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D-Index & Metrics

Mathematics

D-Index
32
Citations
5795
World Ranking
3145
National Ranking
158

Overview

Shiqing Ling is affiliated with the Hong Kong University of Science and Technology in China and has contributed extensively to the fields of economics, econometrics, and finance through a variety of research topics and publications. Their work primarily focuses on financial risk and volatility modeling, monetary policy and economic impact, and statistical methods and inference.

Their recent research covers topics such as financial risk and volatility modeling, monetary policy and economic impact, statistical distribution estimation and applications, fault detection and control systems, and stochastic processes related to financial applications.

Ling's publications have appeared in established venues including the Journal of Econometrics, Statistica Sinica, SSRN Electronic Journal, Journal of Business and Economic Statistics, and Statistics and Its Interface. Some of the most recent papers include:

  • LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise (2020, Journal of Econometrics)
  • Whittle parameter estimation for vector ARMA models with heavy-tailed noises (2021, Journal of Statistical Planning and Inference)
  • Automated Estimation of Heavy-Tailed Vector Error Correction Models (2021, Statistica Sinica)
  • Self-Weighted LSE and Residual-Based QMLE of ARMA-GARCH Models (2022, Journal of risk and financial management)
  • Statistical Inference for Heavy-tailed and Partially Nonstationary Vector ARMA Models (2023, Statistica Sinica)

The scientist has collaborated frequently with co-authors such as Zichuan Mi, Feifei Guo, Shixuan Wang, Yaosong Zhan, and Rongmao Zhang. These collaborations have contributed to a range of research outputs spanning topics of econometrics and finance.

Ling's research spans several subfields including finance, statistics and probability, control and systems engineering, and general economics, econometrics and finance. Specific areas of work include:

  • Financial Risk and Volatility Modeling
  • Monetary Policy and Economic Impact
  • Statistical Methods and Inference
  • Statistical Distribution Estimation and Applications
  • Fault Detection and Control Systems
  • Stochastic Processes and Financial Applications
  • Market Dynamics and Volatility

Best Publications

  • Asymptotic Theory for a Vector ARMA-GARCH Model

    Shiqing Ling;Michael McAleer

  • Stationarity and the existence of moments of a family of GARCH processes

    Shiqing Ling;Michael McAleer

  • Recent Theoretical Results for Time Series Models with GARCH Errors

    W. K. Li;Shiqing Ling;Michael McAleer

  • Necessary and Sufficient Moment Conditions for the GARCH(r,s) and Asymmetric Power GARCH(r,s) Models

    Shiqing Ling;Michael McAleer

  • On Fractionally Integrated Autoregressive Moving-Average Time Series Models with Conditional Heteroscedasticity

    Shiqing Ling;W. K. Li

  • Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models

    Shiqing Ling

  • On Adaptive Estimation in Nonstationary Arma Models with Garch Errors

    Shiqing Ling;Michael McAleer

  • On the Probabilistic Properties of a Double Threshold ARMA Conditional Heteroskedastic Model

    Shiqing Ling

  • Estimation and testing stationarity for double‐autoregressive models

    Shiqing Ling

  • Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors

    Shiqing Ling;Wai Keung Li

  • Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models

    Ke Zhu;Shiqing Ling

  • Self‐weighted least absolute deviation estimation for infinite variance autoregressive models

    Shiqing Ling

  • Diagnostic checking of nonlinear multivariate time series with multivariate ARCH errors

    Shiqing Ling;Wai Keung Li

  • On the least squares estimation of multiple-regime threshold autoregressive models

    Dong Li;Shiqing Ling

  • A Double AR(p) Model: Structure and Estimation

    Shiqing Ling

  • Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence

    Shiqing Ling;W. K. Li;Michael McAleer

  • Fitting an Error Distribution in Some Heteroscedastic Time Series Models

    Hira L. Koul;Shiqing Ling

  • Empirical Likelihood for GARCH Models

    Ngai Hang Chan;Shiqing Ling

  • Asymptotic inference for unit root processes with GARCH(1,1) errors

    Shiqing Ling;Wai Keung Li

  • TESTING FOR A LINEAR MA MODEL AGAINST THRESHOLD MA MODELS

    Shiqing Ling;Howell Tong

  • A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors

    W. K. Li;Shiqing Ling;Michael McAleer

  • Ergodicity and invertibility of threshold moving-average models

    Shiqing Ling;Howell Tong;Dong Li

Frequent Co-Authors

Michael McAleer
Michael McAleer Erasmus University Rotterdam
Wai Keung Li
Wai Keung Li University of Hong Kong
Howell Tong
Howell Tong London School of Economics and Political Science
Lajos Horváth
Lajos Horváth University of Utah
Liang Peng
Liang Peng Georgia State University
Jean-Michel Zakoian
Jean-Michel Zakoian École Nationale de la Statistique et de l'Administration Économique
Ruey S. Tsay
Ruey S. Tsay University of Chicago
Hira L. Koul
Hira L. Koul Michigan State University
Qi-Man Shao
Qi-Man Shao Chinese University of Hong Kong

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