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Wai Keung Li

The University of Hong Kong

Pokfulam Road

Hong Kong, Pokfulam HK

China

  • The University of Hong Kong

SCHOLARLY PAPERS

2

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158

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Scholarly Papers (2)

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1.

A Robust Goodness-of-Fit Test for Generalized Autoregressive Conditional Heteroscedastic Models

Number of pages: 39 Posted: 14 Nov 2015 Last Revised: 15 Apr 2016
Yao Zheng, Wai Keung Li and Guodong Li
The University of Hong Kong - Department of Statistics & Actuarial Science, The University of Hong Kong and The University of Hong Kong - Department of Statistics & Actuarial Science
Downloads 131 (558,171)

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GARCH model, Goodness-of-fit test, Heavy tails, Residual empirical process, Robustness

2.

Testing for the symmetry of innovation in multivariate time series models

Number of pages: 45 Posted: 20 Jan 2026
Kunyang Song, Donghang Luo, Wai Keung Li and Ke Zhu
The University of Hong Kong, University of International Business and Economics, The University of Hong Kong and The University of Hong Kong - University of Hong Kong
Downloads 27 (1,448,301)

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Characteristic measure of symmetry, Consistent test, MultivariateGARCH model, Multivariate time series model, Testing for the symmetry of innovation