Zobrazeno 1 - 10
of 192
pro vyhledávání: '"Wai Keung Li"'
Autor:
Philip L. H. Yu, Wai Keung Li
Publikováno v:
Harvard Data Science Review (2021)
Externí odkaz:
https://doaj.org/article/c6c0398867784e8ba09338e9e5e73527
Autor:
Ziyi Zhang, Wai Keung Li
Publikováno v:
Economies, Vol 7, Iss 2, p 58 (2019)
This article explores the fitting of Autoregressive (AR) and Threshold AR (TAR) models with a non-Gaussian error structure. This is motivated by the problem of finding a possible probabilistic model for the realized volatility. A Gamma random error i
Externí odkaz:
https://doaj.org/article/5796d93d1ce54b8c9b53db39e6720c2b
Publikováno v:
Statistics and Its Interface. 16:199-216
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::31d93402546443963547ba5384d83a93
https://doi.org/10.4310/21-sii721
https://doi.org/10.4310/21-sii721
Publikováno v:
Statistica Sinica.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::59a8c5385e8079c6aaad56b930f55496
https://doi.org/10.5705/ss.202021.0029
https://doi.org/10.5705/ss.202021.0029
Autor:
Wai Keung Li, Tony S. T. Wong
Publikováno v:
Journal of Statistical Computation and Simulation. 91:3880-3893
The conditional approach of Hill's estimator depends on a threshold choice. This may give different results in a statistical test when different thresholds are used. Motivated by the uniformly most...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ffa94e4e924059c6cef9928d82691dcb
https://doi.org/10.1080/00949655.2021.1954647
https://doi.org/10.1080/00949655.2021.1954647
Autor:
Wai Keung Li, Shusong Jin
Publikováno v:
Journal of Data Science. 4:425-446
This paper considers the mixture autoregressive panel (MARP) model. This model can capture the burst and multi-modal phenomenon in some panel data sets. It also enlarges the stationarity region of the tra- ditional AR model. An estimation method base
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e3285a3aabff8625893357cb2c0cd362
https://doi.org/10.6339/jds.2006.04(4).296
https://doi.org/10.6339/jds.2006.04(4).296
The Autoregressive Conditional Marked Duration Model: Statistical Inference to Market Microstructure
Publikováno v:
Journal of Data Science. 7:189-201
We consider the Autoregressive Conditional Marked Duration (ACMD) model and apply it to 16 stocks traded in Hong Kong Stock Ex- change (SEHK). By examining the orderings of appropriate sets of model parameters, market microstructure phenomena can be
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ac14233595e1118de3277ea3cf00525c
https://doi.org/10.6339/jds.2009.07(2).438
https://doi.org/10.6339/jds.2009.07(2).438
Publikováno v:
Quantitative Finance. 21:685-696
The proposition of tail risk as a new asset pricing factor has gained traction in recent years. Recent work by Almeida, Ardison, Garcia, and Vicente (Nonparametric tail risk, stock returns, and the...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7d4fe5e4e9d400bd66145b575213d5e1
https://doi.org/10.1080/14697688.2020.1787491
https://doi.org/10.1080/14697688.2020.1787491
Publikováno v:
Applied Stochastic Models in Business and Industry. 36:857-876
We distinguish the evaluation methods for two main kinds of investment strategies, namely, passive and active portfolio management. Passive portfolio management aims at tracking an underlying index as close as possible with the most important measure
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::12ca37c1fae803a39a23b1adac4866c2
https://doi.org/10.1002/asmb.2535
https://doi.org/10.1002/asmb.2535
Publikováno v:
Scandinavian Journal of Statistics. 47:1171-1191
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3617a2f211b6e1731ed959f3d3622074
https://doi.org/10.1111/sjos.12458
https://doi.org/10.1111/sjos.12458