PhD in Statistics
The University of Hong Kong, 1997
Asymptotic inference of the ARMA model with time-functional variance noises
Article
On a Partially Non-Stationary Vector AR Model with Vector GARCH Noises: Estimation and Testing
Article
Inference for the VEC(1) model with a heavy-tailed linear process errors*
Article
Article
Testing threshold effect in single-index models
Article
Automated Estimation of Heavy-Tailed Vector Error Correction Models
Article
Consistency of global LSE for MA(1) models
Article
LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise
Article
Self-Weighted LSE and Residual-Based QMLE of ARMA-GARCH Models
Article
Whittle parameter estimation for vector ARMA models with heavy-tailed noises
Article
Inference in heavy-tailed vector error correction models
Article
Lasso-based Variable Selection of ARMA Models
Article
Quasi-likelihood estimation of structure-changed threshold double autoregressive models
Article
On brownian motion approximation of compound poisson processes with applications to threshold models
Article
Statistical Inference for Structurally Changed Threshold Autoregressive Models
Article
A note on the LSE of three-regime TAR model with an infinite variance
Article
Tests for tar models VS. star models-a separate family of hypotheses approach
Article
The ZD-GARCH model: a new way to study heteroscedasticity
Article
Goodness-of-fit test for non-linear time series models
Article
Inference for heavy-tailed and multiple-threshold double autoregressive models
Article
Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models
Article
Estimation of Change-Points in Linear and Nonlinear Time Series Models
Article
On a Threshold Double Autoregressive Model
Article
Diagnostic Checking for Partially Nonstationary Multivariate ARMA Models
Book chapter
Asymptotic Inference for Ar Models with Heavy-Tailed G-Garch Noises
Article
Asymptotic inference in multiple-threshold double autoregressive models
Article
INFERENCE FOR A SPECIAL BILINEAR TIME-SERIES MODEL
Article
LADE-Based Inference for ARMA Models With Unspecified and Heavy-Tailed Heteroscedastic Noises
Article
Model-based pricing for financial derivatives
Article
On functional limits of short- and long-memory linear processes with GARCH(1,1) noises
Article
Article
Comment of "Principal Volatility Component Analysis" by Hu and Tsay
Article
Factor double autoregressive models with application to simultaneous causality testing
Article
Non-stationarity and quasi-maximum likelihood estimation on a double autoregressive model
Article
On Conditionally Heteroscedastic AR Models with Thresholds
Article
ASYMPTOTIC THEORY ON THE LEAST SQUARES ESTIMATION OF THRESHOLD MOVING-AVERAGE MODELS
Article
Diagnostic checking for non-stationary ARMA models with an application to financial data
Article
Quasi-maximum exponential likelihood estimators for a double AR(p) model
Article
Likelihood ratio tests for the structural change of an AR(p) model to a Threshold AR(p) model
Article
On moving-average models with feedback
Article
On the least squares estimation of multiple-regime threshold autoregressive models
Article
The global weighted LAD estimators for finite/infinite variance ARMA (p, q) models
Article
Article
On non-stationary threshold autoregressive models
Article
On the Least Squares Estimation of Threshold Autoregressive and Moving-average Models
Article
Score Based Goodness-of-fit Tests for Time Series
Article
Testing for structural change of AR model to threshold AR model
Article
A General Asymptotic Theory for Time-series Models
Article
Estimation in Nonstationary Random Coefficient Autoregressive Models
Article
On Distinguishing between Random Walk and Change in the Mean Alternatives
Article
Asymptotic inference for a nonstationary double AR(1) model
Article
Canonical Correlation Analysis for the Vector AR(1) Model with ARCH Innovations
Article
Residual Empirical Processes for Long and Short Memory Time Series
Article
A Double AR(p) Model: Structure and Estimation
Article
Ergodicity and Invertibility of Threshold Moving-average Models
Article
Self-weighted and Local Quasi-maximum Likelihood Estimators for ARMA-GARCH/IGARCH Models
Article
Testing for Change Points in Time Series Models and Limiting Theorems for NED Sequences
Article
Empirical Likelihood for GARCH Models
Article
Fitting an Error Distribution in Some Heteroscedastic Time Series Models
Article
Joint Modeling of Cointegration and Conditional Beteroscedasticity with Applications
Article
Mixed Portmanteau Tests for Time-series Models
Article
Self-weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
Article
Testing for a Linear MA Model Against Threshold MA Models
Article
Self-Weighted Guantile Estimation for Infinite Variance Autoregressive Models.
