Shiqing LING
凌仕卿
PhD in Statistics
The University of Hong Kong, 1997

Chair Professor
Department of Mathematics



(852) 2358 7459
maling@ust.hk
Room 3460
Personal Web

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Google Scholar
iYvvGRgAAAAJ

ORCID
0000-0002-4232-7744

Scopus ID
7102701223




Research Interest Publications Projects Teaching Assignment RPG Supervision Space used




Research Interest

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Large sample theory
Empirical processes
Nonstationary time series
Nonlinear time series
Long memory time series



Publications

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All Years 79 2022 0 2021 0 2020 4 2019 3 2018 3 2017 3 2016 66

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2020 4

Inference in heavy-tailed vector error correction models
Journal of Econometrics, v. 214, (2), February 2020, p. 433-450
She, Rui; Ling, Shiqing Article
LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise
Journal of Econometrics, 27 November 2020
Zhang, Xingfa; Zhang, Rongmao; Li, Yuan; Ling, Shiqing Article
Lasso-based variable selection of ARMA models
Statistica Sinica, v. 30, 2020, p. 1925-1948
Chan, Ngai Hang; Ling, Shiqing; Yau, Chun Yip Article
Quasi-likelihood estimation of structure-changed threshold double autoregressive models
Journal of Statistical Planning and Inference, v. 205, March 2020, p. 138-155
Guo, Feifei; Ling, Shiqing Article

2019 3

On brownian motion approximation of compound poisson processes with applications to threshold models
Advances in Decision Sciences, v. 23, (2), June 2019, p. 164-191
Li, Dong; Ling, Shiqing; Tong, Howell; Yang, Guangren Article
Statistical Inference for Structurally Changed Threshold Autoregressive Models
Statistica Sinica, v. 29, (4), October 2019, p. 1803-1829
Gao, Zhaoxing; Ling, Shiqing Article
Testing Serial Correlation and ARCH Effect of High-Dimensional Time-Series Data
Journal of Business and Economic Statistics, August 2019
Ling, Shiqing; Tsay, Ruey; Yang, Yaxing Article

2018 3

A note on the LSE of three-regime TAR model with an infinite variance
Annals of Financial Economics, v. 13, (2), June 2018, p. 1-13
Yang, Yaxing; Ling, Shiqing Article
Tests for tar models VS. star models-a separate family of hypotheses approach
Statistica Sinica, v.28, (4), October 2018, p. 2857-2883
Gao, Zhaoxing; Ling, Shiqing; Tong, Howell Article
The ZD-GARCH model: a new way to study heteroscedasticity
Journal of Econometrics, v. 202, (1), January 2018, p. 1-17
Li, Dong; Zhang, Xingfa; Zhu, Ke; Ling, Shiqing Article

2017 3

Goodness-of-fit test for non-linear time series models
Annals of Financial Economics, v. 12, (2), Jun 2017, p. 1-21
Ngai sze han; Ling, Shiqing Article
Inference for heavy-tailed and multiple-threshold double autoregressive models
Journal of Business and Economic Statistics, v. 35, (2), April 2017, p. 318-333
Yang, Yaxing; Ling, Shiqing Article
Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models
Journal of Econometrics, v. 197, (2), April 2017, p. 368-381
Yang, Yaxing; Ling, Shiqing Article

2016 3

Estimation of Change-Points in Linear and Nolinear Time Series Models
Econometric Theory, v. 32, (2), April 2016, p. 402-430
Ling, Shiqing Article
On a Threshold Double Autoregressive Model
Journal of Business and Economic Statistics, v. 34, (1), January 2016, p. 68-80
Li, Dong; Ling, Shiqing; Zhang, Rongmao Article
Diagnostic Checking for Partially Nonstationary Multivariate ARMA Models
Advances in Time Series Methods and Applications: The A. Ian McLeod Festschrift / Wai Keung Li, David A. Stanford, Hao Yu, editors. New York : Springer, 2016, p. 115-130, Book series: Fields Institute Communications, v. 78
Tai, Man Tang; Yang, Yaxing; Ling, Shiqing Book chapter

2015 6

Asymptotic Inference for Ar Models with Heavy-Tailed G-Garch Noises
Econometric Theory, v. 31, (4), August 2015, p. 880-890
Zhang, Rongmao; Ling, Shiqing Article
Asymptotic inference in multiple-threshold double autoregressive models
Journal of Econometrics, v. 189, (2), December 2015, p. 415-427
Li, Dong; Ling, Shiqing; Zako?an, Jean Michel Article
INFERENCE FOR A SPECIAL BILINEAR TIME-SERIES MODEL
Journal of Time Series Analysis, v. 36, (1), January 2015, p. 61-66
Ling, Shiqing; Peng, Liang; Zhu, Fukang Article
LADE-Based Inference for ARMA Models With Unspecified and Heavy-Tailed Heteroscedastic Noises
Journal of the American Statistical Association, v. 110, (510), April 2015, p. 784-794
Zhu, Ke; Ling, Shiqing Article
Model-based pricing for financial derivatives
Journal of Econometrics, v. 187, (2), August 2015, p. 447-457
Zhu, Ke; Ling, Shiqing Article
On functional limits of short- and long-memory linear processes with GARCH(1,1) noises
Stochastic Processes and their Applications, v. 125, (2), 2015, p. 482-512
Zhang, Rong-Mao; Sin, Chor-yiu; Ling, Shiqing Article

2014 5

Comment
Journal of Business and Economic Statistics, v. 32, (2), April 2014, p. 202-203
Ling, Shiqing; Zhu, Ke Article
Comment of "Principal Volatility Component Analysis" by Hu and Tsay
Journal of Business and Economic Statistics, v. 32, (2), April 2014, p. 165
Ling, Shiqing Article
Factor double autoregressive models with application to simultaneous causality testing
Journal of Statistical Planning and Inference, v. 148, May 2014, p. 82-94
Guo, Shaojun; Ling, Shiqing; Zhu, Ke Article
Non-stationarity and quasi-maximum likelihood estimation on a double autoregressive model
Journal of Time Series Analysis, v. 35, (3), 2014, p. 189-202
Chen, Min; Li, Dong; Ling, Shiqing Article
On Conditionally Heteroscedastic AR Models with Thresholds
Statistica Sinica, v. 24, (2), April 2014, p. 625-652
Chan, Kung-Sik; Li, Dong; Ling, Shiqing; Tong, Howell Article

