maling

LING, Shi-Qing
凌仕卿

(PhD Univ of Hong Kong)

Phone: (852) 2358 7459
Email: maling@ust.hk
Office: Room 3460
Home Page

Chair Professor



Research Interests

Large sample theory; empirical processes; nonstationary time series; nonlinear time series; long memory time series; econometrics

Teaching

  • MAFS5130  Quantitative Analysis of Financial Time Series
  • MATH5460  Time Series Analysis

Awards & Honors

  • Professor Shiqing LING was conferred the title "RGC Senior Research Fellow"   (2022)
  • Professor LING Shiqing named Fellow of the Journal of Econometrics   (2021)
  • ET Lecture: The 14th International Symposium on Econometric Theory and Applications (SETA). Sydney, Australia, 31/05-01/06, 2018.   (2018)
  • Econometric Theory Plura Scripsit Award, awarded by Econometric Theory   (2017)
  • Biennial Medal and Fellowship by The Modelling and Simulation Society of Australia and New Zealand   (2013)

Selected Publications

  Article

  1. Testing and Estimation of Change Point in ARMA Model With Heavy-Tailed G-GARCH Noises
    • Author(s): Bai, Qiang; Ling, Shiqing; Zhu, Ke
    • Source: Journal of Time Series Analysis
    • Year: 2025

  2. Testing for Change-Points in Heavy-Tailed Time Series—A Winsorized CUSUM Approach
    • Author(s): She, Rui; Dai, Linlin; Ling, Shiqing
    • Source: Journal of Business and Economic Statistics
    • Year: 2025

  3. Noncausal AR-ARCH Model and Its Applications to Financial Time Series
    • Author(s): Zhan, Yaosong; Ling, Shiqing; Liu, Zhenya; Wang, Shixuan
    • Source: International Journal of Finance and Economics
    • Year: 2025

  4. Modeling bimodal stock price dynamics by a parsimonious diffusion process
    • Author(s): Zhan, Yaosong; Ling, Shiqing; Liu, Zhenya; Wang, Shixuan
    • Source: International Review of Financial Analysis, v. 105, article number 104367
    • Year: 2025

  5. Neural Network for Partially Linear Time Series Models
    • Author(s): Wei, Xuchen; Chen, Min; Ling, Shiqing
    • Source: Annals of Financial Economics, v. 20, (2), article number 2550014
    • Year: 2025

  6. Statistical Inference for Heavy-tailed and Partially Nonstationary Vector ARMA Models
    • Author(s): Guo, Feifei; Ling, Shiqing
    • Source: Statistica Sinica, v. 35, 2025, p. 1-27
    • Year: 2025

  7. Bootstrap unit root inference for linear processes of possibly heavy-tailed GARCH-type noises
    • Author(s): Zhang, Rongmao; Sin, Chor-yiu; Ling, Shiqing
    • Source: Econometric Reviews, February 2025
    • Year: 2025

  8. On ergodicity of threshold ARMA(m, p, q) models
    • Author(s): Bai, Qiang; Ling, Shiqing
    • Source: Japanese Journal of Statistics and Data Science, May 2024
    • Year: 2024

  9. On a Partially Non-Stationary Vector AR Model with Vector GARCH Noises: Estimation and Testing
    • Author(s): Sin, Chor-yiu; Mi, Zichuan; Ling, Shiqing
    • Source: Communications in Mathematical Research, v. 40, (1), February 2024, p. 64-101
    • Year: 2024

  10. Asymptotic inference of the ARMA model with time-functional variance noises
    • Author(s): Cai, Bibi; Zhu, Enwen; Ling, Shiqing
    • Source: Scandinavian Journal of Statistics, February 2024
    • Year: 2024

  11. Inference for the VEC(1) model with a heavy-tailed linear process errors*
    • Author(s): Guo, Feifei; Ling, Shiqing
    • Source: Econometric Reviews, 31 July 2023
    • Year: 2023

  12. Testing for Structural Change of Predictive Regression Model to Threshold Predictive Regression Model
    • Author(s): Zhu, Fukang; Liu, Mengya; Ling, Shiqing; Cai, Zongwu
    • Source: Journal of Business & Economic Statistics, v. 41, (1), January 2023, p. 228-240
    • Year: 2023

  13. Testing threshold effect in single-index models
    • Author(s): Gao, Zhaoxing; Mi, Zichuan; Ling, Shiqing
    • Source: Statistics and its Interface, v. 16, (1), 2023, p. 43-56
    • Year: 2023

