Wai Keung Li

Chinese University of Hong Kong

SCHOLARLY PAPERS

3

DOWNLOADS

13

CITATIONS
Rank 40,114

SSRN RANKINGS

Top 40,114

in Total Papers Citations

4

Scholarly Papers (3)

1.

On a Mixture GARCH Time-Series Model

Journal of Time Series Analysis, Vol. 27, No. 4, pp. 577-597, July 2006
Number of pages: 21 Posted: 02 Jun 2006
Zhiqiang Zhang, Wai Keung Li and Kam Chuen Yuen
The University of Hong Kong - Faculty of Business and Economics, Chinese University of Hong Kong and The Chinese University of Hong Kong (CUHK) - Faculty of Social Science
Downloads 10 (476,498)
Citation 4

Abstract:

2.

On the Autopersistence Functions and the Autopersistence Graphs of Binary Autoregressive Time Series

Journal of Time Series Analysis, Vol. 32, Issue 6, pp. 639-646, 2011
Number of pages: 8 Posted: 13 Oct 2011
Chao Wang and Wai Keung Li
affiliation not provided to SSRN and Chinese University of Hong Kong
Downloads 3 (508,910)

Abstract:

Autopersistence function, autopersistence graph, binary time series, Markov chain, consistency, asymptotic normality

3.

On Mixture Memory GARCH Models

Journal of Time Series Analysis, Vol. 34, Issue 6, pp. 606-624, 2013
Number of pages: 19 Posted: 16 Nov 2013
Muyi Li, Wai Keung Li and Guodong Li
Xiamen University, Chinese University of Hong Kong and The University of Hong Kong - Department of Statistics & Actuarial Science
Downloads 0 (532,463)

Abstract:

Long memory in volatility, covariance stationarity, mixture ARCH( ∞ ), EM algorithm