Dr. Wai-Keung Li

Dr. Wai-Keung Li
Chair Professor, Department of Statistics and Actuarial Science, University of Hong Kong, China


I have published/accepted 139 refereed journal articles,27of these appearedin thetop 4journals of Statistics,3in thetop 3journals of Actuarial Science. I also published a singleauthored monograph under Chapman & Hall. All reviews by top statistical journals arefavourable.(Top 4 in Stat:Annals of Stat.; J. RoyalStatist. Soc.B; J. Amer. Statist.Assoc.;Biometrika. Top 3 in Actuarial Sci:Insurance: math & econ.;Astin Bulletin; Scand. ActuarialJournal.)

Research Interest

Time Series Analysis Econometrics Financial and Risk Management Applications Environ metrics Stochastic Processes with applications to Hydrology and Climatology Sampling Theory Modelling of multiple time series, time series model diagnostic checks, threshold autoregressive models, semiparametric time series models, nonstationary/nonlinear time series with GARCH errors, stochastic volatility models, autoregressive conditional duration models, long memory time series models, time series modelling of financial data (including chaos and Granger causality problems), value at risk problems, stochastic hydrology and climatology.