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Time series - Joint modeling of cointegration and conditional heteroscedasticity with applications

Wong, Heung; Li, W.K.; Ling, Shiqing - In: Annals of the Institute of Statistical Mathematics : AISM 57 (2005) 1, pp. 83-104

Persistent link: https://www.econbiz.de/10006546003

Mixed Portmanteau Tests for Time-Series Models

Wong, Heung; Ling, Shiqing - 2005

This paper obtains the joint limiting distribution of residuals and squared residuals of a general time-series model. Based on this, we propose a mixed portmanteau statistic for testing the adequacy of fitted time-series models. In some cases, it is shown that this statistic can be simply...

Persistent link: https://www.econbiz.de/10014064460

Mixed Portmanteau Tests for Time-Series Models

Wong, Heung; Ling, Shiqing - In: Journal of Time Series Analysis 26 (2005) 4, pp. 569-579

Persistent link: https://www.econbiz.de/10005177452

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

Ling, Shiqing; Li, W.; Mcaleer, Michael - In: Econometric reviews 22 (2003) 2, pp. 179-202

Persistent link: https://www.econbiz.de/10006889426

Asset allocation by using the Sharpe rule: how to improve an existing portfolio by adding some new assets?

Yu, Kwok Wai; Yang, Xiao Qi; Wong, Heung - In: The journal of asset management 8 (2007/08) 2, pp. 133-145

Persistent link: https://www.econbiz.de/10003502662

In depth analysis of the dually listed companies in Hong Kong and China stock markets prior and posterior to the global financial turmoil

Choi, Olivia T. K.; Wong, Heung; Yiu, Cedric K. F.; Yu, … - In: International journal of economics and finance 5 (2013) 10, pp. 100-110

Persistent link: https://www.econbiz.de/10010200039

Bayesian analysis of power-transformed and threshold GARCH models : a Griddy-Gibbs sampler approach

Xia, Qiang; Wong, Heung; Liu, Jinshan; Liang, Rubing - In: Computational economics 50 (2017) 3, pp. 353-372

Persistent link: https://www.econbiz.de/10011783316

Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models

Ling, Shiqing - In: Journal of econometrics 140 (2007) 2, pp. 849-873

Persistent link: https://www.econbiz.de/10003569985

Adaptive estimators and tests of stationary and nonstationary short- and long-memory ARFIMA-GARCH models

Ling, Shiqing - In: Journal of the American Statistical Association : JASA 98 (2003) 464, pp. 955-967

Persistent link: https://www.econbiz.de/10001975424

Estimation of change-points in linear and nonlinear time series models

Ling, Shiqing - In: Econometric theory 32 (2016) 2, pp. 402-430

Persistent link: https://www.econbiz.de/10011578492

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