Shiqing Ling : Citation Profile


Are you Shiqing Ling?

13

H index

16

i10 index

1535

Citations

RESEARCH PRODUCTION:

28

Articles

15

Papers

RESEARCH ACTIVITY:

   14 years (2001 - 2015). See details.
   Cites by year: 109
   Journals where Shiqing Ling has often published
   Relations with other researchers
   Recent citing documents: 167.    Total self citations: 14 (0.9 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pli831
   Updated: 2019-09-14    RAS profile: 2014-09-28    
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Relations with other researchers


Works with:

Zhu, Ke (5)

Authors registered in RePEc who have co-authored more than one work in the last five years with Shiqing Ling.

Is cited by:

McAleer, Michael (734)

Chang, Chia-Lin (372)

Jimenez-Martin, Juan (212)

perez-amaral, teodosio (158)

Caporin, Massimiliano (52)

Tansuchat, Roengchai (51)

Chan, Felix (43)

Zakoian, Jean-Michel (39)

Francq, Christian (38)

Zhu, Ke (36)

Maasoumi, Esfandiar (33)

Cites to:

McAleer, Michael (22)

Bollerslev, Tim (13)

Engle, Robert (13)

Phillips, Peter (12)

Drost, Feike C. (10)

Hansen, Bruce (10)

Zakoian, Jean-Michel (9)

Francq, Christian (5)

LINTON, OLIVER (5)

Potter, Simon (4)

Jagannathan, Ravi (4)

Main data


Where Shiqing Ling has published?


Journals with more than one article published# docs
Econometric Theory8
Journal of Time Series Analysis5
Journal of Econometrics3
Journal of the Royal Statistical Society Series B2
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
ISER Discussion Paper / Institute of Social and Economic Research, Osaka University7
MPRA Paper / University Library of Munich, Germany3
CIRJE F-Series / CIRJE, Faculty of Economics, University of Tokyo3

Recent works citing Shiqing Ling (2018 and 2017)


YearTitle of citing document
2017Does the ARFIMA really shift?. (2017). Santucci de Magistris, Paolo ; Delle Monache, Davide ; Grassi, Stefano. In: CREATES Research Papers. RePEc:aah:create:2017-16.

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2017Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. (2017). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-28.

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2017An analysis of the interdependence between cash crop and staple food futures prices. (2017). Heckelei, Thomas ; Grosche, Stephanie-Carolin ; Mamoun, EL. In: Discussion Papers. RePEc:ags:ubfred:265665.

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2017A note on the Nelson Cao inequality constraints in the GJR-GARCH model: Is there a leverage effect?. (2017). Stavroyiannis, Stavros. In: Papers. RePEc:arx:papers:1705.00535.

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2018Statistical inference for autoregressive models under heteroscedasticity of unknown form. (2018). Zhu, Ke. In: Papers. RePEc:arx:papers:1804.02348.

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2018New HSIC-based tests for independence between two stationary multivariate time series. (2018). Zhu, Ke ; Li, Wai Keung ; Wang, Guochang. In: Papers. RePEc:arx:papers:1804.09866.

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2018Analytic Moments for GARCH Processes. (2018). Alexander, Carol ; Stanescu, Silvia ; Lazar, Emese. In: Papers. RePEc:arx:papers:1808.09666.

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2019Time series models for realized covariance matrices based on the matrix-F distribution. (2019). Zhu, Ke ; Li, Wai Keung ; Jiang, Feiyu ; Zhou, Jiayuan. In: Papers. RePEc:arx:papers:1903.12077.

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2019Non-standard inference for augmented double autoregressive models with null volatility coefficients. (2019). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Papers. RePEc:arx:papers:1905.01798.

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2018DOES THE GREAT RECESSION IMPLY THE END OF THE GREAT MODERATION? INTERNATIONAL EVIDENCE. (2018). Darné, Olivier ; Charles, Amlie ; Ferrara, Laurent ; Darne, Olivier. In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:2:p:745-760.

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2017Local explosion modelling by non-causal process. (2017). Zakoian, Jean-Michel ; gourieroux, christian. In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:79:y:2017:i:3:p:737-756.

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2017Quantile Regression on Quantile Ranges – A Threshold Approach. (2017). Kuan, Chung-Ming ; Xiao, Zhijie ; Michalopoulos, Christos. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:1:p:99-119.

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2018Unit Root Testing with Unstable Volatility. (2018). Beare, Brendan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:816-835.