2013 3

ASYMPTOTIC THEORY ON THE LEAST SQUARES ESTIMATION OF THRESHOLD MOVING-AVERAGE MODELS
Econometric Theory, v. 29, (3), June 2013, p. 482-516
Li, Dong; Ling, Shiqing; Li, Wai Keung Article
Diagnostic checking for non-stationary ARMA models with an application to financial data
North American Journal of Economics and Finance, v. 26, December 2013, p. 624-639
Ling, Shiqing; Zhu, Ke; Yee, Chong Ching Article
Quasi-maximum exponential likelihood estimators for a double AR(p) model
Statistica Sinica, v. 23, (2), April 2013, p. 251-270
Zhu, Ke; Ling, Shiqing Article

2012 4

Likelihood ratio tests for the structural change of an AR(p) model to a Threshold AR(p) model
Journal of time series analysis, v. 33, (2), March 2012, p. 223-232
Zhu, Ke; Ling, Shiqing Article
On moving-average models with feedback
Bernoulli, v. 18, (2), May 2012, p. 735-745
Li, Dong; Ling, Shiqing; Tong, Howell Article
On the least squares estimation of multiple-regime threshold autoregressive models
Journal of econometrics, v. 167, (1), 2012, p. 240-253
Li, D.; Ling, S. Article
The global weighted LAD estimators for finite/infinite variance ARMA (p, q) models
Econometric Theory, v. 28, (5), 2012, p. 1065-1086
Zhu, Ke; Ling, Shiqing Article

2011 5

Global Self-weighted and Local Quasi-maximum Exponential Likelihood Estimators for ARMA–GARCH/IGARCH Models
The Annals of Statistics, v. 39, (4), August 2011, p. 2131-2163
Zhu, Ke; Ling, Shiqing Article
On non-stationary threshold autoregressive models
Bernoulli, v. 17, (3), August 2011, p. 969-986
Liu, Weidong; Ling, Shiqing; Shao, Qi-Man Article
On the Least Squares Estimation of Threshold Autoregressive and Moving-average Models
Statistics and Its Interface, v. 4, (2), 2011, p. 183-196
Li, Dong; Li, Wai Keung; Ling, Shiqing Article
Score Based Goodness-of-fit Tests for Time Series
Statistica Sinica, v. 21, (4), 2011, p. 1807-1829
Ling, S.; Tong, H. Article
Testing for structural change of AR model to threshold AR model
Journal of time series analysis, v. 32, (5), September 2011, p. 547-565
Berkes, Istvan; Horvath, Lajos; Ling, Shiqing; Schauer, Johannes Article

2010 1

A General Asymptotic Theory for Time-series Models
Statistica Neerlandica, v. 64, (1), 2010, FEB, p. 97-111
Ling, Shiqing; McAleer, Michael Article

2009 2

Estimation in Nonstationary Random Coefficient Autoregressive Models
Journal of time series analysis, v. 30, (4), 2009, p. 395-416
Berkes, I.; Horváth, L.; Ling, S. Article
On Distinguishing between Random Walk and Change in the Mean Alternatives
Econometric theory, v. 25, (2), 2009, APR, p. 411-441
Aue, Alexander; Horvath, Lajos; Huskova, Marie; Ling, Shiqing Article

2008 3

Asymptotic inference for a nonstationary double AR(1) model
Biometrika, v. 95, (1), 2008, MAR, p. 257-263
Ling, Shiqing; Li, Dong Article
Canonical Correlation Analysis for the Vector AR(1) Model with ARCH Innovations
Journal of statistical planning and inference, v. 138, (9), 2008, SEP 1, p. 2826-2836
Tsay, Ruey S.; Ling, Shiqing Article
Residual Empirical Processes for Long and Short Memory Time Series
The Annals of Statistics, v. 36, (5), 2008, OCT, p. 2453-2470
Chan, Ngai Hang; Ling, Shiqing Article

2007 4

A Double AR(p) Model: Structure and Estimation
Statistica Sinica, v. 17, (1), 2007, JAN, p. 161-175
Ling, Shiqing Article
Ergodicity and Invertibility of Threshold Moving-average Models
Bernoulli, v. 13, (1), 2007, FEB, p. 161-168
Ling, Shiqing; Tong, Howell; Li, Dong Article
Self-weighted and Local Quasi-maximum Likelihood Estimators for ARMA-GARCH/IGARCH Models
Journal of econometrics, v. 140, (2), 2007, OCT, p. 849-873
Ling, Shiqing Article
Testing for Change Points in Time Series Models and Limiting Theorems for NED Sequences
The Annals of Statistics, v. 35, (3), 2007, JUN, p. 1213-1237
Ling, Shiqing Article

2006 2

Empirical Likelihood for GARCH Models
Econometric theory, v. 22, (3), 2006, JUN, p. 403-428
Chan, NH; Ling, SQ Article
Fitting an Error Distribution in Some Heteroscedastic Time Series Models
The Annals of Statistics, v. 34, (2), 2006, APR, p. 994-1012
Koul, Hira L.; Ling, Shiqing Article

2005 5

Joint Modeling of Cointegration and Conditional Beteroscedasticity with Applications
Annals of the Institute of Statistical Mathematics, v. 57, (1), 2005, MAR, p. 83-103
Wong, H.; Li, WK; Ling, SQ Article
Mixed Portmanteau Tests for Time-series Models
Journal of time series analysis, v. 26, (4), 2005, JUL, p. 569-579
Wong, H.; Ling, SQ Article
Self-weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
Journal of the Royal Statistical Society. Series B: Statistical Methodology,, v. 67, (3), 2005, p. 381-393
Ling, Shiqing Article
Testing for a Linear MA Model Against Threshold MA Models
The Annals of Statistics, v. 33, (6), 2005, DEC, p. 2529-2552
Ling, Shiqing; Tong, H. Article
Self-Weighted Guantile Estimation for Infinite Variance Autoregressive Models.
Simulation and Modeling: Integrating Sciences and Technology for Effective Resource Management /Putchong Utayopas, Ussanee Purintrapiban, Voratas Kachitvichyanukul. Bangkok: Asian Institute of Technology, 2005, p. 626-634
Ling, Shiqing Book chapter

2004 4

Estimation and Testing Stationarity for Double-autoregressive Models
Journal of the Royal Statistical Society. Series B: Statistical Methodology, v. 66, (1), February 2004, p. 63-78
Ling, Shiqing Article
Hill's Estimator for the Tail Index of an ARMA Model
Journal of statistical planning and inference, v. 123, (2), 2004, JUL 1, p. 279-293
Ling, SQ; Peng, LA Article
Regression Quantiles for Unstable Autoregressive Models
Journal of multivariate analysis, v. 89, (2), 2004, MAY, p. 304-328
Ling, SQ; McAleer, M. Article
MLE for change-point in ARMA-GARCH models with a changing drift
PROBABILITY, FINANCE AND INSURANCE, 2004, p. 174-194
Ling, SQ Conference paper