  14. Overview: Time series analysis of higher moments and distributions of financial data
    • Author(s): Andersen, Torben G.; Chang, Chia Lin; Ling, Shiqing
    • Source: Journal of Econometrics, v. 227, (1), p. 1-3
    • Year: 2022

  15. Self-Weighted LSE and Residual-Based QMLE of ARMA-GARCH Models
    • Author(s): Ling, Shiqing; Zhu, Ke
    • Source: Journal of Risk and Financial Management, v. 15, (2), February 2022, article number 90
    • Year: 2022

  16. Automated Estimation of Heavy-Tailed Vector Error Correction Models
    • Author(s): Guo, Feifei; Ling, Shiqing; Mi, Zichuan
    • Source: Statistica Sinica, v. 32, (4), October 2022, p. 2171-2198
    • Year: 2022

  17. Consistency of global LSE for MA(1) models
    • Author(s): Yang, Yaxing; Ling, Shiqing; Wang, Qiying
    • Source: Statistics and Probability Letters, v. 182, March 2022, article number 109292
    • Year: 2022

  18. LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise
    • Author(s): Zhang, Xingfa; Zhang, Rongmao; Li, Yuan; Ling, Shiqing
    • Source: Journal of Econometrics, v. 227, (1), March 2022, p. 228-240
    • Year: 2022

  19. Whittle parameter estimation for vector ARMA models with heavy-tailed noises
    • Author(s): She, Rui; Mi, Zichuan; Ling, Shiqing
    • Source: Journal of Statistical Planning and Inference, v. 219, July 2022, p. 216-230
    • Year: 2022

  20. Testing Serial Correlation and ARCH Effect of High-Dimensional Time-Series Data
    • Author(s): Ling, Shiqing; Tsay, Ruey; Yang, Yaxing
    • Source: Journal of Business and Economic Statistics, v. 39, (1), January 2021, p. 136-147
    • Year: 2021

  21. Inference in heavy-tailed vector error correction models
    • Author(s): She, Rui; Ling, Shiqing
    • Source: Journal of Econometrics, v. 214, (2), February 2020, p. 433-450
    • Year: 2020

  22. Quasi-likelihood estimation of structure-changed threshold double autoregressive models
    • Author(s): Guo, Feifei; Ling, Shiqing
    • Source: Journal of Statistical Planning and Inference, v. 205, March 2020, p. 138-155
    • Year: 2020

  23. Lasso-based Variable Selection of ARMA Models
    • Author(s): Chan, Ngai Hang; Ling, Shiqing; Yau, Chun Yip
    • Source: Statistica Sinica, v. 30, (4), October 2020, p. 1925-1948
    • Year: 2020

  24. On brownian motion approximation of compound poisson processes with applications to threshold models
    • Author(s): Li, Dong; Ling, Shiqing; Tong, Howell; Yang, Guangren
    • Source: Advances in Decision Sciences, v. 23, (2), June 2019, p. 164-191
    • Year: 2019

  25. Statistical Inference for Structurally Changed Threshold Autoregressive Models
    • Author(s): Gao, Zhaoxing; Ling, Shiqing
    • Source: Statistica Sinica, v. 29, (4), October 2019, p. 1803-1829
    • Year: 2019

  26. A note on the LSE of three-regime TAR model with an infinite variance
    • Author(s): Yang, Yaxing; Ling, Shiqing
    • Source: Annals of Financial Economics, v. 13, (2), June 2018, article number 1850007, p. 1-13
    • Year: 2018

  27. Tests for tar models VS. star models-a separate family of hypotheses approach
    • Author(s): Gao, Zhaoxing; Ling, Shiqing; Tong, Howell
    • Source: Statistica Sinica, v.28, (4), October 2018, p. 2857-2883
    • Year: 2018

  28. The ZD-GARCH model: a new way to study heteroscedasticity
    • Author(s): Li, Dong; Zhang, Xingfa; Zhu, Ke; Ling, Shiqing
    • Source: Journal of Econometrics, v. 202, (1), January 2018, p. 1-17
    • Year: 2018

  29. Goodness-of-fit test for non-linear time series models
    • Author(s): Ngai sze han; Ling, Shiqing
    • Source: Annals of Financial Economics, v. 12, (2), Jun 2017, p. 1-21
    • Year: 2017

  30. Inference for heavy-tailed and multiple-threshold double autoregressive models
    • Author(s): Yang, Yaxing; Ling, Shiqing
    • Source: Journal of Business and Economic Statistics, v. 35, (2), April 2017, p. 318-333
    • Year: 2017