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2017Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed-t density approach. (2017). Balaa, Dahiru A ; Takimotob, Taro . In: Borsa Istanbul Review. RePEc:bor:bistre:v:17:y:2017:i:1:p:25-48.

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2018Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Papers. RePEc:cmf:wpaper:wp2018_1802.

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2018Specification Tests for Non-Gaussian Maximum Likelihood Estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Papers. RePEc:cmf:wpaper:wp2018_1804.

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2018Consistent non-Gaussian pseudo maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12682.

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2018Specification tests for non-Gaussian maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12934.

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2017Modeling the spillovers between stock market and money market in Nigeria. (2017). Salisu, Afees ; Isah, Kazeem. In: Working Papers. RePEc:cui:wpaper:0023.

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2017US stocks in the presence of oil price risk: Large cap vs. Small cap. (2017). Salisu, Afees ; Oloko, Tirimisiyu ; Swaray, Raymond. In: Working Papers. RePEc:cui:wpaper:0037.

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2018A note on the absolute moments of the bivariate normal distribution. (2018). Haas, Markus. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00492.

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2019Volatility Spillovers among the Cryptocurrency Time Series. (2019). Mighri, Zouheir Ahmed ; al Saggaf, Majid Ibrahim ; Alsaggaf, Majid Ibrahim. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2019-03-7.

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2017Robust estimation in stochastic frontier models. (2017). Kang, Jiwon ; Oh, Dong-Hyun ; Song, Junmo. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:105:y:2017:i:c:p:243-267.

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2018Parameter change tests for ARMA–GARCH models. (2018). Song, Junmo ; Kang, Jiwon. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:121:y:2018:i:c:p:41-56.

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2017The correct regularity condition and interpretation of asymmetry in EGARCH. (2017). McAleer, Michael ; Chang, Chia-Lin. In: Economics Letters. RePEc:eee:ecolet:v:161:y:2017:i:c:p:52-55.

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2017Inference and testing on the boundary in extended constant conditional correlation GARCH models. (2017). Pedersen, Rasmus. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:23-36.

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2017Tests for conditional ellipticity in multivariate GARCH models. (2017). Francq, Christian ; Meintanis, S G ; Jimenez-Gamero, M D. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:305-319.

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2017Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models. (2017). Yang, Yaxing ; Ling, Shiqing. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:368-381.

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2017Chasing volatility. (2017). Rossi, Eduardo ; Caporin, Massimiliano ; de Magistris, Paolo Santucci. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:122-145.

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2017Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form. (2017). Taylor, Robert ; Nielsen, Morten ; Cavaliere, Giuseppe ; Robert, A M. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:165-188.

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2018Asymptotics of Cholesky GARCH models and time-varying conditional betas. (2018). Francq, Christian ; darolles, serge ; Laurent, Sebastien. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:223-247.

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2018Misspecification of noncausal order in autoregressive processes. (2018). Jasiak, Joann ; gourieroux, christian. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:226-248.

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2018Threshold autoregressive models for interval-valued time series data. (2018). Hong, Yongmiao ; Wang, Shouyang ; Han, AI ; Sun, Yuying. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:2:p:414-446.

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2018Linear double autoregression. (2018). Zhu, Qianqian ; Li, Guodong ; Zheng, Yao. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:162-174.

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2019Random coefficient continuous systems: Testing for extreme sample path behavior. (2019). Yu, Jun ; Tao, Yubo. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:208-237.

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2019Testing for randomness in a random coefficient autoregression model. (2019). Horvath, Lajos ; Trapani, Lorenzo. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:338-352.

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2019Closed-form results for vector moving average models with a univariate estimation approach. (2019). Sbrana, Giacomo ; Poloni, Federico. In: Econometrics and Statistics. RePEc:eee:ecosta:v:10:y:2019:i:c:p:27-52.

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2018Testing the null of difference stationarity against the alternative of a stochastic unit root: A new test based on multivariate STUR. (2018). Muriel, Nelson ; Gonzalez-Farias, Graciela. In: Econometrics and Statistics. RePEc:eee:ecosta:v:7:y:2018:i:c:p:46-62.

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2019Robust analysis of the martingale hypothesis. (2019). Gourieroux, Christian ; Jasiak, Joann. In: Econometrics and Statistics. RePEc:eee:ecosta:v:9:y:2019:i:c:p:17-41.