2003 6

Adaptive Estimators and Tests of Stationary and Nonstationary Short- and Long-Memory ARFIMA–GARCH Models
Journal of the American Statistical Association, v. 98, (464), 2003, DEC, p. 955-967
Ling, SQ Article
Asymptotic Inference for Unit Root Processes with GARCH(1,1) Errors
Econometric theory, v. 19, (4), 2003, AUG, p. 541-564
Ling, SQ; Li, WK Article
Asymptotic Theory for a Vector ARMA-GARCH Model
Econometric theory, v. 19, (2), 2003, APR, p. 280-310
Ling, SQ; McAleer, M. Article
Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
Econometric Reviews, v. 22, (2), 2003, p. 179-202
Ling, S.; Li, W.K.; McAleer, M. Article
On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors
The Annals of Statistics, v. 31, (2), 2003, p. 642-674
Ling, S.; McAleer, M. Article
MLE for change-point in ARMA-GARCH models with a changing drift
MODSIM 2003: INTERNATIONAL CONGRESS ON MODELLING AND SIMULATION, VOLS 1-4: VOL 1: NATURAL SYSTEMS, PT 1; VOL 2: NATURAL SYSTEMS, PT 2; VOL 3: SOCIO-ECONOMIC SYSTEMS; VOL 4: GENERAL SYSTEMS, 2003, p. 1299-1304
Ling, SQ Conference paper

2002 4

Necessary and Sufficient Moment Conditions for the GARCH(r,s) and Asymmetric Power GARCH(r,s) Models
Econometric theory, v. 18, (3), 2002, JUN, p. 722-729
Ling, SQ; McAleer, M. Article
Recent Theoretical Results for Time Series Models with GARCH Errors
Journal of economic surveys, v. 16, (3), 2002, p. 245-270
Li, W.K.; Ling, S.; McAleer, M. Article
Stationarity and the Existence of Moments of a Family of GARCH Processes
Journal of econometrics, v. 106, (1), 2002, JAN, p. 109-117
Ling, SQ; McAleer, M. Article
Determining an Optimal Window Size for Modelling Volatility
Handbook of Applied Econometrics and Statistical Inference / Edited by Ullah, A., Wan, A., Chaturvedi, A., Marcel Dekker. New York. 2002, p. 443-467
Yew, X.C.H.; McAleer, M.; Ling, Shiqing Book chapter

2001 2

Asymptotic Inference for Nonstationary Fractionally Integrated Autoregressive Moving-Average Models
Econometric theory, v. 17, (4), 2001, AUG, p. 738-764
Ling, Shiqing; Li, W.K. Article
Estimation for Partially Nonstationary Multivariate Autoregressive models with Conditional Heteroscedasticity
Biometrika, v. 88, (4), 2001, DEC, p. 1135-1152
Li, WK; Ling, SQ; Wong, H. Article

1999 2

On the Probabilistic Properties of a Double Threshold ARMA Conditional Heteroskedastic Model
Journal of Applied Probability, v.36, (3), 1999, p. 688-705
Ling, Shiqing Article
On the Stationarity and the Existence of Moment of Conditional Heteroskedastic ARMA Models
Statistica Sinica, v. 9, (4), 1999, Oct, p. 1119-1130
Ling, S. Article

1998 3

Limiting Distributions of Maximum Likelihood Estimators for Unstable Autoregressive Moving-Average Time Series with General Autoregressive Heteroscedastic Errors
The Annals of Statistics, v. 26, (1), 1998, Feb, p. 84-125
Ling, S.; Li, W.K. Article
Weak Convergence of the Sequential Empirical Processes of Residuals in Nonstationary Autoregressive Models
The Annals of Statistics, v. 26, (2), 1998, p. 741-754
Ling, S. Article
Testing GARCH versus E-GARCH
Statistics and Finance: An Interface / Edited by Wai-Sum Chan, Wai Keung Li, Howell Tong. World Scientific Publishing Company, 2000, p. 226-244
Ling, Shiqing; McAleer, M. Book chapter

1997 2

Diagnostic checking of nonlinear multivariate time series with multivariate ARCH errors
Journal of time series analysis, v. 18, (5), 1997, p. 447-464
Ling, S.; Li, W.K. Article
On Fractionally Integrated Autoregressive Moving-Average Time Series Models with Conditional Heteroscedasticity
Journal of the American Statistical Association, v. 92, (439), September 1997, p. 1184-1194
Ling, SQ; Li, WK Article


Expand All Collapse All


Article 4

Inference in heavy-tailed vector error correction models
Journal of Econometrics, v. 214, (2), February 2020, p. 433-450
She, Rui; Ling, Shiqing
LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise
Journal of Econometrics, 27 November 2020
Zhang, Xingfa; Zhang, Rongmao; Li, Yuan; Ling, Shiqing
Lasso-based variable selection of ARMA models
Statistica Sinica, v. 30, 2020, p. 1925-1948
Chan, Ngai Hang; Ling, Shiqing; Yau, Chun Yip
Quasi-likelihood estimation of structure-changed threshold double autoregressive models
Journal of Statistical Planning and Inference, v. 205, March 2020, p. 138-155
Guo, Feifei; Ling, Shiqing


Expand All Collapse All


Article 3

On brownian motion approximation of compound poisson processes with applications to threshold models
Advances in Decision Sciences, v. 23, (2), June 2019, p. 164-191
Li, Dong; Ling, Shiqing; Tong, Howell; Yang, Guangren
Statistical Inference for Structurally Changed Threshold Autoregressive Models
Statistica Sinica, v. 29, (4), October 2019, p. 1803-1829
Gao, Zhaoxing; Ling, Shiqing
Testing Serial Correlation and ARCH Effect of High-Dimensional Time-Series Data
Journal of Business and Economic Statistics, August 2019
Ling, Shiqing; Tsay, Ruey; Yang, Yaxing


Expand All Collapse All


Article 3

A note on the LSE of three-regime TAR model with an infinite variance
Annals of Financial Economics, v. 13, (2), June 2018, p. 1-13
Yang, Yaxing; Ling, Shiqing
Tests for tar models VS. star models-a separate family of hypotheses approach
Statistica Sinica, v.28, (4), October 2018, p. 2857-2883
Gao, Zhaoxing; Ling, Shiqing; Tong, Howell
The ZD-GARCH model: a new way to study heteroscedasticity
Journal of Econometrics, v. 202, (1), January 2018, p. 1-17
Li, Dong; Zhang, Xingfa; Zhu, Ke; Ling, Shiqing


