W.K. LI
Emeritus Professor BSc, MA(York); PhD(W Ont); FIMS; FASA; MIS; (Hon)MHKSS Email : hrntlwk@hku.hk   Fax : (852) 2858-9041

B.Sc. (First class with Distinction) in Mathematics, York University, Canada (1975).
M.A. (Mathematics), York University, Canada (1976).
Ph.D. (Statistics), University of Western Ontario (1981).

 

Research Interests

Time Series Analysis; Econometrics; Financial and Risk Management Applications; Environmetrics; Stochastic Processes with applications to Hydrology and Climatology; Sampling Theory

 

Honours and Achievements

1. Outstanding Research Supervisor Award, University of Hong Kong (1999-2000)
2. Outstanding Researcher Award, University of Hong Kong (2001-2002)
3. Croucher Foundation Senior Research Fellow, Croucher Foundation (2003-2004)
4. Elected Member, International Statistical Institute (1991)
5. Elected Fellow, American Statistical Association (2003)
6. Elected Fellow, Institute of Mathematical Statistics (2006)
7. Honorary Member, Hong Kong Statistical Society, conferred March, 2009
8. Long Service Award for over 25 years of service, University of Hong Kong, conferred June, 2009
9. Outstanding Service Award, International Chinese Statistical Association, conferred August, 2009
10. HKU Scholars as ranked in the world’s top 1% for 4 successive years 2009-2012 by Thomson Reuters according to Essential Science Indicators
11. Nominated for the State Natural Science Award 2016 (second class) by the HKSAR Government.

Published(accepted) 148 refereed journal articles, 27 of these appeared in the top 4 journals of Statistics, 3 in the top 3 journals of Actuarial Science, 6 in the top 3 journals of econometrics. I also published a single authored monograph under Chapman & Hall. All reviews by top statistical journals are favourable. (Top 4 in Stat: Annals of Stat.; J. Royal Statist. Soc. B; J. Amer. Statist. Assoc.; Biometrika. Top 3 in Actuarial Sci: Insurance: math & econ.;Astin Bulletin; Scand. Actuarial Journal. Top 3 in Econometrics: Econometrica; J. Econometrics; Econometric Theory)

The following papers of mine have been listed as HKU’s most cited (within first 50) in Scopus (2016) under the categories of Mathematics, Decision Science and Economics & Finance.

1. Recent Theoretical Results for Time Series Models with GARCH Errors. (2002 J. Econ. Survey)
2. On Mixture Autoregressive Models. (2000, J. Roy. Statist. Soc. B)
3. On Fractionally Integrated Autoregressive Moving-Average Time Series Models with Conditional Heteroscedastcity. (1997, J. Amer. Statist. Assoc.)
4. On a Double Threshold Autoregressive Heteroscedastic Time Series Model. (1996, J. Appl. Econometrics)
5. Fractional Time Series Modelling.(1986, Biometrika)

 

Selected Recent Publications

1. A New Hyperbolic GARCH Model. Journal of Econometrics, (2015), 189, 428-436. (with MY Li and GD Li)
2. Hysteretic Autoregressive Time Series Models. Biometrika, (2015), 102, 717-723. (with GD Li, B Guan and Philip L. H. Yu)
3. A New Pearson-Type QMLE for Conditionally Heteroskedastic Models. Journal of Business and Economic Statistics, (2015), 33, 552-565.(with K Zhu)
4. A Bootstrapped Spectral Test for Adequacy in Weak ARMA Models. Journal of Econometrics, (2015), 187, 113-130. (with K Zhu)
5. Self-Excited Threshold Poisson Autoregression. Journal of the American Statistical Association, (2014), 109, 777-787. (with C Wang, H Liu, JF Yao and R. A. Davis)

 

Departmental achievements during my recent headship

1. The QS world ranking by subject for HKU Statistics rose from 26th in 2011 to 20th in 2017.
2. HKU is ranked No. 1 in Asia and No. 10 worldwide in a publication of the official journal of the Society of Actuaries, North American Actuarial Journal (2013 Vol. 17, 3-12), in terms of publication pages in the actuarial journals included in the study over a 30-year period from 1982 to 2011.
3. The Department of Statistics and Actuarial Science was designated as a Center of Actuarial Excellence by the Society of Actuaries on 15 December 2011 (renewed December 2016). The designation is awarded for a period of five years to schools which demonstrate excellence in actuarial science through meeting strict criteria in quality of curriculum, number and quality of graduates, qualified faculty, strong ties to business, and beneficial research and scholarship.