  31. Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models
    • Author(s): Yang, Yaxing; Ling, Shiqing
    • Source: Journal of Econometrics, v. 197, (2), April 2017, p. 368-381
    • Year: 2017

  32. On a Threshold Double Autoregressive Model
    • Author(s): Li, Dong; Ling, Shiqing; Zhang, Rongmao
    • Source: Journal of Business and Economic Statistics, v. 34, (1), January 2016, p. 68-80
    • Year: 2016

  33. Estimation of Change-Points in Linear and Nonlinear Time Series Models
    • Author(s): Ling, Shiqing
    • Source: Econometric Theory, v. 32, (2), April 2016, p. 402-430
    • Year: 2016

  34. Frontiers in time series and financial econometrics: An overview
    • Author(s): Ling, Shiqing; McAleer, Michael; Tong, Howell
    • Source: Journal of Econometrics, v. 189, (2), p. 245-250
    • Year: 2015

  35. INFERENCE FOR A SPECIAL BILINEAR TIME-SERIES MODEL
    • Author(s): Ling, Shiqing; Peng, Liang; Zhu, Fukang
    • Source: Journal of Time Series Analysis, v. 36, (1), January 2015, p. 61-66
    • Year: 2015

  36. Model-based pricing for financial derivatives
    • Author(s): Zhu, Ke; Ling, Shiqing
    • Source: Journal of Econometrics, v. 187, (2), August 2015, p. 447-457
    • Year: 2015

  37. On functional limits of short- and long-memory linear processes with GARCH(1,1) noises
    • Author(s): Zhang, Rong-Mao; Sin, Chor-yiu; Ling, Shiqing
    • Source: Stochastic Processes and their Applications, v. 125, (2), 2015, p. 482-512
    • Year: 2015

  38. Asymptotic inference in multiple-threshold double autoregressive models
    • Author(s): Li, Dong; Ling, Shiqing; Zakoïan, Jean Michel
    • Source: Journal of Econometrics, v. 189, (2), December 2015, p. 415-427
    • Year: 2015

  39. LADE-Based Inference for ARMA Models With Unspecified and Heavy-Tailed Heteroscedastic Noises
    • Author(s): Zhu, Ke; Ling, Shiqing
    • Source: Journal of the American Statistical Association, v. 110, (510), April 2015, p. 784-794
    • Year: 2015

  40. Asymptotic Inference for Ar Models with Heavy-Tailed G-Garch Noises
    • Author(s): Zhang, Rongmao; Ling, Shiqing
    • Source: Econometric Theory, v. 31, (4), August 2015, p. 880-890
    • Year: 2015

  41. On Conditionally Heteroscedastic AR Models with Thresholds
    • Author(s): Chan, Kung-Sik; Li, Dong; Ling, Shiqing; Tong, Howell
    • Source: Statistica Sinica, v. 24, (2), April 2014, p. 625-652
    • Year: 2014

  42. Comment
    • Author(s): Ling, Shiqing; Zhu, Ke
    • Source: Journal of Business and Economic Statistics, v. 32, (2), April 2014, p. 202-203
    • Year: 2014

  43. Comment of "Principal Volatility Component Analysis" by Hu and Tsay
    • Author(s): Ling, Shiqing
    • Source: Journal of Business and Economic Statistics, v. 32, (2), April 2014, p. 165
    • Year: 2014

  44. Factor double autoregressive models with application to simultaneous causality testing
    • Author(s): Guo, Shaojun; Ling, Shiqing; Zhu, Ke
    • Source: Journal of Statistical Planning and Inference, v. 148, May 2014, p. 82-94
    • Year: 2014

  45. Non-stationarity and quasi-maximum likelihood estimation on a double autoregressive model
    • Author(s): Chen, Min; Li, Dong; Ling, Shiqing
    • Source: Journal of Time Series Analysis, v. 35, (3), 2014, p. 189-202
    • Year: 2014

  46. Quasi-maximum exponential likelihood estimators for a double AR(p) model
    • Author(s): Zhu, Ke; Ling, Shiqing
    • Source: Statistica Sinica, v. 23, (2), April 2013, p. 251-270
    • Year: 2013

  47. Diagnostic checking for non-stationary ARMA models with an application to financial data
    • Author(s): Ling, Shiqing; Zhu, Ke; Yee, Chong Ching
    • Source: North American Journal of Economics and Finance, v. 26, December 2013, p. 624-639
    • Year: 2013