Expand All Collapse All


Article 3

Goodness-of-fit test for non-linear time series models
Annals of Financial Economics, v. 12, (2), Jun 2017, p. 1-21
Ngai sze han; Ling, Shiqing
Inference for heavy-tailed and multiple-threshold double autoregressive models
Journal of Business and Economic Statistics, v. 35, (2), April 2017, p. 318-333
Yang, Yaxing; Ling, Shiqing
Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models
Journal of Econometrics, v. 197, (2), April 2017, p. 368-381
Yang, Yaxing; Ling, Shiqing


Expand All Collapse All


Article 2

Estimation of Change-Points in Linear and Nolinear Time Series Models
Econometric Theory, v. 32, (2), April 2016, p. 402-430
Ling, Shiqing
On a Threshold Double Autoregressive Model
Journal of Business and Economic Statistics, v. 34, (1), January 2016, p. 68-80
Li, Dong; Ling, Shiqing; Zhang, Rongmao

Book chapter 1

Diagnostic Checking for Partially Nonstationary Multivariate ARMA Models
Advances in Time Series Methods and Applications: The A. Ian McLeod Festschrift / Wai Keung Li, David A. Stanford, Hao Yu, editors. New York : Springer, 2016, p. 115-130, Book series: Fields Institute Communications, v. 78
Tai, Man Tang; Yang, Yaxing; Ling, Shiqing


Expand All Collapse All


Article 6

Asymptotic Inference for Ar Models with Heavy-Tailed G-Garch Noises
Econometric Theory, v. 31, (4), August 2015, p. 880-890
Zhang, Rongmao; Ling, Shiqing
Asymptotic inference in multiple-threshold double autoregressive models
Journal of Econometrics, v. 189, (2), December 2015, p. 415-427
Li, Dong; Ling, Shiqing; Zako?an, Jean Michel
INFERENCE FOR A SPECIAL BILINEAR TIME-SERIES MODEL
Journal of Time Series Analysis, v. 36, (1), January 2015, p. 61-66
Ling, Shiqing; Peng, Liang; Zhu, Fukang
LADE-Based Inference for ARMA Models With Unspecified and Heavy-Tailed Heteroscedastic Noises
Journal of the American Statistical Association, v. 110, (510), April 2015, p. 784-794
Zhu, Ke; Ling, Shiqing
Model-based pricing for financial derivatives
Journal of Econometrics, v. 187, (2), August 2015, p. 447-457
Zhu, Ke; Ling, Shiqing
On functional limits of short- and long-memory linear processes with GARCH(1,1) noises
Stochastic Processes and their Applications, v. 125, (2), 2015, p. 482-512
Zhang, Rong-Mao; Sin, Chor-yiu; Ling, Shiqing


Expand All Collapse All


Article 5

Comment
Journal of Business and Economic Statistics, v. 32, (2), April 2014, p. 202-203
Ling, Shiqing; Zhu, Ke
Comment of "Principal Volatility Component Analysis" by Hu and Tsay
Journal of Business and Economic Statistics, v. 32, (2), April 2014, p. 165
Ling, Shiqing
Factor double autoregressive models with application to simultaneous causality testing
Journal of Statistical Planning and Inference, v. 148, May 2014, p. 82-94
Guo, Shaojun; Ling, Shiqing; Zhu, Ke
Non-stationarity and quasi-maximum likelihood estimation on a double autoregressive model
Journal of Time Series Analysis, v. 35, (3), 2014, p. 189-202
Chen, Min; Li, Dong; Ling, Shiqing
On Conditionally Heteroscedastic AR Models with Thresholds
Statistica Sinica, v. 24, (2), April 2014, p. 625-652
Chan, Kung-Sik; Li, Dong; Ling, Shiqing; Tong, Howell


Expand All Collapse All


Article 3

ASYMPTOTIC THEORY ON THE LEAST SQUARES ESTIMATION OF THRESHOLD MOVING-AVERAGE MODELS
Econometric Theory, v. 29, (3), June 2013, p. 482-516
Li, Dong; Ling, Shiqing; Li, Wai Keung
Diagnostic checking for non-stationary ARMA models with an application to financial data
North American Journal of Economics and Finance, v. 26, December 2013, p. 624-639
Ling, Shiqing; Zhu, Ke; Yee, Chong Ching
Quasi-maximum exponential likelihood estimators for a double AR(p) model
Statistica Sinica, v. 23, (2), April 2013, p. 251-270
Zhu, Ke; Ling, Shiqing


Expand All Collapse All


Article 4

Likelihood ratio tests for the structural change of an AR(p) model to a Threshold AR(p) model
Journal of time series analysis, v. 33, (2), March 2012, p. 223-232
Zhu, Ke; Ling, Shiqing
On moving-average models with feedback
Bernoulli, v. 18, (2), May 2012, p. 735-745
Li, Dong; Ling, Shiqing; Tong, Howell
On the least squares estimation of multiple-regime threshold autoregressive models
Journal of econometrics, v. 167, (1), 2012, p. 240-253
Li, D.; Ling, S.
The global weighted LAD estimators for finite/infinite variance ARMA (p, q) models
Econometric Theory, v. 28, (5), 2012, p. 1065-1086
Zhu, Ke; Ling, Shiqing


Expand All Collapse All


Article 5

Global Self-weighted and Local Quasi-maximum Exponential Likelihood Estimators for ARMA–GARCH/IGARCH Models
The Annals of Statistics, v. 39, (4), August 2011, p. 2131-2163
Zhu, Ke; Ling, Shiqing
On non-stationary threshold autoregressive models
Bernoulli, v. 17, (3), August 2011, p. 969-986
Liu, Weidong; Ling, Shiqing; Shao, Qi-Man
On the Least Squares Estimation of Threshold Autoregressive and Moving-average Models
Statistics and Its Interface, v. 4, (2), 2011, p. 183-196
Li, Dong; Li, Wai Keung; Ling, Shiqing
Score Based Goodness-of-fit Tests for Time Series
Statistica Sinica, v. 21, (4), 2011, p. 1807-1829
Ling, S.; Tong, H.
Testing for structural change of AR model to threshold AR model
Journal of time series analysis, v. 32, (5), September 2011, p. 547-565
Berkes, Istvan; Horvath, Lajos; Ling, Shiqing; Schauer, Johannes


