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A time-series risk model with constant interest for dependent classes of business
Zhang, Zhiqiang; Yuen, Kam C.; Li, Wai Keung - In: Insurance / Mathematics & economics 41 (2007) 1, pp. 32-40
Persistent link: https://www.econbiz.de/10003755661
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On a dynamic mixture GARCH model
Cheng, Xixin; Yu, Philip L. H; Li, Wai Keung - In: Journal of forecasting 28 (2009) 3, pp. 247-265
Persistent link: https://www.econbiz.de/10003823244
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Least absolute deviation estimation for unit root processes with GARCH errors
Li, Guodong; Li, Wai Keung - In: Econometric theory 25 (2009) 5, pp. 1208-1227
Persistent link: https://www.econbiz.de/10003885748
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On some models for value-at-risk
Yu, Philip L. H.; Li, Wai Keung; Jin, Shusong - In: Econometric reviews 29 (2010) 5/6, pp. 622-641
Persistent link: https://www.econbiz.de/10008668112
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Modeling default data via an interactive hidden Markov model
Ching, Wai Ki; Siu, Tak Kuen; Li, Li-min; Li, Tang; Li, … - In: Computational economics 34 (2009) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10003876947
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Score tests for hyperbolic GARCH models
Li, Muyi; Li, Guodong; Li, Wai Keung - In: Journal of business & economic statistics : JBES ; a … 29 (2011) 4, pp. 579-586
Persistent link: https://www.econbiz.de/10009355588
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A new hyperbolic GARCH model
Li, Muyi; Li, Wai Keung; Li, Guodong - In: Journal of econometrics 189 (2015) 2, pp. 428-436
Persistent link: https://www.econbiz.de/10011504608
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Formulating hypothetical scenarios in correlation stress testing via a Bayesian framework
Yu, Philip L. H.; Li, Wai Keung; Ng, F. C - In: The North American journal of economics and finance : a … 27 (2014), pp. 17-33
Persistent link: https://www.econbiz.de/10010460916
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Modeling insurance claims via a mixture exponential model combined with peaks-over-threshold approach
Lee, David; Li, Wai Keung; Wong, Tony Siu Tung - In: Insurance / Mathematics & economics 51 (2012) 3, pp. 538-550
Persistent link: https://www.econbiz.de/10009683219
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A bootstrapped spectral test for adequacy in weak ARMA models
Zhu, Ke; Li, Wai Keung - In: Journal of econometrics 187 (2015) 1, pp. 113-130
Persistent link: https://www.econbiz.de/10011498788