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Yang, X., Zhu, Z., Li, D. and Zhu, K. (2023+). Asset pricing for large US equity return data via the conditional quantile variational autoencoder. Journal of Business & Economic Statistics.
Zhang, X., Li, D.* and Tong, H. (2023+). On the least squares estimation of multiple-threshold-variable autoregressive models. Journal of Business & Economic Statistics.
Tao, Y., Li, D. and Niu, X. (2023+). Grouped network Poisson autoregressive model. Statistica Sinica.
Li, D., Tao, Y., Yang, Y. and Zhang, R.M. (2023). Maximum likelihood estimation for α-stable double autoregressive models. Journal of Econometrics 236(1), 105471.
Jiang, F.Y., Li, D., Li, W.K. and Zhu, K. (2023). Testing and modelling for the structural change in covariance matrix time series with multiplicative form. Statistica Sinica 33(2), 787-818.
Luo, D., Zhu, K., Gong, H. and Li, D.* (2023). Testing error distribution by kernelized Stein discrepancy in multivariate time series models. Journal of Business & Economic Statistics 41(1), 111-125.
Li, D., Li, M. and Zeng, L. (2022). Simulation and application of subsampling for threshold autoregressive moving-average models. Communications in Statistics: Simulation and Computation 51(5), 2110-2121.
Yang, X. and Li, D.* (2022). Estimation of the empirical risk-return relation: A generalized-risk-in-mean model. Journal of Time Series Analysis 43(6), 938-963.
Nils Chr. Stenseth?*, Yuxin Tao?, Chutian Zhang?, Barbara Bramanti, Ulf Büntgen, Xianbin Cong, Yujun Cui, Hu Zhou, Lorna Dawson, Sacha Mooney, Dong Li, Henry Fell, Samuel Cohn, Florent Sebbane, Philip Slavin, Wannian Liang, Howell Tong , Ruifu Yang*, Lei Xu* (2022). No evidence for permanent natural plague reservoirs in historical and modern Europe. Natl. Acad. Sci. USA. 119(51), e2209816119.
Liu, J., Li, Y., Li, D., Wang, Y. and Wei, S. (2022). The burden of coronary heart disease and stroke attributable to dietary cadmium exposure in Chinese adults, 2017. Science of the Total Environment 825, 153997.
Sun, L.Y. and Li, D.* (2021). Change-point detection for expected shortfall in time series. Journal of Management Science and Engineering 6, 324-335.
Jiang, F.Y., Li, D. and Zhu, K. (2021). Adaptive inference for a semiparametric GARCH model. Journal of Econometrics 224, 306-329.
Jiang, F.Y., Li, D. and Zhu, K. (2020). Non-standard inference for augmented double autoregressive models with null volatility coefficients. Journal of Econometrics 215, 165-183.
Li, D. and Tong, H. (2020). On an absolute autoregressive model and skew symmetric distributions. Statistica 80, 177-198.
Zhou, J., Li, D., Pan, R. and Wang, H. S. (2020). Network GARCH model. Statistica Sinica 30, 1723-1740.
Gong, H. and Li, D.* (2020). On the three-step non-Gaussian quasi-maximum likelihood estimation of heavy-tailed double AR models. Journal of Time Series Analysis 41, 883-891.
Li, D.* and Qiu, J.M. (2020). The marginal density of a TMA (1) process. Journal of Time Series Analysis 41, 476-484.
Yang, Y. and Li, D.* (2020). Self-weighted LAD-based inference for heavy-tailed continuous threshold autoregressive models. Journal of Time Series Analysis 41,163-172.
Li, D. and Zhu, K. (2020). Inference for asymmetric exponentially weighted moving average models. Journal of Time Series Analysis 41,154-162.
Guo, S., Li, D. and Li, M.Y. (2019). Strict stationarity testing and GLAD estimation of double autoregressive models. Journal of Econometrics 211, 319-337.
Li, D., Guo, S. and Zhu, K. (2019). Double AR model without intercept: An alternative to modeling nonstationarity and heteroscedasticity. Econometric Reviews 38, 319-331.