Expand All Collapse All


Article 1

A General Asymptotic Theory for Time-series Models
Statistica Neerlandica, v. 64, (1), 2010, FEB, p. 97-111
Ling, Shiqing; McAleer, Michael


Expand All Collapse All


Article 2

Estimation in Nonstationary Random Coefficient Autoregressive Models
Journal of time series analysis, v. 30, (4), 2009, p. 395-416
Berkes, I.; Horváth, L.; Ling, S.
On Distinguishing between Random Walk and Change in the Mean Alternatives
Econometric theory, v. 25, (2), 2009, APR, p. 411-441
Aue, Alexander; Horvath, Lajos; Huskova, Marie; Ling, Shiqing


Expand All Collapse All


Article 3

Asymptotic inference for a nonstationary double AR(1) model
Biometrika, v. 95, (1), 2008, MAR, p. 257-263
Ling, Shiqing; Li, Dong
Canonical Correlation Analysis for the Vector AR(1) Model with ARCH Innovations
Journal of statistical planning and inference, v. 138, (9), 2008, SEP 1, p. 2826-2836
Tsay, Ruey S.; Ling, Shiqing
Residual Empirical Processes for Long and Short Memory Time Series
The Annals of Statistics, v. 36, (5), 2008, OCT, p. 2453-2470
Chan, Ngai Hang; Ling, Shiqing


Expand All Collapse All


Article 4

A Double AR(p) Model: Structure and Estimation
Statistica Sinica, v. 17, (1), 2007, JAN, p. 161-175
Ling, Shiqing
Ergodicity and Invertibility of Threshold Moving-average Models
Bernoulli, v. 13, (1), 2007, FEB, p. 161-168
Ling, Shiqing; Tong, Howell; Li, Dong
Self-weighted and Local Quasi-maximum Likelihood Estimators for ARMA-GARCH/IGARCH Models
Journal of econometrics, v. 140, (2), 2007, OCT, p. 849-873
Ling, Shiqing
Testing for Change Points in Time Series Models and Limiting Theorems for NED Sequences
The Annals of Statistics, v. 35, (3), 2007, JUN, p. 1213-1237
Ling, Shiqing


Expand All Collapse All


Article 2

Empirical Likelihood for GARCH Models
Econometric theory, v. 22, (3), 2006, JUN, p. 403-428
Chan, NH; Ling, SQ
Fitting an Error Distribution in Some Heteroscedastic Time Series Models
The Annals of Statistics, v. 34, (2), 2006, APR, p. 994-1012
Koul, Hira L.; Ling, Shiqing


Expand All Collapse All


Article 4

Joint Modeling of Cointegration and Conditional Beteroscedasticity with Applications
Annals of the Institute of Statistical Mathematics, v. 57, (1), 2005, MAR, p. 83-103
Wong, H.; Li, WK; Ling, SQ
Mixed Portmanteau Tests for Time-series Models
Journal of time series analysis, v. 26, (4), 2005, JUL, p. 569-579
Wong, H.; Ling, SQ
Self-weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
Journal of the Royal Statistical Society. Series B: Statistical Methodology,, v. 67, (3), 2005, p. 381-393
Ling, Shiqing
Testing for a Linear MA Model Against Threshold MA Models
The Annals of Statistics, v. 33, (6), 2005, DEC, p. 2529-2552
Ling, Shiqing; Tong, H.

Book chapter 1

Self-Weighted Guantile Estimation for Infinite Variance Autoregressive Models.
Simulation and Modeling: Integrating Sciences and Technology for Effective Resource Management /Putchong Utayopas, Ussanee Purintrapiban, Voratas Kachitvichyanukul. Bangkok: Asian Institute of Technology, 2005, p. 626-634
Ling, Shiqing


Expand All Collapse All


Article 3

Estimation and Testing Stationarity for Double-autoregressive Models
Journal of the Royal Statistical Society. Series B: Statistical Methodology, v. 66, (1), February 2004, p. 63-78
Ling, Shiqing
Hill's Estimator for the Tail Index of an ARMA Model
Journal of statistical planning and inference, v. 123, (2), 2004, JUL 1, p. 279-293
Ling, SQ; Peng, LA
Regression Quantiles for Unstable Autoregressive Models
Journal of multivariate analysis, v. 89, (2), 2004, MAY, p. 304-328
Ling, SQ; McAleer, M.

Conference paper 1

MLE for change-point in ARMA-GARCH models with a changing drift
PROBABILITY, FINANCE AND INSURANCE, 2004, p. 174-194
Ling, SQ


Expand All Collapse All


Article 5

Adaptive Estimators and Tests of Stationary and Nonstationary Short- and Long-Memory ARFIMA–GARCH Models
Journal of the American Statistical Association, v. 98, (464), 2003, DEC, p. 955-967
Ling, SQ
Asymptotic Inference for Unit Root Processes with GARCH(1,1) Errors
Econometric theory, v. 19, (4), 2003, AUG, p. 541-564
Ling, SQ; Li, WK
Asymptotic Theory for a Vector ARMA-GARCH Model
Econometric theory, v. 19, (2), 2003, APR, p. 280-310
Ling, SQ; McAleer, M.
Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
Econometric Reviews, v. 22, (2), 2003, p. 179-202
Ling, S.; Li, W.K.; McAleer, M.
On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors
The Annals of Statistics, v. 31, (2), 2003, p. 642-674
Ling, S.; McAleer, M.

Conference paper 1

MLE for change-point in ARMA-GARCH models with a changing drift
MODSIM 2003: INTERNATIONAL CONGRESS ON MODELLING AND SIMULATION, VOLS 1-4: VOL 1: NATURAL SYSTEMS, PT 1; VOL 2: NATURAL SYSTEMS, PT 2; VOL 3: SOCIO-ECONOMIC SYSTEMS; VOL 4: GENERAL SYSTEMS, 2003, p. 1299-1304
Ling, SQ


Expand All Collapse All


Article 3

Necessary and Sufficient Moment Conditions for the GARCH(r,s) and Asymmetric Power GARCH(r,s) Models
Econometric theory, v. 18, (3), 2002, JUN, p. 722-729
Ling, SQ; McAleer, M.
Recent Theoretical Results for Time Series Models with GARCH Errors
Journal of economic surveys, v. 16, (3), 2002, p. 245-270
Li, W.K.; Ling, S.; McAleer, M.
Stationarity and the Existence of Moments of a Family of GARCH Processes
Journal of econometrics, v. 106, (1), 2002, JAN, p. 109-117
Ling, SQ; McAleer, M.

