S
Shiqing Ling
Researcher at Hong Kong University of Science and Technology
Publications - 108
Citations - 5063
Shiqing Ling is an academic researcher from Hong Kong University of Science and Technology. The author has contributed to research in topics: Estimator & Asymptotic distribution. The author has an hindex of 30, co-authored 106 publications receiving 4696 citations. Previous affiliations of Shiqing Ling include University of Hong Kong & University of Science and Technology.
Papers
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Asymptotic Theory for a Vector ARMA-GARCH Model
Shiqing Ling,Michael McAleer +1 more
TL;DR: In this paper, the authors investigated the asymptotic theory for a vector autoregressive moving average-generalized conditional heteroskedasticity (ARMA-GARCH) model and established the conditions for the strict stationarity, the ergodicity, and the higher order moments of the model.
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Stationarity and the existence of moments of a family of GARCH processes
Shiqing Ling,Michael McAleer +1 more
TL;DR: In this article, the structural properties of a family of GARCH processes are investigated, and necessary and sufficient conditions for the existence of the moments are derived, where α∈(0, 1] and δ>0.
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Necessary and Sufficient Moment Conditions for the GARCH(r,s) and Asymmetric Power GARCH(r,s) Models
Shiqing Ling,Michael McAleer +1 more
TL;DR: The necessary and sufficient condition for the existence of higher order moments of the GARCH(r, s) model was given by Ling (1999a, Journal of Applied Probability 36, 688-705) as discussed by the authors.
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Recent Theoretical Results for Time Series Models with GARCH Errors
TL;DR: The authors provides a review of some recent theoretical results for time series models with GARCH errors, and is directed towards practitioners, starting with the simple ARCH model and proceeding to the GARCH model, some results for stationary and nonstationary ARMA-GARCH are summarized.
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On Fractionally Integrated Autoregressive Moving-Average Time Series Models with Conditional Heteroscedasticity
Shiqing Ling,Wai Keung Li +1 more
TL;DR: In this paper, the authors considered fractionally integrated autoregressive moving-average time series models with conditional heteroscedasticity, which combines the popular generalized autoregression conditional heteroScedastic (GARCH) and the fractional (ARMA) models.