Project Significance:
These new time series models are supposed to provide a better fit to the real data comparing with the current models.
Results Achieved:
Li, M., Li, G. and Li, W.K. (2011) Score tests for hyperbolic GARCH models, Journal of Business & Economic Statistics 29, 579-586.
Kwan, W., Li, W.K. and Li, G. (2011) On the threshold hyperbolic GARCH models, Statistics and Its Interface 4, 159-166.
Li, G. and Li, W.K. (2011) Testing a linear time series models against its threshold extension, Biometrika 98, 243-250.
Kwan, W., Li, W.K. and Li, G. (2010) On the estimation and diagnostic checking of the ARFIMA–HYGARCH model, Computational Statistics and Data Analysis. Accepted.