  48. ASYMPTOTIC THEORY ON THE LEAST SQUARES ESTIMATION OF THRESHOLD MOVING-AVERAGE MODELS
    • Author(s): Li, Dong; Ling, Shiqing; Li, Wai Keung
    • Source: Econometric Theory, v. 29, (3), June 2013, p. 482-516
    • Year: 2013

  49. The global weighted LAD estimators for finite/infinite variance ARMA (p, q) models
    • Author(s): Zhu, Ke; Ling, Shiqing
    • Source: Econometric Theory, v. 28, (5), 2012, p. 1065-1086
    • Year: 2012

  50. On the least squares estimation of multiple-regime threshold autoregressive models
    • Author(s): Li, D.; Ling, S.
    • Source: Journal of econometrics, v. 167, (1), 2012, p. 240-253
    • Year: 2012

  51. On moving-average models with feedback
    • Author(s): Li, Dong; Ling, Shiqing; Tong, Howell
    • Source: Bernoulli, v. 18, (2), May 2012, p. 735-745
    • Year: 2012

  52. Likelihood ratio tests for the structural change of an AR(p) model to a Threshold AR(p) model
    • Author(s): Zhu, Ke; Ling, Shiqing
    • Source: Journal of time series analysis, v. 33, (2), March 2012, p. 223-232
    • Year: 2012

  53. Score Based Goodness-of-fit Tests for Time Series
    • Author(s): Ling, S.; Tong, H.
    • Source: Statistica Sinica, v. 21, (4), 2011, p. 1807-1829
    • Year: 2011

  54. On non-stationary threshold autoregressive models
    • Author(s): Liu, Weidong; Ling, Shiqing; Shao, Qi-Man
    • Source: Bernoulli, v. 17, (3), August 2011, p. 969-986
    • Year: 2011

  55. Global Self-weighted and Local Quasi-maximum Exponential Likelihood Estimators for ARMA–GARCH/IGARCH Models
    • Author(s): Zhu, Ke; Ling, Shiqing
    • Source: The Annals of Statistics, v. 39, (4), August 2011, p. 2131-2163
    • Year: 2011

  56. On the Least Squares Estimation of Threshold Autoregressive and Moving-average Models
    • Author(s): Li, Dong; Li, Wai Keung; Ling, Shiqing
    • Source: Statistics and Its Interface, v. 4, (2), 2011, p. 183-196
    • Year: 2011

  57. Testing for structural change of AR model to threshold AR model
    • Author(s): Berkes, Istvan; Horvath, Lajos; Ling, Shiqing; Schauer, Johannes
    • Source: Journal of time series analysis, v. 32, (5), September 2011, p. 547-565
    • Year: 2011

  58. Correction: Residual empirical processes for long and short memory time series (Annals of Statistics (2008) 36 (2453-2470))
    • Author(s): Chan, Ngai Hang; Ling, Shiqing
    • Source: Annals of Statistics, v. 38, (6), p. 3839
    • Year: 2010

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

  60. Estimation in Nonstationary Random Coefficient Autoregressive Models
    • Author(s): Berkes, I.; Horváth, L.; Ling, S.
    • Source: Journal of time series analysis, v. 30, (4), 2009, p. 395-416
    • Year: 2009

  61. On Distinguishing between Random Walk and Change in the Mean Alternatives
    • Author(s): Aue, Alexander; Horvath, Lajos; Huskova, Marie; Ling, Shiqing
    • Source: Econometric theory, v. 25, (2), 2009, APR, p. 411-441
    • Year: 2009

  62. Residual Empirical Processes for Long and Short Memory Time Series
    • Author(s): Chan, Ngai Hang; Ling, Shiqing
    • Source: The Annals of Statistics, v. 36, (5), 2008, OCT, p. 2453-2470
    • Year: 2008

  63. Asymptotic inference for a nonstationary double AR(1) model
    • Author(s): Ling, Shiqing; Li, Dong
    • Source: Biometrika, v. 95, (1), 2008, MAR, p. 257-263
    • Year: 2008

  64. Canonical Correlation Analysis for the Vector AR(1) Model with ARCH Innovations
    • Author(s): Tsay, Ruey S.; Ling, Shiqing
    • Source: Journal of statistical planning and inference, v. 138, (9), 2008, SEP 1, p. 2826-2836
    • Year: 2008