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2017Volatility spillover and hedging effectiveness among China and emerging Asian Islamic equity indexes. (2017). Majdoub, Jihed ; ben Sassi, Salim . In: Emerging Markets Review. RePEc:eee:ememar:v:31:y:2017:i:c:p:16-31.

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2018International financial integration: Stock return linkages and volatility transmission between Vietnam and advanced countries. (2018). Vo, Xuan Vinh ; Ellis, Craig . In: Emerging Markets Review. RePEc:eee:ememar:v:36:y:2018:i:c:p:19-27.

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2018Volatility and shock interactions and risk management implications: Evidence from the U.S. and frontier markets. (2018). Ngene, Geoffrey ; Mungai, Ann N ; Post, Jordin A. In: Emerging Markets Review. RePEc:eee:ememar:v:37:y:2018:i:c:p:181-198.

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2017Forecasting crude-oil market volatility: Further evidence with jumps. (2017). Darné, Olivier ; Darne, Olivier ; Charles, Amelie. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:508-519.

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2017Volatility spillovers and cross-hedging between gold, oil and equities: Evidence from the Gulf Cooperation Council countries. (2017). Tziogkidis, Panagiotis ; Awartani, Basel ; Maghyereh, Aktham I. In: Energy Economics. RePEc:eee:eneeco:v:68:y:2017:i:c:p:440-453.

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2018Oil volatility, oil and gas firms and portfolio diversification. (2018). Pérez de Gracia, Fernando ; Gabauer, David ; Filis, George ; Cuñado, Juncal ; Antonakakis, Nikolaos ; Cunado, Juncal. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:499-515.

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2018Testing Co-Volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances. (2018). McAleer, Michael ; Chang, Chia-Lin ; Wang, Yanghuiting . In: Energy. RePEc:eee:energy:v:151:y:2018:i:c:p:984-997.

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2018Return and volatility linkages between CO2 emission and clean energy stock prices. (2018). Dutta, Anupam ; Noor, Md Hasib ; Bouri, Elie. In: Energy. RePEc:eee:energy:v:164:y:2018:i:c:p:803-810.

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2019The co-movement between oil and clean energy stocks: A wavelet-based analysis of horizon associations. (2019). Abdoh, Hussein ; Awartani, Basel ; Maghyereh, Aktham I. In: Energy. RePEc:eee:energy:v:169:y:2019:i:c:p:895-913.

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2019Dynamic linkages and spillover effects between CET market, coal market and stock market of new energy companies: A case of Beijing CET market in China. (2019). Lin, Boqiang ; Chen, Yufang. In: Energy. RePEc:eee:energy:v:172:y:2019:i:c:p:1198-1210.

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2017Long vs. short term asymmetry in volatility and the term structure of risk. (2017). Lonnbark, Carl . In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:202-209.

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2018Bitcoin, gold and the US dollar – A replication and extension. (2018). Kuck, Konstantin ; Dimpfl, Thomas ; Baur, Dirk G. In: Finance Research Letters. RePEc:eee:finlet:v:25:y:2018:i:c:p:103-110.

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2018Dynamic linkages between gold and equity prices: Evidence from Indian financial services and information technology companies. (2018). Dey, Shubhasis ; Sampath, Aravind. In: Finance Research Letters. RePEc:eee:finlet:v:25:y:2018:i:c:p:41-46.

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2019The fiction of full BEKK: Pricing fossil fuels and carbon emissions. (2019). McAleer, Michael ; Chang, Chia-Lin. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:11-19.

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2018Implied volatility linkages between the U.S. and emerging equity markets: A note. (2018). Dutta, Anupam. In: Global Finance Journal. RePEc:eee:glofin:v:35:y:2018:i:c:p:138-146.

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2018Volatility of stock market returns and the naira exchange rate. (2018). Uzonwanne, Godfrey ; Dogo, Mela ; Tule, Moses. In: Global Finance Journal. RePEc:eee:glofin:v:35:y:2018:i:c:p:97-105.

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2018Commodity market based hedging against stock market risk in times of financial crisis: The case of crude oil and gold. (2018). Junttila, Juha ; Raatikainen, Juhani ; Pesonen, Juho. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:56:y:2018:i:c:p:255-280.

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2018MGARCH models: Trade-off between feasibility and flexibility. (2018). Ruiz, Esther ; Hotta, Luiz ; de Almeida, Daniel . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:45-63.