 

Employment Experience

Academic: Chair Professor, Department of Statistics & Actuarial Science, University of Hong Kong, Hong Kong, July 2000 - present.
Professor (Reader), Department of Statistics & Actuarial Science, University of Hong Kong, Hong Kong, July 1995 - June 2000.
Senior Lecturer, Department of Statistics, University of Hong Kong, Hong Kong, 1st January, 1991 - June, 1995.
Lecturer, Department of Statistics, University of Hong Kong, Hong Kong, September 1983 - December 1990, (tenured since 1985).
Lecturer, Department of Economics and Statistics, National University of Singapore, Republic of Singapore, September 1981 - August 1983.

Administrative: Head, Department of Statistics and Actuarial Science, HKU, 1st January 1997 – 31st December, 1999, 1st January 2006 – 31st December, 2008; 1st September, 2011 - 31st August, 2017.
Director, Big Data Research Cluster, Faculty of Science, HKU, Sept. 2016 – June, 2019.
Chairman of Conference/Travel Grant Sub-group, HKU, Sept., 2011 – Dec., 2017.
Chairman, Promotion & Tenure Panel, Faculty of Engineering, HKU, Nov. 2015 – Aug. 2017.

 

Selected Professional Services

1. Panel member of the Physical Science Panel, Research Grants Council (RGC) of HKSAR from September 4, 2008 to June 30, 2014.
2. Chairman, Professional Affairs Committee, Hong Kong Statistical Society, since 2003.
3. Member, Statistics Advisory Board, Secretary for Financial Services, HKSAR Government, June 2002 – June 2008.
4. President for the Hong Kong Statistical Society: 2000 – 2003 (3 successive sessions).

 

Selected Conferences Participation

1. Invited Senior Speaker, Non-likelihood Based Statistical Modelling Workshop, University of Warwick, UK, 7-9 September, 2015.
2. Invited Speaker, Nonlinear Time Series Analysis: Thresholding and Beyond, London School of Economics and Political Science, Sept., 19-20, 2014.
3. Invited Speaker, Institute of Mathematical Statistics - Asia Pacific Rim Meeting (IMS-APRM) 2014, National Taiwan University, June 30 – July 4, 2014.
4. Plenary Speaker, Fourth Singapore Conference on Statistical Science, National University of Singapore, Feb 6-7, 2014.
5. Chairman, Local Organising Committee, Young Statistician Meeting YSI2013, August 23-24, 2013, HKU, a satellite event of the 59th World Statistics Congress (The biennial flagship conference of the International Statistical Institute).

 

Selected Consultation/Contracted Research

1. Analysis of the Relationship between Marine Water Quality parameters and Climatic and Other Environmental Factors. HKSAR Government Environmental Protection Department. (HK$ 515,000; PI: 01/2012-10/2012)
2. A US$37,000 contract from Microsoft to develop software on financial risk management for the C# environment (Co-I: 2004-2005).
3. A HK$600,000 contract with Hong Kong Exchanges and Clearing Ltd. on risk management (PI: 2002-2003).
4. A HK$200,000 contract with Hong Kong Monetary Authority for developing Economic & Financial Indicators (PI: 2002-2003).

 

Recent HKRGC GRF

Hong Kong Research Grants Council GRF 17303315, “On the Generalized Conditional Wishart Process and Its Extensions”, HKD 631,972, 2015-2018. (Principal Investigator)