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Toward a unified interval estimation of autoregressions

Chan, Ngai Hang; Li, Deyuan; Peng, Liang - In: Econometric theory 28 (2012) 3, pp. 705-717

Persistent link: https://www.econbiz.de/10009545785

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

Li, Dong - In: Journal of econometrics 167 (2012) 1, pp. 240-253

Persistent link: https://www.econbiz.de/10009551421

Tail index of an AR(1) model with ARCH(1) errors

Chan, Ngai Hang; Li, Deyuan; Peng, Liang; Zhang, Rongmao - In: Econometric theory 29 (2013) 5, pp. 920-940

Persistent link: https://www.econbiz.de/10010248321

The impact of settlement time on the volatility of stock markets

Li, Dong - In: Applied financial economics 7 (1997) 6, pp. 689-694

Persistent link: https://www.econbiz.de/10001240752

Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model

Jiang, Feiyu; Li, Dong; Zhu, Ke - In: Journal of econometrics 224 (2021) 2, pp. 306-329

Persistent link: https://www.econbiz.de/10013275393

Change-point detection for expected shortfall in time series

Sun, Lingyu; Li, Dong - In: Journal of management science and engineering 6 (2021) 3, pp. 324-335

Expected shortfall (ES) is a popular risk measure and plays an important role in risk and portfolio management. Recently, change-point detection of risk measures has been attracting much attention in finance. Based on the self-normalized CUSUM statistic in Fan, Glynn and Pelger (2018) and the...

Persistent link: https://www.econbiz.de/10013206368

Nonparametric/semiparametric estimation and testing of econometric models with data dependent smoothing parameters

Li, Dong; Li, Qi - In: Journal of econometrics 157 (2010) 1, pp. 179-190

Persistent link: https://www.econbiz.de/10008661718

Bias-corrected inference for a modified Lee-Carter mortality model

Liu, Qing; Ling, Chen; Li, Deyuan; Peng, Liang - In: Astin bulletin : the journal of the International … 49 (2019) 2, pp. 433-455

Persistent link: https://www.econbiz.de/10012056606

Double AR model without intercept : an alternative to modeling nonstationarity and heteroscedasticity

Li, Dong; Shaojun, Guo; Zhu, Ke - In: Econometric reviews 38 (2019) 3, pp. 319-331

Persistent link: https://www.econbiz.de/10012181294

Testing error distribution by kernelized Stein discrepancy in multivariate time series models

Luo, Donghang; Zhu, Ke; Gong, Huan; Li, Dong - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 1, pp. 111-125

Persistent link: https://www.econbiz.de/10013540650