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2018A note on the implied volatility spillovers between gold and silver markets. (2018). Dutta, Anupam. In: Resources Policy. RePEc:eee:jrpoli:v:55:y:2018:i:c:p:192-195.

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2018Do commodities effectively hedge real estate risk? A multi-scale asymmetric DCC approach. (2018). Shahzad, Syed Jawad Hussain ; Raza, Syed ; Hussain, Syed Jawad ; Ali, Sajid. In: Resources Policy. RePEc:eee:jrpoli:v:57:y:2018:i:c:p:10-29.

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2019Analysing the gold-stock nexus using VARMA-BEKK-AGARCH and Quantile regression models: New evidence from South Africa and Nigeria. (2019). Awodumi, Olabanji B ; Adewuyi, Adeolu O ; Abodunde, Temitope T. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:348-362.

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2018Dynamic linkages among global oil market, agricultural raw material markets and metal markets: An application of wavelet and copula approaches. (2018). Jiang, Yonghong ; Nie, HE ; Mo, Bin ; Lao, Jiashun. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:508:y:2018:i:c:p:265-279.

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2018The interactions between OPEC oil price and sectoral stock returns: Evidence from China. (2018). Kirkulak-Uludag, Berna ; Safarzadeh, Omid. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:508:y:2018:i:c:p:631-641.

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2018Modelling volatility spillovers for bio-ethanol, sugarcane and corn spot and futures prices. (2018). McAleer, Michael ; Chang, Chia-Lin ; Wang, Yu-Ann. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:81:y:2018:i:p1:p:1002-1018.

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2017Volatility Spillovers from Australias major trading partners across the GFC. (2017). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K. In: International Review of Economics & Finance. RePEc:eee:reveco:v:47:y:2017:i:c:p:159-175.

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2019Volatility forecasting of crude oil market: Can the regime switching GARCH model beat the single-regime GARCH models?. (2019). He, Ling-Yun ; Ripple, Ronald ; Yao, Ting ; Zhang, Yue-Jun. In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:302-317.

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2019Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?. (2019). McAleer, Michael ; Chang, Chia-Lin ; Caporin, Massimiliano. In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:50-70.

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2019Choosing expected shortfall over VaR in Basel III using stochastic dominance. (2019). McAleer, Michael ; Jimenez-Martin, Juan ; Chang, Chia-Lin ; Perez-Amaral, Teodosio ; Maasoumi, Esfandiar . In: International Review of Economics & Finance. RePEc:eee:reveco:v:60:y:2019:i:c:p:95-113.

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2017Oil price shocks and volatility spillovers in the Nigerian sovereign bond market. (2017). tule, moses ; Ndako, Umar ; Onipede, Samuel F. In: Review of Financial Economics. RePEc:eee:revfin:v:35:y:2017:i:c:p:57-65.

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2017News surprises and volatility spillover among agricultural commodities: The case of corn, wheat, soybean and soybean oil. (2017). Bassil, Charbel ; Nehme, Tamara ; Hamadi, Hassan . In: Research in International Business and Finance. RePEc:eee:riibaf:v:41:y:2017:i:c:p:148-157.

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2017On the dynamic dependence and investment performance of crude oil and clean energy stocks. (2017). Ahmad, Wasim. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:376-389.

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2017On a vector double autoregressive model. (2017). Zhu, Huafeng ; Li, Yuan ; Liang, Xin ; Zhang, Xingfa . In: Statistics & Probability Letters. RePEc:eee:stapro:v:129:y:2017:i:c:p:86-95.

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2017Return and volatility spillovers between oil and stock markets in South Africa and Nigeria. (2017). Fowowe, Babajide . In: African Journal of Economic and Management Studies. RePEc:eme:ajempp:ajems-03-2017-0047.

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2017Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA. (2017). McAleer, Michael ; Chang, Chia-Lin ; Zuo, G ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:100331.

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2018An Event Study of Chinese Tourists to Taiwan. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsu, S.-H., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:104254.

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2018Risk Spillovers in Returns for Chinese and International Tourists to Taiwan. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsu, S.-H., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:105884.

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2018Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs. (2018). McAleer, Michael ; Chang, Chia-Lin ; Wang, Y-A., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:107292.

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2018Asymmetric Risk Impacts of Chinese Tourists to Taiwan. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsu, S.-H., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:107294.

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2018Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsieh, T-L., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:111552.

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2017The Fiction of Full BEKK. (2017). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:99514.

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2017Connecting VIX and Stock Index ETF. (2017). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:99516.

