Howell Tong

Exploring volatility from a dynamical system perspective (2007)

Invited paper, Session 64 - Stochastic Volatility Modelling: Reflections, Recent Development and the Future.

Ergodicity and invertibility of threshold MA models (2007)

Invited paper, Session 64 - Stochastic Volatility Modelling: Reflections, Recent Development and the Future.

Ergodicity and invertibility of threshold MA models (2007)

Threshold variable selection using nonparametric methods (2007)

Tong, Howell, Xia, Y, Li, W.K

Birth of the threshold time series model (2007)

Threshold variable selection using nonparametric methods (2007)

Tong, Howell, Xia, Y, Li, W.K

Birth of the threshold time series model (2007)

Estimation of the covariance matrix of random effects in longitudinal studies (2007)

Tong, Howell, Sun, Y, Zhang, W

Semiparametric penalty function method in partially linear model selection (2007)

Tong, Howell, Dong, Chaohua, Gao, Jiti

Estimation of the covariance matrix of random effects in longitudinal studies (2007)

Tong, Howell, Sun, Y, Zhang, W

Semiparametric penalty function method in partially linear model selection (2007)

Tong, Howell, Dong, Chaohua, Gao, Jiti

Cumulative effects of air pollution on public health (2006)

Cumulative effects of air pollution on public health (2006)

Option pricing under threshold autoregressive models by threshold Esscher transform (2006)

Siu, Tak Kien, Tong, Howell, Yang, Hailiang

Option pricing under threshold autoregressive models by threshold Esscher transform (2006)

Siu, Tak Kien, Tong, Howell, Yang, Hailiang

Selecting models with different spectral density matrix structures by the cross-validated log likelihood criterion (2006)

Matsuda, Yasumasa, Yajima, Yoshihiro, Tong, Howell

We propose the cross-validated log likelihood (CVLL) criterion for selecting multivariate time series models with different forms of the spectral density matrix, which correspond to different...

Selecting models with different spectral density matrix structure by the cross-validated log likelihood criterion (2006)

Tong, Howell, Matsuda, Y, Yajima, Y

Selecting models with different spectral density matrix structure by the cross-validated log likelihood criterion (2006)

Tong, Howell, Matsuda, Y, Yajima, Y

Testing for a linear MA model against threshold MA models (2006)

Ling, Shiqing, Tong, Howell

This paper investigates the (conditional) quasi-likelihood ratio test for the threshold in MA models. Under the hypothesis of no threshold, it is shown that the test statistic converges weakly to a...

On efficiency of estimation for a single-index model (2006)

On a simple graphical approach to modelling economic fluctuations with an application to UK price inflation, 1265-2005 (2006)

Tong, Howell, Chan, W S, Ng, M W

A note on time-reversibility of multivariate linear processes (2006)

Chan, K.S, Ho, L-H, Tong, Howell

On efficiency of estimation for a single-index model (2006)

On a simple graphical approach to modelling economic fluctuations with an application to UK price inflation, 1265-2005 (2006)

Tong, Howell, Chan, W S, Ng, M W

A note on time-reversibility of multivariate linear processes (2006)

Chan, K.S, Ho, L-H, Tong, Howell

On a simple graphical approach to modelling economic fluctuations with an application to United Kingdom price inflation, 1265-2005 (2006)

Chan, W., Ng, M. W., Tong, Howell

Testing for a linear MA model against threshold MA models (2005)

Ling, Shiqing, Tong, Howell

This paper investigates the (conditional) quasi-likelihood ratio test for the threshold in MA models. Under the hypothesis of no threshold, it is shown that the test statistic converges weakly to a...

Testing for a linear MA model against threshold MA models (2005)

Testing for a linear MA model against threshold MA models (2005)

Non-linear time series analysis (2005)

Non-linear time series analysis (2005)

On time-reversibility of multivariate linear processes (2005)

On time-reversibility of multivariate linear processes (2005)

Efficient estimation for semivarying-coefficient models (2004)

Tong, Howell, Xia, Y, Zhang, W

Efficient estimation for semivarying-coefficient models (2004)

Tong, Howell, Xia, Y, Zhang, W

Statistical tests for Lyapunov exponents of deterministic systems (2004)

Statistical tests for Lyapunov exponents of deterministic systems (2004)

In order to develop statistical tests for the Lyapunov exponents of deterministic dynamical systems, we develop bootstrap tests based on empirical likelihood for percentiles and expectiles of...

On Bayesian value at risk: from linear to non-linear portfolios (2004)

In order to develop statistical tests for the Lyapunov exponents of deterministic dynamical systems, we develop bootstrap tests based on empirical likelihood for percentiles and expectiles of...

