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    First

Li, Muyi

Professor

Phone：0592-2185887

Email：limuyi1981@gmail.com

Office：D208

Office Hours:

Research Fields:Statistics

Homepage:



Professor Professor Phone 0592-2185887
Email limuyi1981@gmail.com Office D208
Office Hours Research Fields Statistics
Homepage Job

个人简介 研究成果 研究项目

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.

Research Interests:
Time Series Analysis, Financial Econometrics, Risk Management.
 
Anonymous Referee for:
Journal of Econometrics,Journal of Time Series Analysis, Econometric Review, Computation Statistics and Data Analysis,Applied Stochastic Models in Business and Industry,Science in China, China Economic Review
 
Publications(*Corresponding Author)

[1]  Muyi Li and Ying Fang (2020). Dynamic Mixture HGARCH Model and its Application on Volatility Forecasting. Journal of Management in China, forthcoming.

[2]  Dong Li, Muyi Li* and Lianbin Zeng (2019). Simulation and application of subsampling for threshold autoregressive moving-average models. Communications in Statistics Simulation and Computation, DOI: 10.1080/03610918.2019.1699932.

[3]  Yan Han, Ying Yuan, Sha Cao,  Muyi Li and  Yong Zang. (2019). On the Use of Marker Strategy Design to Detect Predictive Marker Effect in Cancer Immunotherapy and Targeted Therapy. Statistics in Biosciences, 1-16.

[4] Shaojun Guo, Dong Li and Muyi Li* (2019). Strictly Stationarity Testing and GLAD estimation of Double AR Models. Journal of Econometrics, Vol 221(2), 319-337.

 

[5] C.W.S. Chen, Muyi Li, N.T.H.Nguyen and S.Sriboonchita (2017). On Asymmetric Market Model with Heteroscedasticity and Quantile Regression. Computational Economics, Vol 49:155-174.

 

[6] Muyi Li, Guodong Li and Wai Keung Li (2015). On a New Hyperbolic GARCH Model.Journal of Econometrics, Vol 189(2), 428-436.

 

[7] Dong Li, Muyi Li*, Wuqing Wu (2014). On Dynamics of Volatilities in Nonstationary GARCH Model.  Statistics and Probability Letters. Vol 94, 86-90.

 

[8]  Muyi Li and Yongxiang Huang (2014).  Hilbert-Huang Transform based Multifractal

     Analysis of China Stock Market.  Physica A: Statistical Mechanics and its Applications, 406, 222-229.  

 

[9]  Muyi Li*, Wai Keung Li and Guodong Li (2013). On Mixture Memory GARCHModels. Journal of Time Series Analysis, 34: 606-624. (Lead article in this issue)

 

[10] Muyi Li, Guodong Li and Wai Keung Li (2011). Score Tests for Hyperbolic GARCH Models.  Journal of Business and Economic Statistics, Vol 29(4):579-586.

 

 

 

  1.  “Experimental Revolution of Teaching on Time Series Analysis”, Key Laboratory of Econometrics, Xiamen University, 2019-2021. (PI,ongoing)

  2.  “Econometric Theory and Applications of Volatility: Long Memory and Structural Changes ”,  National Nature Science Foundation of China, 71671150, 2017-2020. (PI,ongoing)

  3.   “Probability Properties, Statistical Inference and Applications of Long Memory Volatility Models”,  National Nature Science Foundation of China, 11301433,  2014-2016. (PI, Completed)

  4. “Statistical Inference of Subsampling Methods on Threshold Models”, Nature Science Foundation of Fujian Province, 2014J05010, 2014-2016. (PI, Completed)