasiia
    Mathematics

  • LI, Yixin
    Mathematics

  • WEI, Xuchen
    Mathematics


Graduated RPGs

Doctor of Philosophy
  • CAI, Bibi
    Mathematics( Completed in 2024 )

Projects

From January 2023 to December 2025

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