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Shiqing Ling

Hong Kong University of Science & Technology (HKUST)

Clearwater Bay

Kowloon, 999999

Hong Kong

  • Hong Kong University of Science & Technology (HKUST)

SCHOLARLY PAPERS

5

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1,208

TOTAL CITATIONS

1

Scholarly Papers (5)

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1.

A General Asymptotic Theory for Time Series Models

Number of pages: 16 Posted: 01 Nov 2009
Shiqing Ling and Michael McAleer
Hong Kong University of Science & Technology (HKUST) and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 428 (169,344)

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Asymptotic normality, estimation, rate of strong convergence, strong consistency, time series models.

2.

Modeling Intraday Momentum and Reversal by a Parsimonious Diffusion Process

Number of pages: 37 Posted: 17 Jun 2019
Shiqing Ling, Zhenya Liu and Shixuan Wang
Hong Kong University of Science & Technology (HKUST), EM Normandie Business School and University of Reading - Department of Economics
Downloads 400 (184,665)

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Double-well Potential; Fokker-Planck Equation; Intraday Price Dynamics; In-fill Asymptotics; Overreaction

3.

Noncausal AR-GARCH Model and Its Applications in Asset Pricing

Number of pages: 32 Posted: 07 Aug 2023
Shiqing Ling, Zhenya Liu, Shixuan Wang and Yaosong Zhan
Hong Kong University of Science & Technology (HKUST), EM Normandie Business School, University of Reading - Department of Economics and Business School, Sun Yat-sen University
Downloads 204 (373,348)

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Noncausal, GARCH Model, Asset Pricing

4.

Testing and Estimation of Change Point in Arma Model with Heavy-Tailed G-Garch Noises

Number of pages: 34 Posted: 07 Mar 2024
Qiang Bai, Shiqing Ling and Ke Zhu
Shanxi University of Finance and Economics, Hong Kong University of Science & Technology (HKUST) and The University of Hong Kong - University of Hong Kong
Downloads 147 (505,974)
Citation 1

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ARMA model, Change point, Heavy-tailed G-GARCH noises, Self-weighted LADE

5.

Tensor double autoregressive model with application to heavy-tailed tensor time series data

Number of pages: 53 Posted: 21 Apr 2026
Shiqing Ling, Yuteng Zhang, C. Yu and Ke Zhu
Hong Kong University of Science & Technology (HKUST), affiliation not provided to SSRN, University of Chicago and The University of Hong Kong - University of Hong Kong
Downloads 29 (1,332,057)

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Heavy-tailedness, Quasi-maximum likelihood estimation, Statistical inference, Tensor double autoregression, Tensor time series