Professor Li Wai Keung
Research Chair Professor of Data Science
2948 7093
B1-1/F-47
waikeungli@eduhk.hk
More details on RICH

Profile

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B.Sc. (First class with Distinction) in Mathematics, York University, Canada (1975)
M.A. in Mathematics, York University, Canada (1976)
Ph.D. in Statistics, University of Western Ontario (1981)
Elected Member, International Statistical Institute (1991)
Elected Fellow, American Statistical Association (2003)
Elected Fellow, Institute of Mathematical Statistics (2006)
Honorary Member, Hong Kong Statistical Society, conferred March, 2009
Outstanding Service Award, International Chinese Statistical Association,? conferred August, 2009
Emeritus Professor, Univeristy of Hong Kong, conferred May, 2020.
Distinguished Author,?Journal of Time Series Analysis, conferred June, 2020.
Research Interests

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Time Series Analysis;
Financial Econometrics;
Financial Risk Management;?
Big Data Analytics;?
Environmetrics;
Stochastic Processes with Applications to Hydrology and Climatology;
Extreme Value Theory;
Spatial Statistics;
Sampling Methods
Teaching Interests

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Time Series Analysis;
Financial Econometrics;
Financial Risk Management;
Statistical Inference;
Statisitcal Learning;
Elementary Statistics;
General Education on Statistical Thinking.?
Selected Outputs

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Journal Publications
J. XU, W.K. LI and Z. YING (2020). Variable Screening for Survival Data in the Presence of Heterogeneous Censoring.?Scandinavian Journal of Statistics, 47(4), 1171-1191.
K. SHEN, J.F. YAO, W.K. LI (2020). Forecasting High-Dimensional Realized Volatility Matrices Using a Factor Model.?Quantitative Finance, 20, 1879-1887.
K.K.F. LAW, W.K. LI and Philip L.H. YU (2020). Evaluation Methods for Portfolio Management.?Applied Stochastic Models in Business and Industry, 36(5), 857-876.
XIA, Qiang, ZHANG, Zhiqiang & LI, Wai Keung (2020). A Portmanteau Test for Smooth Transition Autoregressive Models.?Journal of Time Series Analysis, 41, 722-730.
K. LAW, W.K. LI and P. YU (2020). An Empirical Evaluation of Large Dynamic Covariance Models in Portfolio Value-at-Risk Estimation.?Journal of Risk Model Validation, 14(2), 21-39.
Li, D., Zeng, M.R., Li, W.K., & Li G. (2020). Conditional Quantile Estimation for Hysteretic Autoregressive Models.?Statistica Sinica, 30, 809-827.
Wang, D., & Li, W.K. (2020). Unit Root Testing on Buffered Autoregressive Model.?Statistica Sinica, 30, 977-1003.
CUI, Y., ZHU, F.K., & LI, W.K, (2020). Modeling of RCOV matrices with a generalized threshold conditional Wishart autoregressive model.?Statistics and Its Interface, 13, 77-89.
ZHANG, Z.Y., & LI, W.K. (2019). An experiment on autoregressive and threshold autoregressive models with non-Gaussian error with application to realized volatility.?Economies, 7(2), 1-11