W. K. Li

DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS

A. Ian McLeod, W. K. Li · Journal of Time Series Analysis · 1983 · 1.1K citations

Computing, Data Science, Econometrics +16

Distribution of the Residual Autocorrelations in Multivariate Arma Time Series Models

W. K. Li, A. Ian McLeod · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 1981 · 305 citations

Computing, Economics, Econometrics +16

A threshold stochastic volatility model

Mike K. P. So, W. K. Li, K. Lam · Journal of Forecasting · 2002 · 116 citations

Business, Economics, Finance +16

Detecting and Diagnostic Checking Multivariate Conditional Heteroscedastic Time Series Models

Heung Wong, W. K. Li · Annals of the Institute of Statistical Mathematics · 2002 · 16 citations

Business, Finance, Forecasting +8

Joint modeling of cointegration and conditional heteroscedasticity with applications

Heung Wong, W. K. Li, Shiqing Ling · Annals of the Institute of Statistical Mathematics · 2005 · 15 citations

Business, Economics, Econometrics +12