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2017Linkages Between Equity and Global Food Markets: New Evidence from Including Structural Changes. (2017). JOUINI, Jamel ; Alshogeathri, Mofleh . In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:67:y:2017:i:3:p:166-198.

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2018Consistent non-Gaussian pseudo maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2018_01.

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2018Specification tests for non-Gaussian maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2018_05.

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2017A Simple Test for Causality in Volatility. (2017). McAleer, Michael ; Chang, Chia-Lin. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:15-:d:93545.

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2017The Univariate Collapsing Method for Portfolio Optimization. (2017). Paolella, Marc S. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:18-:d:97715.

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2018The Stochastic Stationary Root Model. (2018). Hetland, Andreas. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:3:p:39-:d:165046.

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2018Moving Average Market Timing in European Energy Markets: Production Versus Emissions. (2018). McAleer, Michael ; Chang, Chia-Lin ; Laurila, Hannu ; Ilomaki, Jukka. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:12:p:3281-:d:185360.

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2018Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice. (2018). McAleer, Michael ; Chang, Chia-Lin. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:6:p:1595-:d:153161.

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2019Modeling and Testing Volatility Spillovers in Oil and Financial Markets for the USA, the UK, and China. (2019). McAleer, Michael ; Chang, Chia-Lin ; Tian, Jiarong . In: Energies. RePEc:gam:jeners:v:12:y:2019:i:8:p:1475-:d:224091.

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2017An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors. (2017). McAleer, Michael ; Chang, Chia-Lin ; Wang, Chien-Hsun. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2017:i:1:p:2-:d:124175.

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2017GARCH Modelling of Cryptocurrencies. (2017). Chu, Jeffrey ; Osterrieder, Joerg ; Nadarajah, Saralees ; Chan, Stephen. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:4:p:17-:d:113895.

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2018Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsieh, Tai-Lin . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:4:p:58-:d:172906.

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2018RMB Exchange Rates and Volatility Spillover across Financial Markets in China and Japan. (2018). Zhang, Zhaoyong ; Qin, Fengming. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:120-:d:175263.

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2018Does Sustainability Engagement Affect Stock Return Volatility? Evidence from the Chinese Financial Market. (2018). Zhang, Zhaoyong ; Djajadikerta, Hadrian Geri. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:10:p:3361-:d:170985.

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2018An Event Study Analysis of Political Events, Disasters, and Accidents for Chinese Tourists to Taiwan. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsu, Shu-Han. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:11:p:4307-:d:184277.

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2017Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA. (2017). McAleer, Michael ; Chang, Chia-Lin ; Zuo, Guangdong . In: Sustainability. RePEc:gam:jsusta:v:9:y:2017:i:10:p:1789-:d:113954.

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2017Do Sustainable Stocks Offer Diversification Benefits for Conventional Portfolios? An Empirical Analysis of Risk Spillovers and Dynamic Correlations. (2017). GUPTA, RANGAN ; Demirer, Riza ; Balcilar, Mehmet. In: Sustainability. RePEc:gam:jsusta:v:9:y:2017:i:10:p:1799-:d:114094.

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2017Volatility Spillover between Water, Energy and Food. (2017). Peri, Massimo ; Baldi, Lucia ; Vandone, Daniela. In: Sustainability. RePEc:gam:jsusta:v:9:y:2017:i:6:p:1071-:d:101981.

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2018Asymptotics of Cholesky GARCH models and time-varying conditional betas. (2018). Laurent, Sébastien ; Francq, Christian ; darolles, serge. In: Post-Print. RePEc:hal:journl:hal-01980815.

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More than 100 citations found, this list is not complete...

Works by Shiqing Ling:


