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Shiqing Ling

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First Name:Shiqing
Middle Name:
Last Name:Ling
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RePEc Short-ID:pli831
http://www.math.ust.hk/~maling/

Research output

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Working papers

  1. Shiqing Ling & Michael McAleer & Howell Tong, 2015. "Frontiers in Time Series and Financial Econometrics: An Overview," Documentos de Trabajo del ICAE 2015-04, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  2. Zhu, Ke & Ling, Shiqing, 2014. "Model-based pricing for financial derivatives," MPRA Paper 56623, University Library of Munich, Germany.
  3. Guo, Shaojun & Ling, Shiqing & Zhu, Ke, 2013. "Factor double autoregressive models with application to simultaneous causality testing," MPRA Paper 51570, University Library of Munich, Germany.
  4. Dong Li & Shiqing Ling & Jean-Michel Zakoian, 2013. "Asymptotic Inference in Multiple-Threshold Nonlinear Time Series Models," Working Papers 2013-51, Center for Research in Economics and Statistics.
  5. Zhu, Ke & Ling, Shiqing, 2013. "Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models," MPRA Paper 51509, University Library of Munich, Germany.
  6. Shiqing Ling & Michael McAleer, 2009. "A General Asymptotic Theory for Time Series Models," CIRJE F-Series CIRJE-F-670, CIRJE, Faculty of Economics, University of Tokyo.
  7. Shiqing Ling & W. K. Li & Michael McAleer, 2003. "Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence," CIRJE F-Series CIRJE-F-207, CIRJE, Faculty of Economics, University of Tokyo.
  8. Shiqing Ling & Michael McAleer, 2001. "Necessary and Sufficient Moment Conditions for the GARCH(r,s) and Asymmetric Power GARCH(r,s) Models," ISER Discussion Paper 0534, Institute of Social and Economic Research, Osaka University.
  9. Shiqing Ling & Michael McAleer, 2001. "On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors," ISER Discussion Paper 0548, Institute of Social and Economic Research, Osaka University.
  10. Shiqing Ling & Michael McAleer, 2001. "Asymptotic Theory for a Vector ARMA-GARCH Model," ISER Discussion Paper 0549, Institute of Social and Economic Research, Osaka University.
  11. Shiqing Ling & Michael McAleer, 2001. "Stationarity and the Existence of Moments of a Family of GARCH Processes," ISER Discussion Paper 0535, Institute of Social and Economic Research, Osaka University.
  12. W. K. Li & Shiqing Ling & Michael McAleer, 2001. "A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors," ISER Discussion Paper 0545, Institute of Social and Economic Research, Osaka University.
  13. Ling, S. & McAleer, M., 2001. "Regression Quantiles for Unstable Autoregressive Models," ISER Discussion Paper 0526, Institute of Social and Economic Research, Osaka University.