Book chapter 1

Determining an Optimal Window Size for Modelling Volatility
Handbook of Applied Econometrics and Statistical Inference / Edited by Ullah, A., Wan, A., Chaturvedi, A., Marcel Dekker. New York. 2002, p. 443-467
Yew, X.C.H.; McAleer, M.; Ling, Shiqing


Expand All Collapse All


Article 2

Asymptotic Inference for Nonstationary Fractionally Integrated Autoregressive Moving-Average Models
Econometric theory, v. 17, (4), 2001, AUG, p. 738-764
Ling, Shiqing; Li, W.K.
Estimation for Partially Nonstationary Multivariate Autoregressive models with Conditional Heteroscedasticity
Biometrika, v. 88, (4), 2001, DEC, p. 1135-1152
Li, WK; Ling, SQ; Wong, H.


Expand All Collapse All


Article 2

On the Probabilistic Properties of a Double Threshold ARMA Conditional Heteroskedastic Model
Journal of Applied Probability, v.36, (3), 1999, p. 688-705
Ling, Shiqing
On the Stationarity and the Existence of Moment of Conditional Heteroskedastic ARMA Models
Statistica Sinica, v. 9, (4), 1999, Oct, p. 1119-1130
Ling, S.


Expand All Collapse All


Article 2

Limiting Distributions of Maximum Likelihood Estimators for Unstable Autoregressive Moving-Average Time Series with General Autoregressive Heteroscedastic Errors
The Annals of Statistics, v. 26, (1), 1998, Feb, p. 84-125
Ling, S.; Li, W.K.
Weak Convergence of the Sequential Empirical Processes of Residuals in Nonstationary Autoregressive Models
The Annals of Statistics, v. 26, (2), 1998, p. 741-754
Ling, S.

Book chapter 1

Testing GARCH versus E-GARCH
Statistics and Finance: An Interface / Edited by Wai-Sum Chan, Wai Keung Li, Howell Tong. World Scientific Publishing Company, 2000, p. 226-244
Ling, Shiqing; McAleer, M.


Expand All Collapse All


Article 2

Diagnostic checking of nonlinear multivariate time series with multivariate ARCH errors
Journal of time series analysis, v. 18, (5), 1997, p. 447-464
Ling, S.; Li, W.K.
On Fractionally Integrated Autoregressive Moving-Average Time Series Models with Conditional Heteroscedasticity
Journal of the American Statistical Association, v. 92, (439), September 1997, p. 1184-1194
Ling, SQ; Li, WK


Expand All Collapse All


2016 3

Estimation of Change-Points in Linear and Nolinear Time Series Models
Econometric Theory, v. 32, (2), April 2016, p. 402-430
Ling, Shiqing Article
On a Threshold Double Autoregressive Model
Journal of Business and Economic Statistics, v. 34, (1), January 2016, p. 68-80
Li, Dong; Ling, Shiqing; Zhang, Rongmao Article
Diagnostic Checking for Partially Nonstationary Multivariate ARMA Models
Advances in Time Series Methods and Applications: The A. Ian McLeod Festschrift / Wai Keung Li, David A. Stanford, Hao Yu, editors. New York : Springer, 2016, p. 115-130, Book series: Fields Institute Communications, v. 78
Tai, Man Tang; Yang, Yaxing; Ling, Shiqing Book chapter

2015 6

Asymptotic Inference for Ar Models with Heavy-Tailed G-Garch Noises
Econometric Theory, v. 31, (4), August 2015, p. 880-890
Zhang, Rongmao; Ling, Shiqing Article
Asymptotic inference in multiple-threshold double autoregressive models
Journal of Econometrics, v. 189, (2), December 2015, p. 415-427
Li, Dong; Ling, Shiqing; Zako?an, Jean Michel Article
INFERENCE FOR A SPECIAL BILINEAR TIME-SERIES MODEL
Journal of Time Series Analysis, v. 36, (1), January 2015, p. 61-66
Ling, Shiqing; Peng, Liang; Zhu, Fukang Article
LADE-Based Inference for ARMA Models With Unspecified and Heavy-Tailed Heteroscedastic Noises
Journal of the American Statistical Association, v. 110, (510), April 2015, p. 784-794
Zhu, Ke; Ling, Shiqing Article
Model-based pricing for financial derivatives
Journal of Econometrics, v. 187, (2), August 2015, p. 447-457
Zhu, Ke; Ling, Shiqing Article
On functional limits of short- and long-memory linear processes with GARCH(1,1) noises
Stochastic Processes and their Applications, v. 125, (2), 2015, p. 482-512
Zhang, Rong-Mao; Sin, Chor-yiu; Ling, Shiqing Article

2014 5

Comment
Journal of Business and Economic Statistics, v. 32, (2), April 2014, p. 202-203
Ling, Shiqing; Zhu, Ke Article
Comment of "Principal Volatility Component Analysis" by Hu and Tsay
Journal of Business and Economic Statistics, v. 32, (2), April 2014, p. 165
Ling, Shiqing Article
Factor double autoregressive models with application to simultaneous causality testing
Journal of Statistical Planning and Inference, v. 148, May 2014, p. 82-94
Guo, Shaojun; Ling, Shiqing; Zhu, Ke Article
Non-stationarity and quasi-maximum likelihood estimation on a double autoregressive model
Journal of Time Series Analysis, v. 35, (3), 2014, p. 189-202
Chen, Min; Li, Dong; Ling, Shiqing Article
On Conditionally Heteroscedastic AR Models with Thresholds
Statistica Sinica, v. 24, (2), April 2014, p. 625-652
Chan, Kung-Sik; Li, Dong; Ling, Shiqing; Tong, Howell Article

2013 3

ASYMPTOTIC THEORY ON THE LEAST SQUARES ESTIMATION OF THRESHOLD MOVING-AVERAGE MODELS
Econometric Theory, v. 29, (3), June 2013, p. 482-516
Li, Dong; Ling, Shiqing; Li, Wai Keung Article
Diagnostic checking for non-stationary ARMA models with an application to financial data
North American Journal of Economics and Finance, v. 26, December 2013, p. 624-639
Ling, Shiqing; Zhu, Ke; Yee, Chong Ching Article
Quasi-maximum exponential likelihood estimators for a double AR(p) model
Statistica Sinica, v. 23, (2), April 2013, p. 251-270
Zhu, Ke; Ling, Shiqing Article