Statistical tests for Lyapunov exponents of deterministic systems (2004)

On Bayesian value at risk: from linear to non-linear portfolios (2004)

In order to develop statistical tests for the Lyapunov exponents of deterministic dynamical systems, we develop bootstrap tests based on empirical likelihood for percentiles and expectiles of...

Statistical Tests for Lyapunov Exponents of Deterministic Systems (2004)

Statistical Tests for Lyapunov Exponents of Deterministic Systems (2004)

In order to develop statistical tests for the Lyapunov exponents of deterministic dynamical systems, we develop bootstrap tests based on empirical likelihood for percentiles and expectiles of...

Statistical Tests for Lyapunov Exponents of Deterministic Systems (2004)

In order to develop statistical tests for the Lyapunov exponents of deterministic dynamical systems, we develop bootstrap tests based on empirical likelihood for percentiles and expectiles of...

Statistical Tests for Lyapunov Exponents of Deterministic Systems (2004)

In order to develop statistical tests for the Lyapunov exponents of deterministic dynamical systems, we develop bootstrap tests based on empirical likelihood for percentiles and expectiles of...

Semiparametric non-linear time series model selection (2004)

In order to develop statistical tests for the Lyapunov exponents of deterministic dynamical systems, we develop bootstrap tests based on empirical likelihood for percentiles and expectiles of...

Gao, Jiti, Tong, Howell

Testing for common structures in a panel of threshold models (2004)

Chan, K.S, Tong, Howell, Stenseth, Nils C

Testing for common structures in a panel of threshold models (2004)

Chan, K.S, Tong, Howell, Stenseth, Nils C

Statistical tests for Lyapunov exponents of deterministic systems (2004)

Statistical tests for Lyapunov exponents of deterministic systems (2004)

In order to develop statistical tests for the Lyapunov exponents of deterministic dynamical systems, we develop bootstrap tests based on empirical likelihood for percentiles and expectiles of...

Wolff, Rodney C, Yao, Qiwei, Tong, Howell

In order to develop statistical tests for the Lyapunov exponents of deterministic dynamical systems, we develop bootstrap tests based on empirical likelihood for percentiles and expectiles of...

A goodness-of-fit test for single-index models (2004)

Li, W K, Tong, Howell, Xia, Y, Zhang, D

A goodness-of-fit test for single-index models (2004)

Li, W K, Tong, Howell, Xia, Y, Zhang, D

Statistical tests for Lyapunov exponents of deterministic systems (2004)

Semiparametric non-linear time series model selection (2004)

In order to develop statistical tests for the Lyapunov exponents of deterministic dynamical systems, we develop bootstrap tests based on empirical likelihood for percentiles and expectiles of...

Gao, Jiti, Tong, Howell

Some nonlinear threshold autoregressive time series models for actuarial use (2004)

Chan, Wai-Sum, Wong, Albert C S, Tong, Howell

On pricing derivatives under GARCH models: a dynamic Gerber-Shiu approach (2004)

A note on stochastic difference equations and its application to GARCH models (2004)

A note on testing for multi-modality with dependent data (2004)

Some nonlinear threshold autoregressive time series models for actuarial use (2004)

Chan, Wai-Sum, Wong, Albert C S, Tong, Howell

On pricing derivatives under GARCH models: a dynamic Gerber-Shiu approach (2004)

A note on stochastic difference equations and its application to GARCH models (2004)

A note on testing for multi-modality with dependent data (2004)

Semiparametric non-linear time series model selection (2004)

Gao, Jiti, Tong, Howell

Statistical Tests for Lyapunov Exponents of Deterministic Systems. Discussion paper No 167 (2003)

Statistical Tests for Lyapunov Exponents of Deterministic Systems. Discussion paper No 167 (2003)

In order to develop statistical tests for the Lyapunov exponents of deter- ministic dynamical systems, we develop bootstrap tests based on empirical likelihood for percentiles and expectiles of...

Smoothing for spatiotemporal models and its application to modeling Muskrat-Mink interaction (2003)

In order to develop statistical tests for the Lyapunov exponents of deter-ministic dynamical systems, we develop bootstrap tests based on empiricallikelihood for percentiles and expectiles of...

Zhang, Wenyang, Yao, Qiwei, Tong, Howell, Stenseth, Nils C.

Smoothing for spatiotemporal models and its application to modeling Muskrat-Mink interaction (2003)

Zhang, Wenyang, Yao, Qiwei, Tong, Howell, Stenseth, Nils C.