Articles

  1. Shiqing Ling & Ke Zhu, 2014. "Comment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(2), pages 202-203, April.
  2. Min Chen & Dong Li & Shiqing Ling, 2014. "Non-Stationarity And Quasi-Maximum Likelihood Estimation On A Double Autoregressive Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(3), pages 189-202, May.
  3. Shiqing Ling, 2014. "Comment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(2), pages 165-165, April.
  4. Ling, Shiqing & Zhu, Ke & Yee, Chong Ching, 2013. "Diagnostic checking for non-stationary ARMA models with an application to financial data," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 624-639.
  5. Li, Dong & Ling, Shiqing & Li, Wai Keung, 2013. "Asymptotic Theory On The Least Squares Estimation Of Threshold Moving-Average Models," Econometric Theory, Cambridge University Press, vol. 29(3), pages 482-516, June.
  6. Zhu, Ke & Ling, Shiqing, 2012. "THE GLOBAL WEIGHTED LAD ESTIMATORS FOR FINITE/INFINITE VARIANCE ARMA(p,q) MODELS," Econometric Theory, Cambridge University Press, vol. 28(5), pages 1065-1086, October.
  7. Ke Zhu & Shiqing Ling, 2012. "Likelihood ratio tests for the structural change of an AR(p) model to a Threshold AR(p) model," Journal of Time Series Analysis, Wiley Blackwell, vol. 33(2), pages 223-232, March.
  8. Li, Dong & Ling, Shiqing, 2012. "On the least squares estimation of multiple-regime threshold autoregressive models," Journal of Econometrics, Elsevier, vol. 167(1), pages 240-253.
  9. István Berkes & Lajos Horváth & Shiqing Ling & Johannes Schauer, 2011. "Testing for structural change of AR model to threshold AR model," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(5), pages 547-565, September.
  10. Shiqing Ling & Michael McAleer, 2010. "A general asymptotic theory for time‐series models," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 64(1), pages 97-111, February.
  11. Aue, Alexander & Horváth, Lajos & Hušková, Marie & Ling, Shiqing, 2009. "On Distinguishing Between Random Walk And Change In The Mean Alternatives," Econometric Theory, Cambridge University Press, vol. 25(2), pages 411-441, April.
  12. István Berkes & Lajos Horváth & Shiqing Ling, 2009. "Estimation in nonstationary random coefficient autoregressive models," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(4), pages 395-416, July.
  13. Shiqing Ling & Dong Li, 2008. "Asymptotic inference for a nonstationary double AR (1) model," Biometrika, Biometrika Trust, vol. 95(1), pages 257-263.
  14. Ling, Shiqing, 2007. "Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models," Journal of Econometrics, Elsevier, vol. 140(2), pages 849-873, October.
  15. Chan, Ngai Hang & Ling, Shiqing, 2006. "Empirical Likelihood For Garch Models," Econometric Theory, Cambridge University Press, vol. 22(3), pages 403-428, June.
  16. Heung Wong & Shiqing Ling, 2005. "Mixed Portmanteau Tests for Time‐Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(4), pages 569-579, July.
  17. Shiqing Ling, 2005. "Self‐weighted least absolute deviation estimation for infinite variance autoregressive models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 67(3), pages 381-393, June.
  18. Heung Wong & W. Li & Shiqing Ling, 2005. "Joint modeling of cointegration and conditional heteroscedasticity with applications," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 57(1), pages 83-103, March.
  19. Shiqing Ling, 2004. "Estimation and testing stationarity for double‐autoregressive models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 66(1), pages 63-78, February.
  20. Ling, Shiqing & McAleer, Michael, 2004. "Regression quantiles for unstable autoregressive models," Journal of Multivariate Analysis, Elsevier, vol. 89(2), pages 304-328, May.
  21. Ling S., 2003. "Adaptive Estimators and Tests of Stationary and Nonstationary Short- and Long-Memory ARFIMA-GARCH Models," Journal of the American Statistical Association, American Statistical Association, vol. 98, pages 955-967, January.
  22. Ling, Shiqing & McAleer, Michael, 2003. "Asymptotic Theory For A Vector Arma-Garch Model," Econometric Theory, Cambridge University Press, vol. 19(2), pages 280-310, April.
  23. Ling, Shiqing & Li, W.K., 2003. "Asymptotic Inference For Unit Root Processes With Garch(1,1) Errors," Econometric Theory, Cambridge University Press, vol. 19(4), pages 541-564, August.
  24. Shiqing Ling & W. K. Li & Michael McAleer, 2003. "Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence," Econometric Reviews, Taylor & Francis Journals, vol. 22(2), pages 179-202.
  25. Ling, Shiqing & McAleer, Michael, 2002. "NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS," Econometric Theory, Cambridge University Press, vol. 18(3), pages 722-729, June.
  26. Ling, Shiqing & McAleer, Michael, 2002. "Stationarity and the existence of moments of a family of GARCH processes," Journal of Econometrics, Elsevier, vol. 106(1), pages 109-117, January.
  27. Ling, Shiqing & Li, W.K., 2001. "Asymptotic Inference For Nonstationary Fractionally Integrated Autoregressive Moving-Average Models," Econometric Theory, Cambridge University Press, vol. 17(4), pages 738-764, August.

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 6 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ETS: Econometric Time Series (6) 2003-03-19 2003-03-25 2009-09-26 2013-11-22 2013-11-29 2015-05-16. Author is listed
  2. NEP-ECM: Econometrics (5) 2003-03-19 2003-03-25 2009-09-26 2013-11-22 2013-11-29. Author is listed
  3. NEP-ORE: Operations Research (2) 2013-11-22 2015-05-16
  4. NEP-CMP: Computational Economics (1) 2003-03-25
  5. NEP-FOR: Forecasting (1) 2015-05-16

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