Li, D., Ling, S., Tong, H. and Yang, G.R. (2019). On Brownian motion approximation of compound Poisson processes with applications to threshold models. Advances in Decision Sciences 23. Bridging.pdf
Li, D. and Wu, W. (2018). Renorming volatilities in a family of GARCH models. Econometric Theory 34, 1370-1382.
Liu, F., Li, D.* and Kang, X.M. (2018). Sample path properties of an explosive double AR model. Econometric Reviews 37, 484-490.
Li, D., Zhang, X., Zhu, K. and Ling, S. (2018). The ZD-GARCH model: A new way to study heteroscedasticity. Journal of Econometrics 202, 1-17.
Li, D. and Tong, H. (2016). Nested sub-sample search algorithm for estimation of threshold models. Statistica Sinica 26, 1543-1554.
Li, D., Ling, S. and Zhang, R.M. (2016). On a threshold double autoregressive model. Journal of Business & Economic Statistics 34, 68-80.
Li, D., Ling, S. and Zako?an, J.-M. (2015). Asymptotic inference in multiple-threshold double autoregressive models. Journal of Econometrics 189, 415-427.
Li, D., Li, M. and Wu, W. (2014). On dynamics of volatilities in nonstationary GARCH models. Statistics and Probability Letter 94, 86-90.
Chen, M., Li, D.* and Ling, S. (2014). Non-stationarity and quasi-maximum likelihood estimation on a double autoregressive model. Journal of Time Series Analysis 35, 189-202.
Chan, K.S., Li, D., Ling, S. and Tong, H. (2014). On conditionally heteroscedastic AR models with thresholds. Statistica Sinica 24, 625-652.
Li, D. (2014). Weak convergence of the sequential empirical processes of residuals in TAR models. Science China: Mathematics 57, 173-180.
Li, D., Chan, K.S. and Schilling, K.E. (2013). Nitrate concentration trends in Iowa’s rivers, 1998 to 2012: What challenges await nutrient reduction initiatives? Journal of Environmental Quality 42, 1822-1828.
Li, D., Ling, S. and Li, W. K. (2013). Asymptotic theory on the least squares estimation of threshold moving-average models. Econometric Theory 29, 482-516.
Wu, W., Li, D., Pan, S. and Chen, M. (2013) Three-regime mean reversion, TAR and its applications. Systems Engineering - Theory & Practice 33, 901-909.
Li, D. (2012). A note on moving-average models with feedback. Journal of Time Series Analysis 33, 873-879.
Li, D., Ling, S. and Tong, H. (2012). On moving-average models with feedback. Bernoulli 18, 735-745.
Li, D. and Ling, S. (2012). On the least squares estimation of multiple-regime threshold autoregressive models. Journal of Econometrics 167, 240-253
Li, D., Li, W. K. and Ling, S. (2011). On the least squares estimation of threshold autoregressive and moving-average models. Statistics and Its Interface 4, 183-196.
Ling, S. and Li, D. (2008). Asymptotic inference for a non-stationary double AR(1) model. Biometrika 95, 257-263.
Ling, S., Tong, H. and Li, D. (2007). Ergodicity and invertibility of threshold moving-average models. Bernoulli 13, 161-168.
在审论文
Zhang, X. and Li, D. (2023). Smooth transition moving average models: Estimation, testing and computation.
Yu, C., Li, D., Jiang, F. and Zhu, K. (2023). Matrix GARCH model: Inference and application.
Li, D., Qiao, X. and Wang, Z.H. (2023). Factor-guided estimation of large covariance matrix function with functional sparsity.
Guo, S., Li, D., Qiao, X. and Wang, Y. (2023). From sparse to dense functional data: Phase transitions from a concentration perspective.
Tao, Y. and Li, D.* (2023). Statistical inference on stable asymmetric GARCH models.
Zhuang, Y., Li, D., Yu, L.H. and Li, W.K. (2023). On buffered moving average model.
Yang, X. and Li, D. (2023). A simple random coefficient nonlinear AR model with application to bubble.
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