Statistical Tests for Lyapunov Exponents of Deterministic Systems. Discussion paper No 167 (2003)

Model specification tests in nonparametric stochastic regression models (2002)

In order to develop statistical tests for the Lyapunov exponents of deter- ministic dynamical systems, we develop bootstrap tests based on empirical likelihood for percentiles and expectiles of...

Model specification tests in nonparametric stochastic regression models (2002)

In this paper, we consider testing for additivity in a class of nonparametric stochastic regression models. Two test statistics are constructed and their asymptotic distributions are established. We...

J. R. Statist. Soc. B (2002) (2002)

In this paper, we consider testing for additivity in a class of nonparametricstochastic regression models. Two test statistics are constructed and their asymptoticdistributions are established. We...

Yingcun Xia, Howell Tong, W. K. Li

this paper, we shall propose a new method to estimate the EDR directions. We call it the (conditional) minimum average variance estimation (MAVE) method. Our approach is inspired by the SIR method,...

An adaptive estimation of dimension reduction space, with discussion (2002)

Tong, Howell, Xia, Y, Zhu, L

An adaptive estimation of dimension reduction space, with discussion (2002)

Tong, Howell, Xia, Y, Zhu, L

Single-index volatility and estimation (2002)

Li, W.K, Tong, Howell, Xia, Y

Single-index volatility and estimation (2002)

Li, W.K, Tong, Howell, Xia, Y

Nonlinear time series analysis since 1990: some personal reflections (2002)

Nonlinear time series analysis since 1990: some personal reflections (2002)

Adaptive orthogonal series estimation in additive stochastic regression models (2002)

Adaptive orthogonal series estimation in additive stochastic regression models (2002)

In this paper, we consider additive stochastic nonparametric regression models. By approximating the nonparametric components by a class of orthogonal series and using a generalized cross-validation...

Gao, Jiti, Tong, Howell, Wolff, Rodney C

In this paper, we consider additive stochastic nonparametric regression models. By approximating the nonparametric components by a class of orthogonal series and using a generalized cross-validation...

A note on the equivalence of two approaches for specifying a Markov process (2002)

A note on the equivalence of two approaches for specifying a Markov process (2002)

Adaptive orthogonal series estimation in additive stochastic regression models (2002)

Model specification tests in nonparametric stochastic regression models (2002)

In this paper, we consider additive stochastic nonparametric regression models. By approximating the nonparametric components by a class of orthogonal series and using a generalized cross-validation...

Model specification tests in nonparametric stochastic regression models (2002)

In this paper, we consider testing for additivity in a class of nonparametric stochastic regression models. Two test statistics are constructed and their asymptotic distributions are established. We...

Gao, J, Wolff, R C L, Tong, Howell

Adaptive orthogonal series estimation in additive stochastic regression models (2002)

Gao, J, Tong, Howell, Wolff, Rodney C

Dynamic model (2002)

Chan, K S, Tong, Howell

Model specification tests in nonparametric stochastic regression models (2002)

Gao, J, Wolff, R C L, Tong, Howell

Adaptive orthogonal series estimation in additive stochastic regression models (2002)

Gao, J, Tong, Howell, Wolff, Rodney C

Dynamic model (2002)

Chan, K S, Tong, Howell

Single-index volatility models and estimation (2002)

Xia, Yingcun, Tong, Howell, Li, W. K.

An Adaptive Estimation of Dimension Reduction Space (2001)

Yingcun Xia, Howell Tong, W. K. Li

Searching for an effective dimension reduction space is an important problem in regression, especially for high dimensional data. In this paper, we propose an adaptive approach based on...

Bootstrap estimation of actual significance levels for tests based on estimated nuisance parameters (2001)

Yao, Qiwei, Yang, Wengyan, Tong, Howell

Bootstrap estimation of actual significance levels for tests based on estimated nuisance parameters (2001)

Yao, Qiwei, Yang, Wengyan, Tong, Howell

On some distributional properties of a first-order nonnegative bilinear time series model (2001)

Zhang, Zhiqiang, Tong, Howell

We study a simple first-order nonnegative bilinear time-series model and give conditions under which the model is stationary. The probability density function of the stationary distribution (when it...

On some distributional properties of a first order non-negative bilinear time series model (2001)

On some distributional properties of a first order non-negative bilinear time series model (2001)

A conditional density approach to the order determination of time series (2001)

Yao, Qiwei, Finkenstädt, Bärbel F., Tong, Howell

A conditional density approach to the order determination of time series (2001)

Yao, Qiwei, Finkenstädt, Bärbel F., Tong, Howell

A personal journey through time series in Biometrika (2001)