Dong Li

Available identifiers

List of research outcomes

Publication	Date of Publication	Type
Smooth transition moving average models: Estimation, testing, and computation	2024-04-15	Paper
On the Least Squares Estimation of Multiple-Threshold-Variable Autoregressive Models	2024-03-06	Paper
Testing and Modelling for the Structural Change in Covariance Matrix Time Series With Multiplicative Form	2023-11-09	Paper
Estimation of the empirical risk‐return relation: A generalized‐risk‐in‐mean model	2023-08-22	Paper
Maximum likelihood estimation for \(\alpha\)-stable double autoregressive models	2023-08-18	Paper
From sparse to dense functional data in high dimensions: Revisiting phase transitions from a non-asymptotic perspective	2023-06-01	Paper
https://portal.mardi4nfdi.de/entity/Q6100931	2023-05-31	Paper
Simulation and application of subsampling for threshold autoregressive moving-average models	2022-06-21	Paper
Double AR model without intercept: An alternative to modeling nonstationarity and heteroscedasticity	2022-03-04	Paper
Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model	2021-10-26	Paper
Network GARCH Model	2021-04-27	Paper
On the three‐step non‐Gaussian quasi‐maximum likelihood estimation of heavy‐tailed double autoregressive models	2020-11-20	Paper
Inference for asymmetric exponentially weighted moving average models	2020-05-27	Paper
Self‐Weighted Lad‐Based Inference for Heavy‐Tailed Continuous Threshold Autoregressive Models	2020-05-27	Paper
The Marginal Density of a TMA(1) Process	2020-05-27	Paper
Non-standard inference for augmented double autoregressive models with null volatility coefficients	2020-02-17	Paper
Strict stationarity testing and GLAD estimation of double autoregressive models	2019-07-01	Paper
RENORMING VOLATILITIES IN A FAMILY OF GARCH MODELS	2018-11-09	Paper
The ZD-GARCH model: a new way to study heteroscedasticity	2017-11-23	Paper
Nested sub-sample search algorithm for estimation of threshold models	2016-10-26	Paper
On the least squares estimation of multiple-regime threshold autoregressive models	2016-08-15	Paper
Asymptotic inference in multiple-threshold double autoregressive models	2015-10-30	Paper
NON-STATIONARITY AND QUASI-MAXIMUM LIKELIHOOD ESTIMATION ON A DOUBLE AUTOREGRESSIVE MODEL	2014-12-17	Paper
Weak convergence of the sequential empirical processes of residuals in TAR models	2014-12-02	Paper
On dynamics of volatilities in nonstationary GARCH models	2014-11-03	Paper
On conditionally heteroscedastic AR models with thresholds	2014-04-29	Paper
A note on moving‐average models with feedback	2014-02-25	Paper
ASYMPTOTIC THEORY ON THE LEAST SQUARES ESTIMATION OF THRESHOLD MOVING-AVERAGE MODELS	2013-08-22	Paper
On moving-average models with feedback	2012-05-28	Paper
On the least squares estimation of threshold autoregressive and moving-average models	2011-12-01	Paper
Asymptotic inference for a nonstationary double AR(1) model	2009-06-10	Paper
Ergodicity and invertibility of threshold moving-average models	2007-05-15	Paper

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