90 citations · 330 across the 9 of their papers we have counts for
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math.ST2012★ 20 cited
On moving-average models with feedback
Dong Li, Shiqing Ling, Howell Tong
Moving average models, linear or nonlinear, are characterized by their short memory. This paper shows that, in the presence of feedback in the dynamics, the above characteristic ca…
math.ST2012★ 90 cited
Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA--GARCH/IGARCH models
Ke Zhu, Shiqing Ling
This paper investigates the asymptotic theory of the quasi-maximum exponential likelihood estimators (QMELE) for ARMA--GARCH models. Under only a fractional moment condition, the s…