YearTitleTypeCited
2003Adaptive Estimators and Tests of Stationary and Nonstationary Short- and Long-Memory ARFIMA-GARCH Models In: Journal of the American Statistical Association.
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2002 Recent Theoretical Results for Time Series Models with GARCH Errors. In: Journal of Economic Surveys.
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article182
2004Estimation and testing stationarity for double‐autoregressive models In: Journal of the Royal Statistical Society Series B.
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article35
2005Self‐weighted least absolute deviation estimation for infinite variance autoregressive models In: Journal of the Royal Statistical Society Series B.
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article24
2005Mixed Portmanteau Tests for Time-Series Models In: Journal of Time Series Analysis.
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article10
2009Estimation in nonstationary random coefficient autoregressive models In: Journal of Time Series Analysis.
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article16
2011Testing for structural change of AR model to threshold AR model In: Journal of Time Series Analysis.
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article1
2012Likelihood ratio tests for the structural change of an AR(p) model to a Threshold AR(p) model In: Journal of Time Series Analysis.
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article2
2014NON-STATIONARITY AND QUASI-MAXIMUM LIKELIHOOD ESTIMATION ON A DOUBLE AUTOREGRESSIVE MODEL In: Journal of Time Series Analysis.
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article6
2010A general asymptotic theory for time-series models In: Statistica Neerlandica.
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article11
2009A General Asymptotic Theory for Time Series Models.(2009) In: CIRJE F-Series.
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This paper has another version. Agregated cites: 11
paper
2013Asymptotic Inference in Multiple-Threshold Nonlinear Time Series Models In: Working Papers.
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paper0
2001ASYMPTOTIC INFERENCE FOR NONSTATIONARY FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE MODELS In: Econometric Theory.
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article5
2002NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS In: Econometric Theory.
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article194
2001Necessary and Sufficient Moment Conditions for the GARCH(r,s) and Asymmetric Power GARCH(r,s) Models,.(2001) In: ISER Discussion Paper.
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This paper has another version. Agregated cites: 194
paper
2003ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL In: Econometric Theory.
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article565
2001Asymptotic Theory for a Vector ARMA-GARCH Model,.(2001) In: ISER Discussion Paper.
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This paper has another version. Agregated cites: 565
paper
2003ASYMPTOTIC INFERENCE FOR UNIT ROOT PROCESSES WITH GARCH(1,1) ERRORS In: Econometric Theory.
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article25
2006EMPIRICAL LIKELIHOOD FOR GARCH MODELS In: Econometric Theory.
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article13
2009ON DISTINGUISHING BETWEEN RANDOM WALK AND CHANGE IN THE MEAN ALTERNATIVES In: Econometric Theory.
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article2
2012THE GLOBAL WEIGHTED LAD ESTIMATORS FOR FINITE/INFINITE VARIANCE ARMA(p,q) MODELS In: Econometric Theory.
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article4
2013ASYMPTOTIC THEORY ON THE LEAST SQUARES ESTIMATION OF THRESHOLD MOVING-AVERAGE MODELS In: Econometric Theory.
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article4
2001Regression Quantiles for Unstable Autoregressive Models. In: ISER Discussion Paper.
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paper3
2004Regression quantiles for unstable autoregressive models.(2004) In: Journal of Multivariate Analysis.
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This paper has another version. Agregated cites: 3
article
2003Regression Quantiles for Unstable Autoregressive Models.(2003) In: CIRJE F-Series.
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This paper has another version. Agregated cites: 3
paper
2001Stationarity and the Existence of Moments of a Family of GARCH Processes, In: ISER Discussion Paper.
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paper202
2002Stationarity and the existence of moments of a family of GARCH processes.(2002) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 202
article
2001Estimation and Testing for Unit Root Processes with GARCH(1,1) Errors: Theory and Monte Carlo Evidence, In: ISER Discussion Paper.
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paper29
2003Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence.(2003) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29
article
2003Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence.(2003) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29
paper
2001A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors, In: ISER Discussion Paper.
[Full Text][Citation analysis]
paper3
2001On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors, In: ISER Discussion Paper.
[Full Text][Citation analysis]
paper107
2013Diagnostic checking for non-stationary ARMA models with an application to financial data In: The North American Journal of Economics and Finance.
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article2
2007Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models In: Journal of Econometrics.
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article35
2012On the least squares estimation of multiple-regime threshold autoregressive models In: Journal of Econometrics.
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article21
2008Asymptotic inference for a nonstationary double AR (1) model In: Biometrika.
[Full Text][Citation analysis]
article13
2013Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models In: MPRA Paper.
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paper0
2013Factor double autoregressive models with application to simultaneous causality testing In: MPRA Paper.
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paper0
2014Model-based pricing for financial derivatives In: MPRA Paper.
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paper7
2005Joint modeling of cointegration and conditional heteroscedasticity with applications In: Annals of the Institute of Statistical Mathematics.
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article5
2014Comment In: Journal of Business & Economic Statistics.
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article0
2014Comment In: Journal of Business & Economic Statistics.
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article0
2015Frontiers in Time Series and Financial Econometrics: An Overview In: Documentos de Trabajo del ICAE.
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