2012 4

Likelihood ratio tests for the structural change of an AR(p) model to a Threshold AR(p) model
Journal of time series analysis, v. 33, (2), March 2012, p. 223-232
Zhu, Ke; Ling, Shiqing Article
On moving-average models with feedback
Bernoulli, v. 18, (2), May 2012, p. 735-745
Li, Dong; Ling, Shiqing; Tong, Howell Article
On the least squares estimation of multiple-regime threshold autoregressive models
Journal of econometrics, v. 167, (1), 2012, p. 240-253
Li, D.; Ling, S. Article
The global weighted LAD estimators for finite/infinite variance ARMA (p, q) models
Econometric Theory, v. 28, (5), 2012, p. 1065-1086
Zhu, Ke; Ling, Shiqing Article

2011 5

Global Self-weighted and Local Quasi-maximum Exponential Likelihood Estimators for ARMA–GARCH/IGARCH Models
The Annals of Statistics, v. 39, (4), August 2011, p. 2131-2163
Zhu, Ke; Ling, Shiqing Article
On non-stationary threshold autoregressive models
Bernoulli, v. 17, (3), August 2011, p. 969-986
Liu, Weidong; Ling, Shiqing; Shao, Qi-Man Article
On the Least Squares Estimation of Threshold Autoregressive and Moving-average Models
Statistics and Its Interface, v. 4, (2), 2011, p. 183-196
Li, Dong; Li, Wai Keung; Ling, Shiqing Article
Score Based Goodness-of-fit Tests for Time Series
Statistica Sinica, v. 21, (4), 2011, p. 1807-1829
Ling, S.; Tong, H. Article
Testing for structural change of AR model to threshold AR model
Journal of time series analysis, v. 32, (5), September 2011, p. 547-565
Berkes, Istvan; Horvath, Lajos; Ling, Shiqing; Schauer, Johannes Article

2010 1

A General Asymptotic Theory for Time-series Models
Statistica Neerlandica, v. 64, (1), 2010, FEB, p. 97-111
Ling, Shiqing; McAleer, Michael Article

2009 2

Estimation in Nonstationary Random Coefficient Autoregressive Models
Journal of time series analysis, v. 30, (4), 2009, p. 395-416
Berkes, I.; Horváth, L.; Ling, S. Article
On Distinguishing between Random Walk and Change in the Mean Alternatives
Econometric theory, v. 25, (2), 2009, APR, p. 411-441
Aue, Alexander; Horvath, Lajos; Huskova, Marie; Ling, Shiqing Article

2008 3

Asymptotic inference for a nonstationary double AR(1) model
Biometrika, v. 95, (1), 2008, MAR, p. 257-263
Ling, Shiqing; Li, Dong Article
Canonical Correlation Analysis for the Vector AR(1) Model with ARCH Innovations
Journal of statistical planning and inference, v. 138, (9), 2008, SEP 1, p. 2826-2836
Tsay, Ruey S.; Ling, Shiqing Article
Residual Empirical Processes for Long and Short Memory Time Series
The Annals of Statistics, v. 36, (5), 2008, OCT, p. 2453-2470
Chan, Ngai Hang; Ling, Shiqing Article

2007 4

A Double AR(p) Model: Structure and Estimation
Statistica Sinica, v. 17, (1), 2007, JAN, p. 161-175
Ling, Shiqing Article
Ergodicity and Invertibility of Threshold Moving-average Models
Bernoulli, v. 13, (1), 2007, FEB, p. 161-168
Ling, Shiqing; Tong, Howell; Li, Dong Article
Self-weighted and Local Quasi-maximum Likelihood Estimators for ARMA-GARCH/IGARCH Models
Journal of econometrics, v. 140, (2), 2007, OCT, p. 849-873
Ling, Shiqing Article
Testing for Change Points in Time Series Models and Limiting Theorems for NED Sequences
The Annals of Statistics, v. 35, (3), 2007, JUN, p. 1213-1237
Ling, Shiqing Article

2006 2

Empirical Likelihood for GARCH Models
Econometric theory, v. 22, (3), 2006, JUN, p. 403-428
Chan, NH; Ling, SQ Article
Fitting an Error Distribution in Some Heteroscedastic Time Series Models
The Annals of Statistics, v. 34, (2), 2006, APR, p. 994-1012
Koul, Hira L.; Ling, Shiqing Article

2005 5

Joint Modeling of Cointegration and Conditional Beteroscedasticity with Applications
Annals of the Institute of Statistical Mathematics, v. 57, (1), 2005, MAR, p. 83-103
Wong, H.; Li, WK; Ling, SQ Article
Mixed Portmanteau Tests for Time-series Models
Journal of time series analysis, v. 26, (4), 2005, JUL, p. 569-579
Wong, H.; Ling, SQ Article
Self-weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
Journal of the Royal Statistical Society. Series B: Statistical Methodology,, v. 67, (3), 2005, p. 381-393
Ling, Shiqing Article
Testing for a Linear MA Model Against Threshold MA Models
The Annals of Statistics, v. 33, (6), 2005, DEC, p. 2529-2552
Ling, Shiqing; Tong, H. Article
Self-Weighted Guantile Estimation for Infinite Variance Autoregressive Models.
Simulation and Modeling: Integrating Sciences and Technology for Effective Resource Management /Putchong Utayopas, Ussanee Purintrapiban, Voratas Kachitvichyanukul. Bangkok: Asian Institute of Technology, 2005, p. 626-634
Ling, Shiqing Book chapter

2004 4

Estimation and Testing Stationarity for Double-autoregressive Models
Journal of the Royal Statistical Society. Series B: Statistical Methodology, v. 66, (1), February 2004, p. 63-78
Ling, Shiqing Article
Hill's Estimator for the Tail Index of an ARMA Model
Journal of statistical planning and inference, v. 123, (2), 2004, JUL 1, p. 279-293
Ling, SQ; Peng, LA Article
Regression Quantiles for Unstable Autoregressive Models
Journal of multivariate analysis, v. 89, (2), 2004, MAY, p. 304-328
Ling, SQ; McAleer, M. Article
MLE for change-point in ARMA-GARCH models with a changing drift
PROBABILITY, FINANCE AND INSURANCE, 2004, p. 174-194
Ling, SQ Conference paper