  65. A Double AR(p) Model: Structure and Estimation
    • Author(s): Ling, Shiqing
    • Source: Statistica Sinica, v. 17, (1), 2007, JAN, p. 161-175
    • Year: 2007

  66. Self-weighted and Local Quasi-maximum Likelihood Estimators for ARMA-GARCH/IGARCH Models
    • Author(s): Ling, Shiqing
    • Source: Journal of econometrics, v. 140, (2), 2007, OCT, p. 849-873
    • Year: 2007

  67. Ergodicity and Invertibility of Threshold Moving-average Models
    • Author(s): Ling, Shiqing; Tong, Howell; Li, Dong
    • Source: Bernoulli, v. 13, (1), 2007, FEB, p. 161-168
    • Year: 2007

  68. Testing for Change Points in Time Series Models and Limiting Theorems for NED Sequences
    • Author(s): Ling, Shiqing
    • Source: The Annals of Statistics, v. 35, (3), 2007, JUN, p. 1213-1237
    • Year: 2007

  69. Fitting an Error Distribution in Some Heteroscedastic Time Series Models
    • Author(s): Koul, Hira L.; Ling, Shiqing
    • Source: The Annals of Statistics, v. 34, (2), 2006, APR, p. 994-1012
    • Year: 2006

  70. Empirical Likelihood for GARCH Models
    • Author(s): Chan, NH; Ling, SQ
    • Source: Econometric theory, v. 22, (3), 2006, JUN, p. 403-428
    • Year: 2006

  71. Testing for a Linear MA Model Against Threshold MA Models
    • Author(s): Ling, Shiqing; Tong, H.
    • Source: The Annals of Statistics, v. 33, (6), 2005, DEC, p. 2529-2552
    • Year: 2005

  72. Mixed Portmanteau Tests for Time-series Models
    • Author(s): Wong, H.; Ling, SQ
    • Source: Journal of time series analysis, v. 26, (4), 2005, JUL, p. 569-579
    • Year: 2005

  73. Self-weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
    • Author(s): Ling, Shiqing
    • Source: Journal of the Royal Statistical Society. Series B: Statistical Methodology,, v. 67, (3), 2005, p. 381-393
    • Year: 2005

  74. Joint Modeling of Cointegration and Conditional Beteroscedasticity with Applications
    • Author(s): Wong, H.; Li, WK; Ling, SQ
    • Source: Annals of the Institute of Statistical Mathematics, v. 57, (1), 2005, MAR, p. 83-103
    • Year: 2005

  75. Hill's Estimator for the Tail Index of an ARMA Model
    • Author(s): Ling, SQ; Peng, LA
    • Source: Journal of statistical planning and inference, v. 123, (2), 2004, JUL 1, p. 279-293
    • Year: 2004

  76. Regression Quantiles for Unstable Autoregressive Models
    • Author(s): Ling, SQ; McAleer, M.
    • Source: Journal of multivariate analysis, v. 89, (2), 2004, MAY, p. 304-328
    • Year: 2004

  77. Estimation and Testing Stationarity for Double-autoregressive Models
    • Author(s): Ling, Shiqing
    • Source: Journal of the Royal Statistical Society. Series B: Statistical Methodology, v. 66, (1), February 2004, p. 63-78
    • Year: 2004

  78. Asymptotic Theory for a Vector ARMA-GARCH Model
    • Author(s): Ling, SQ; McAleer, M.
    • Source: Econometric theory, v. 19, (2), 2003, APR, p. 280-310
    • Year: 2003

  79. Asymptotic Inference for Unit Root Processes with GARCH(1,1) Errors
    • Author(s): Ling, SQ; Li, WK
    • Source: Econometric theory, v. 19, (4), 2003, AUG, p. 541-564
    • Year: 2003

  80. On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors
    • Author(s): Ling, S.; McAleer, M.
    • Source: The Annals of Statistics, v. 31, (2), 2003, p. 642-674
    • Year: 2003

  81. Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
    • Author(s): Ling, S.; Li, W.K.; McAleer, M.
    • Source: Econometric Reviews, v. 22, (2), 2003, p. 179-202
    • Year: 2003

  82. Adaptive Estimators and Tests of Stationary and Nonstationary Short- and Long-Memory ARFIMA–GARCH Models
    • Author(s): Ling, SQ
    • Source: Journal of the American Statistical Association, v. 98, (464), 2003, DEC, p. 955-967
    • Year: 2003

  83. Recent Theoretical Results for Time Series Models with GARCH Errors
    • Author(s): Li, W.K.; Ling, S.; McAleer, M.
    • Source: Journal of economic surveys, v. 16, (3), 2002, p. 245-270
    • Year: 2002

