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
  • MATH4425  Introductory Time Series
  • MSDM5053  Quantitative Analysis of Time Series

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. 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

  2. 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

  3. 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

  4. 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

  5. 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

  6. 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

  7. 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

  8. 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

  9. 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

  10. 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

  11. 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

  12. 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

  13. 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

  14. 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

  15. 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

  16. 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

  17. 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

  18. 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

  19. 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

  20. 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

  21. 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

  22. 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

  23. 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

  24. 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

  25. 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

  26. 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

  27. 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

  28. 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

  29. 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

  30. 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

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

  32. 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

  33. 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

  34. 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

  35. 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

  36. 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

  37. 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

  38. 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

  39. 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

  40. 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

  41. 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

  42. 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

  43. 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

  44. 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

  45. 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

  46. 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

  47. 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

  48. 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

  49. 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

  50. 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

  51. 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

  52. 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

  53. 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

  54. 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

  55. 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

  56. 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

  57. 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

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

  59. 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

  60. 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

  61. 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

  62. 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

  63. 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

  64. 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

  65. 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

  66. 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

  67. 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

  68. 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

  69. 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

  70. 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

  71. 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

  72. 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

  73. 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

  74. 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

  75. 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

  76. 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

  77. 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

  78. 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

  79. 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

  80. 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

  81. 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. 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

  3. 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

  4. 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. 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

  2. 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