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李木易个人简介

被阅览数：次  发布时间:2011/12/06 11:03:17



李木易

Muyi Li

WISE, Xiamen University, Xiamen, Fujian, China

Email: limuyi@xmu.edu.cn

 
Education
 
Ph.D. in Statistics, The University of Hong Kong, 2007-2011.

M.S. in Probability and Statistics, Academy of Mathematics and Systems Science, Chinese Academy of Sciences, 2002-2005.

B.S. in Mathematics, AnHui University, 1998-2002.

Scholarship
 
Postgraduate scholarship of The University of HongKong 2007-2011.
First class scholarship in AnHui University, 1998-2002.
Research Interests:
 
Long memory time series models
Model misspecification tests and diagnostic checks
Nonlinear time series models with GARCH-type errors
Financial econometrics/Risk management
Employment:
 
1.Sept.2007-Present Teaching Assistant, The University of Hong Kong
Tutor for: Time Series Analysis Financial Data Analysis Project Based on SAS soft-ware Business Statistics
 
2.Sept. 2005 - Jul. 2007: Lecturer, School of Science, JiMei University, XiaMen, FuJian,CN
Lecturer for: Probability Theory and Mathematical Statistics, Operational Research,Linear Algebra, China Undergraduate Mathematical Contest in Modeling(CUMCM)
Research Work:
 
Paper publication and submitted
1. M.Y. Li, G. Li and W.K. Li(2011). Score Tests for Hyperbolic GARCH Models,Forthcoming in Journal of Business and Economic Statistics, DOI: 10.1198/jbes.2011.10024.
2. M.Y. Li, W.K. Li and G. Li(2011). On Mixture Memory GARCH Models, Under review of Journal of Business and Economic Statistics.
 
Working Papers
1. M.Y. Li, and W.K. Li(2011). Regime Switching and Long Run Dependence in Volatility
2. M.Y. Li, G. Li and W.K. Li(2010). A Rescaled Fractionally Integrated GARCH Model.
3. M.Y. Li and M. Chen(2007). Nonparametric Tests for the Conditional Heteroscedasticity in the semi-Parametric Models.
4. M.Y. Li and M. Chen(2007). Adaptive Neyman Tests for the correlations of residuals of the Partial Linear Regression Models.

Conferences Activity:
 
Presentations
1. A novel R-FIGARCH model: the coexistence of long memory and covariance stationarity , The Eighth ICSA International Conference, GuangZhou University, GuangZhou, China, Dec. 19-22, 2010.
2. On mixture memory GARCH models , International Symposium on Econometrics of Specification Tests in 30 Years, XiaMen University, XiaMen, China, June 24-25, 2010.
3. How to distinguish geometric memory against hyperbolic memory under the HYGARCH representation? , Joint Statistics Meeting 2009, Washington, D.C., USA, August, 1-6,2009.
Attendences
1. International Conference on Applied Statistics and Financial Mathematics, The Hong Kong Polytechnic University, HongKong, Dec. 16-18, 2010. (ASFM2010)
2. Nonlinear Time Series: Threshold Modelling and Beyond An International Conference in Honour of Professor Howell Tong, The University of Hong Kong, Hong Kong, Dec 17-19, 2009.
3. Conference on Financial Modelling and Related Topics, The University of Hong Kong, Hong Kong, Jan 16-17, 2009.
4. International Conference on Statistics and Society, RenMin University of China, June 10-11, 2006.
Professional Affiliation:

Teacher certificate of China, Member of ASA, ICSA

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