Book chapter
Estimation and Testing Stationarity for Double-autoregressive Models
Article
Hill's Estimator for the Tail Index of an ARMA Model
Article
Regression Quantiles for Unstable Autoregressive Models
Article
MLE for change-point in ARMA-GARCH models with a changing drift
Conference paper
Article
Asymptotic Inference for Unit Root Processes with GARCH(1,1) Errors
Article
Asymptotic Theory for a Vector ARMA-GARCH Model
Article
Article
On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors
Article
MLE for change-point in ARMA-GARCH models with a changing drift
Conference paper
Necessary and Sufficient Moment Conditions for the GARCH(r,s) and Asymmetric Power GARCH(r,s) Models
Article
Recent Theoretical Results for Time Series Models with GARCH Errors
Article
Stationarity and the Existence of Moments of a Family of GARCH Processes
Article
Determining an Optimal Window Size for Modelling Volatility
Book chapter
Asymptotic Inference for Nonstationary Fractionally Integrated Autoregressive Moving-Average Models
Article
Article
On the Probabilistic Properties of a Double Threshold ARMA Conditional Heteroskedastic Model
Article
On the Stationarity and the Existence of Moment of Conditional Heteroskedastic ARMA Models
Article
Article
Article
Book chapter
Automated Estimation of Heavy-Tailed Vector Error Correction Models
LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise
Self-Weighted LSE and Residual-Based QMLE of ARMA-GARCH Models
Whittle parameter estimation for vector ARMA models with heavy-tailed noises
Asymptotic Inference for Ar Models with Heavy-Tailed G-Garch Noises
Asymptotic inference in multiple-threshold double autoregressive models
LADE-Based Inference for ARMA Models With Unspecified and Heavy-Tailed Heteroscedastic Noises
On functional limits of short- and long-memory linear processes with GARCH(1,1) noises
MLE for change-point in ARMA-GARCH models with a changing drift
Asymptotic Inference for Unit Root Processes with GARCH(1,1) Errors
On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors
MLE for change-point in ARMA-GARCH models with a changing drift
Necessary and Sufficient Moment Conditions for the GARCH(r,s) and Asymmetric Power GARCH(r,s) Models
Recent Theoretical Results for Time Series Models with GARCH Errors
Stationarity and the Existence of Moments of a Family of GARCH Processes
A note on the LSE of three-regime TAR model with an infinite variance
Article
Tests for tar models VS. star models-a separate family of hypotheses approach
Article
The ZD-GARCH model: a new way to study heteroscedasticity
Article
Goodness-of-fit test for non-linear time series models
Article
Inference for heavy-tailed and multiple-threshold double autoregressive models
Article
Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models
Article
Estimation of Change-Points in Linear and Nonlinear Time Series Models
Article
On a Threshold Double Autoregressive Model
Article
Diagnostic Checking for Partially Nonstationary Multivariate ARMA Models
Book chapter
Asymptotic Inference for Ar Models with Heavy-Tailed G-Garch Noises
Article
Asymptotic inference in multiple-threshold double autoregressive models
Article
INFERENCE FOR A SPECIAL BILINEAR TIME-SERIES MODEL
Article
LADE-Based Inference for ARMA Models With Unspecified and Heavy-Tailed Heteroscedastic Noises
Article
Model-based pricing for financial derivatives
Article
On functional limits of short- and long-memory linear processes with GARCH(1,1) noises
Article
Article
Comment of "Principal Volatility Component Analysis" by Hu and Tsay
Article
Factor double autoregressive models with application to simultaneous causality testing
Article
Non-stationarity and quasi-maximum likelihood estimation on a double autoregressive model
Article
On Conditionally Heteroscedastic AR Models with Thresholds
Article
ASYMPTOTIC THEORY ON THE LEAST SQUARES ESTIMATION OF THRESHOLD MOVING-AVERAGE MODELS
Article
Diagnostic checking for non-stationary ARMA models with an application to financial data
Article
