People

• B.Sc. (First class with Distinction) in Mathematics, York University, Canada (1975)
• M.A. in Mathematics, York University, Canada (1976)
• Ph.D. in Statistics, University of Western Ontario (1981)
• Elected Member, International Statistical Institute (1991)
• Elected Fellow, American Statistical Association (2003)
• Elected Fellow, Institute of Mathematical Statistics (2006)
• Honorary Member, Hong Kong Statistical Society, conferred March, 2009
• Outstanding Service Award, International Chinese Statistical Association,  conferred August, 2009
• Emeritus Professor, Univeristy of Hong Kong, conferred May, 2020.
• Distinguished Author, Journal of Time Series Analysis, conferred June, 2020.

• Time Series Analysis;
• Financial Econometrics;Financial Risk Management; 
• Big Data Analytics; 
• Environmetrics;
• Stochastic Processes with Applications to Hydrology and Climatology;
• Extreme Value Theory;
• Spatial Statistics;
• Sampling Methods

• Time Series Analysis;
• Financial Econometrics;
• Financial Risk Management;
• Statistical Inference;
• Statisitcal Learning;
• Elementary Statistics;
• General Education on Statistical Thinking. 

Journal Publications (Publication in refereed journal)

• ZHOU, J., JIANG, F., ZHU, K., and LI, W. K. (2022). Time Series Models for Realized Covariance Matrices Based on the Matrix-F Distribution. Statistica Sinica, 32, 755 - 768 Doi:https://doi.org/10.5705/ss.202019.0424.
• WANG, G., ZHU, K. LI, G. and LI, Wai Keung (2022). Hybrid Quantile Estimation for Asymmetric Power GARCH Models. Journal of Econometrics, 227, 264-284
• WONG, T.S.T. and LI, Wai Keung (2021). A new test for tail index with application to Danish fire loss data. Journal of Statistical Computation and Simulation, 91, 3880 - 3893 Doi:10.1080/00949655.2021.1954647.
• K.K.F. LAW, W.K. LI and Philip L.H. YU (2021). An Alternative Nonparametric Tail Risk Measure. Quantitative Finance , 21(4), 685-696
• G. WANG, W.K. LI and K. ZHU (2021). New HSIC-Based Tests for Independence between Two Stationary Multivariate Time Series. Statistica Sinica, 31, 269-300
• J. XU, W.K. LI and Z. YING (2020). Variable Screening for Survival Data in the Presence of Heterogeneous Censoring. Scandinavian Journal of Statistics, 47(4), 1171-1191.
• K. SHEN, J.F. YAO, W.K. LI (2020). Forecasting High-Dimensional Realized Volatility Matrices Using a Factor Model. Quantitative Finance, 20, 1879-1887.
• K.K.F. LAW, W.K. LI and Philip L.H. YU (2020). Evaluation Methods for Portfolio Management. Applied Stochastic Models in Business and Industry, 36(5), 857-876.
• XIA, Qiang, ZHANG, Zhiqiang & LI, Wai Keung (2020). A Portmanteau Test for Smooth Transition Autoregressive Models. Journal of Time Series Analysis, 41, 722-730.
• K. LAW, W.K. LI and P. YU (2020). An Empirical Evaluation of Large Dynamic Covariance Models in Portfolio Value-at-Risk Estimation. Journal of Risk Model Validation, 14(2), 21-39.
• Li, D., Zeng, M.R., Li, W.K., & Li G. (2020). Conditional Quantile Estimation for Hysteretic Autoregressive Models. Statistica Sinica, 30, 809-827.
• Wang, D., & Li, W.K. (2020). Unit Root Testing on Buffered Autoregressive Model. Statistica Sinica, 30, 977-1003.
• CUI, Y., ZHU, F.K., & LI, W.K, (2020). Modeling of RCOV matrices with a generalized threshold conditional Wishart autoregressive model. Statistics and Its Interface, 13, 77-89.
• ZHANG, Z.Y., & LI, W.K. (2019). An experiment on autoregressive and threshold autoregressive models with non-Gaussian error with application to realized volatility. Economies, 7(2), 1-11

Journal Publications (Publication in policy or professional journal)

• Philip L. H. YU and Wai Keung LI (2021). Project-based Learning via Competition for Data Science Students. Harvard Data Science Review, 3(1), 1-4.