2003 6

Adaptive Estimators and Tests of Stationary and Nonstationary Short- and Long-Memory ARFIMA–GARCH Models
Journal of the American Statistical Association, v. 98, (464), 2003, DEC, p. 955-967
Ling, SQ Article
Asymptotic Inference for Unit Root Processes with GARCH(1,1) Errors
Econometric theory, v. 19, (4), 2003, AUG, p. 541-564
Ling, SQ; Li, WK Article
Asymptotic Theory for a Vector ARMA-GARCH Model
Econometric theory, v. 19, (2), 2003, APR, p. 280-310
Ling, SQ; McAleer, M. Article
Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
Econometric Reviews, v. 22, (2), 2003, p. 179-202
Ling, S.; Li, W.K.; McAleer, M. Article
On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors
The Annals of Statistics, v. 31, (2), 2003, p. 642-674
Ling, S.; McAleer, M. Article
MLE for change-point in ARMA-GARCH models with a changing drift
MODSIM 2003: INTERNATIONAL CONGRESS ON MODELLING AND SIMULATION, VOLS 1-4: VOL 1: NATURAL SYSTEMS, PT 1; VOL 2: NATURAL SYSTEMS, PT 2; VOL 3: SOCIO-ECONOMIC SYSTEMS; VOL 4: GENERAL SYSTEMS, 2003, p. 1299-1304
Ling, SQ Conference paper

2002 4

Necessary and Sufficient Moment Conditions for the GARCH(r,s) and Asymmetric Power GARCH(r,s) Models
Econometric theory, v. 18, (3), 2002, JUN, p. 722-729
Ling, SQ; McAleer, M. Article
Recent Theoretical Results for Time Series Models with GARCH Errors
Journal of economic surveys, v. 16, (3), 2002, p. 245-270
Li, W.K.; Ling, S.; McAleer, M. Article
Stationarity and the Existence of Moments of a Family of GARCH Processes
Journal of econometrics, v. 106, (1), 2002, JAN, p. 109-117
Ling, SQ; McAleer, M. Article
Determining an Optimal Window Size for Modelling Volatility
Handbook of Applied Econometrics and Statistical Inference / Edited by Ullah, A., Wan, A., Chaturvedi, A., Marcel Dekker. New York. 2002, p. 443-467
Yew, X.C.H.; McAleer, M.; Ling, Shiqing Book chapter

2001 2

Asymptotic Inference for Nonstationary Fractionally Integrated Autoregressive Moving-Average Models
Econometric theory, v. 17, (4), 2001, AUG, p. 738-764
Ling, Shiqing; Li, W.K. Article
Estimation for Partially Nonstationary Multivariate Autoregressive models with Conditional Heteroscedasticity
Biometrika, v. 88, (4), 2001, DEC, p. 1135-1152
Li, WK; Ling, SQ; Wong, H. Article

1999 2

On the Probabilistic Properties of a Double Threshold ARMA Conditional Heteroskedastic Model
Journal of Applied Probability, v.36, (3), 1999, p. 688-705
Ling, Shiqing Article
On the Stationarity and the Existence of Moment of Conditional Heteroskedastic ARMA Models
Statistica Sinica, v. 9, (4), 1999, Oct, p. 1119-1130
Ling, S. Article

1998 3

Limiting Distributions of Maximum Likelihood Estimators for Unstable Autoregressive Moving-Average Time Series with General Autoregressive Heteroscedastic Errors
The Annals of Statistics, v. 26, (1), 1998, Feb, p. 84-125
Ling, S.; Li, W.K. Article
Weak Convergence of the Sequential Empirical Processes of Residuals in Nonstationary Autoregressive Models
The Annals of Statistics, v. 26, (2), 1998, p. 741-754
Ling, S. Article
Testing GARCH versus E-GARCH
Statistics and Finance: An Interface / Edited by Wai-Sum Chan, Wai Keung Li, Howell Tong. World Scientific Publishing Company, 2000, p. 226-244
Ling, Shiqing; McAleer, M. Book chapter

1997 2

Diagnostic checking of nonlinear multivariate time series with multivariate ARCH errors
Journal of time series analysis, v. 18, (5), 1997, p. 447-464
Ling, S.; Li, W.K. Article
On Fractionally Integrated Autoregressive Moving-Average Time Series Models with Conditional Heteroscedasticity
Journal of the American Statistical Association, v. 92, (439), September 1997, p. 1184-1194
Ling, SQ; Li, WK Article


No Publications


No Publications






Teaching Assignment

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2021-22 Winter 0 2021-22 Fall 2 2020-21 Summer 0 2020-21 Spring 2 2020-21 Winter 0 2020-21 Fall 5

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MSBD5006 Quantitative Analysis of Financial Time Series
MSDM5053 Quantitative Analysis of Time Series


MAFS5130 Quantitative Analysis of Financial Time Series
MATH5450 Stochastic Processes


MAFS6100A Independent Project
MAFS6100B Independent Project
MATH4423 Nonparametric Statistics
MSBD5006 Quantitative Analysis of Financial Time Series
MSDM5053 Quantitative Analysis of Time Series


No Teaching Assignments


No Teaching Assignments


No Teaching Assignments






Research Postgraduate (RPG) Supervision From January 2019 to December 2022 (As of 30 January 2022)

---

All Supervisions Current RPGs Graduated RPGs

---

Current RPGs

---

Doctor of Philosophy CAI, Bibi
Mathematics( 2020 - )

---

Graduated RPGs

---

Doctor of Philosophy GUO, Feifei
Mathematics( Completed in 2020 )









ProjectsFrom January 2020 to December 2022

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All Projects 4 Leading Projects 3 Participating Projects 1

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Simultaneous Testing of Change-points with a Threshold in a General Class of Time Series Models


同时检验一般类型时间序列模型中的变点与门限 Leading


RGC - General Research Fund


Project Team (HKUST)
LING Shiqing (Lead)


2022 -




Testing and Estimation of Change-points in the Mean of Linear Processes with Heavy-tailed G-GARCH Noises -- A Trimmed LSE Approach


关于重尾巴G-GARCH 噪音线性过程的均值变点的检验与估计----一个修剪最小二乘方法 Leading


RGC - General Research Fund


Project Team (HKUST)
LING Shiqing (Lead)


2021 -




Contributing to the Development of Hong Kong into a Global Fintech Hub


促进香港成为全球的金融科技枢纽 Participating


RGC - Theme-based Research Scheme


Project Team (HKUST)
TAM Kar Yan (Lead)
BHATTACHARYA Utpal
CHEN Yanzhen
HUANG Allen Hao
HUI Kai Lung
JAMES Lancelot Fitzgerald
LI Yingying
LING Shiqing
SO Mike Ka Pui
XU Yan
YANG Yi
YEUNG Dit Yan
YOU Haifeng
ZHANG Chu
ZHENG Rong
ZHENG Xinghua


2019 -




Statistical Inferences of Heavy-Tailed Vector Error Correction ARMA Models


重尾向量误差校正ARMA模型的统计推断 Leading


RGC - General Research Fund


Project Team (HKUST)
LING Shiqing (Lead)


2019 - 2021