Quasi-maximum exponential likelihood estimators for a double AR(p) model
Article
Likelihood ratio tests for the structural change of an AR(p) model to a Threshold AR(p) model
Article
On moving-average models with feedback
Article
On the least squares estimation of multiple-regime threshold autoregressive models
Article
The global weighted LAD estimators for finite/infinite variance ARMA (p, q) models
Article
Article
On non-stationary threshold autoregressive models
Article
On the Least Squares Estimation of Threshold Autoregressive and Moving-average Models
Article
Score Based Goodness-of-fit Tests for Time Series
Article
Testing for structural change of AR model to threshold AR model
Article
A General Asymptotic Theory for Time-series Models
Article
Estimation in Nonstationary Random Coefficient Autoregressive Models
Article
On Distinguishing between Random Walk and Change in the Mean Alternatives
Article
Asymptotic inference for a nonstationary double AR(1) model
Article
Canonical Correlation Analysis for the Vector AR(1) Model with ARCH Innovations
Article
Residual Empirical Processes for Long and Short Memory Time Series
Article
A Double AR(p) Model: Structure and Estimation
Article
Ergodicity and Invertibility of Threshold Moving-average Models
Article
Self-weighted and Local Quasi-maximum Likelihood Estimators for ARMA-GARCH/IGARCH Models
Article
Testing for Change Points in Time Series Models and Limiting Theorems for NED Sequences
Article
Empirical Likelihood for GARCH Models
Article
Fitting an Error Distribution in Some Heteroscedastic Time Series Models
Article
Joint Modeling of Cointegration and Conditional Beteroscedasticity with Applications
Article
Mixed Portmanteau Tests for Time-series Models
Article
Self-weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
Article
Testing for a Linear MA Model Against Threshold MA Models
Article
Self-Weighted Guantile Estimation for Infinite Variance Autoregressive Models.
Book chapter
Estimation and Testing Stationarity for Double-autoregressive Models
Article
Hill's Estimator for the Tail Index of an ARMA Model
Article
Regression Quantiles for Unstable Autoregressive Models
Article
MLE for change-point in ARMA-GARCH models with a changing drift
Conference paper
Article
Asymptotic Inference for Unit Root Processes with GARCH(1,1) Errors
Article
Asymptotic Theory for a Vector ARMA-GARCH Model
Article
Article
On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors
Article
MLE for change-point in ARMA-GARCH models with a changing drift
Conference paper
Necessary and Sufficient Moment Conditions for the GARCH(r,s) and Asymmetric Power GARCH(r,s) Models
Article
Recent Theoretical Results for Time Series Models with GARCH Errors
Article
Stationarity and the Existence of Moments of a Family of GARCH Processes
Article
Determining an Optimal Window Size for Modelling Volatility
Book chapter
Asymptotic Inference for Nonstationary Fractionally Integrated Autoregressive Moving-Average Models
Article
Article
On the Probabilistic Properties of a Double Threshold ARMA Conditional Heteroskedastic Model
Article
On the Stationarity and the Existence of Moment of Conditional Heteroskedastic ARMA Models
Article
Article
Article
Book chapter
MAFS5130 | Quantitative Analysis of Financial Time Series |
MATH4425 | Introductory Time Series |
MSDM5053 | Quantitative Analysis of Time Series |
MATH4423 | Nonparametric Statistics |
MATH6911I | Reading Course: Time Series Theory |
MATH6912Z | Reading Course: Introduction to Time Series |
MSBD5006 | Quantitative Analysis of Financial Time Series |
MAFS5130 | Quantitative Analysis of Financial Time Series |
MATH6914M | Reading Course: Analysis of Financial Time Series |
MSDM5053 | Quantitative Analysis of Time Series |
No Teaching Assignments |
No Teaching Assignments |
No Teaching Assignments |
CHAO, Zitong
(co-supervision)
Mathematics
HO, Ho Yi Alexis
(co-supervision)
Mathematics
KAZOVSKAIA, Anastasiia
Mathematics
LI, Yixin
Mathematics
WEI, Xuchen
Mathematics
CAI, Bibi
Mathematics
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