  84. Stationarity and the Existence of Moments of a Family of GARCH Processes
    • Author(s): Ling, SQ; McAleer, M.
    • Source: Journal of econometrics, v. 106, (1), 2002, JAN, p. 109-117
    • Year: 2002

  85. Necessary and Sufficient Moment Conditions for the GARCH(r,s) and Asymmetric Power GARCH(r,s) Models
    • Author(s): Ling, SQ; McAleer, M.
    • Source: Econometric theory, v. 18, (3), 2002, JUN, p. 722-729
    • Year: 2002

  86. Asymptotic Inference for Nonstationary Fractionally Integrated Autoregressive Moving-Average Models
    • Author(s): Ling, Shiqing; Li, W.K.
    • Source: Econometric theory, v. 17, (4), 2001, AUG, p. 738-764
    • Year: 2001

  87. Estimation for Partially Nonstationary Multivariate Autoregressive models with Conditional Heteroscedasticity
    • Author(s): Li, WK; Ling, SQ; Wong, H.
    • Source: Biometrika, v. 88, (4), 2001, DEC, p. 1135-1152
    • Year: 2001

  88. On the Stationarity and the Existence of Moment of Conditional Heteroskedastic ARMA Models
    • Author(s): Ling, S.
    • Source: Statistica Sinica, v. 9, (4), 1999, Oct, p. 1119-1130
    • Year: 1999

  89. On the Probabilistic Properties of a Double Threshold ARMA Conditional Heteroskedastic Model
    • Author(s): Ling, Shiqing
    • Source: Journal of Applied Probability, v.36, (3), 1999, p. 688-705
    • Year: 1999

  90. Weak Convergence of the Sequential Empirical Processes of Residuals in Nonstationary Autoregressive Models
    • Author(s): Ling, S.
    • Source: The Annals of Statistics, v. 26, (2), 1998, p. 741-754
    • Year: 1998

  91. Limiting Distributions of Maximum Likelihood Estimators for Unstable Autoregressive Moving-Average Time Series with General Autoregressive Heteroscedastic Errors
    • Author(s): Ling, S.; Li, W.K.
    • Source: The Annals of Statistics, v. 26, (1), 1998, Feb, p. 84-125
    • Year: 1998

  92. Diagnostic checking of nonlinear multivariate time series with multivariate ARCH errors
    • Author(s): Ling, S.; Li, W.K.
    • Source: Journal of time series analysis, v. 18, (5), 1997, p. 447-464
    • Year: 1997

  93. On Fractionally Integrated Autoregressive Moving-Average Time Series Models with Conditional Heteroscedasticity
    • Author(s): Ling, SQ; Li, WK
    • Source: Journal of the American Statistical Association, v. 92, (439), September 1997, p. 1184-1194
    • Year: 1997

  Book chapter

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

  2. Some remarks on professor Tong's two papers
    • Author(s): Ling, Shiqing
    • Source: Exploration of a Nonlinear World / World Scientific Publishing Co., 2009, p. 289-296
    • Year: 2009

  3. Self-Weighted Guantile Estimation for Infinite Variance Autoregressive Models.
    • Author(s): Ling, Shiqing
    • Source: 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
    • Year: 2005

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

  5. Testing GARCH versus E-GARCH
    • Author(s): Ling, Shiqing; McAleer, M.
    • Source: Statistics and Finance: An Interface / Edited by Wai-Sum Chan, Wai Keung Li, Howell Tong. World Scientific Publishing Company, 2000, p. 226-244
    • Year: 1998

  Conference paper

  1. Diagnostic checking for Non-stationary ARMA Models: An application to financial data
    • Author(s): Ling, S. Q.; Zhu, K.; Chong, C. Y.
    • Source: Proceedings - 20th International Congress on Modelling and Simulation, MODSIM 2013 / edited by Piantadosi Julia; Anderssen Robert; Boland John. Modelling and Simulation Society of Australia and New Zealand Inc. (MSSANZ), 2013, p. 1338-1344
    • Year: 2013

  2. MLE for change-point in ARMA-GARCH models with a changing drift
    • Author(s): Ling, SQ
    • Source: PROBABILITY, FINANCE AND INSURANCE, 2004, p. 174-194
    • Year: 2004

  3. MLE for change-point in ARMA-GARCH models with a changing drift
    • Author(s): Ling, SQ
    • Source: 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
    • Year: 2003