IDEAS home Printed from https://ideas.repec.org/f/pto294.html
   My authors  Follow this author

Howell Tong

Personal Details

First Name:Howell
Middle Name:
Last Name:Tong
Suffix:
RePEc Short-ID:pto294
[This author has chosen not to make the email address public]

Affiliation

London School of Economics (LSE)

London, United Kingdom
http://www.lse.ac.uk/
RePEc:edi:lsepsuk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters Books

Working papers

  1. Zihan Wang & Xinghao Qiao & Dong Li & Howell Tong, 2025. "On a new robust method of inference for general time series models," Papers 2503.08655, arXiv.org.
  2. Zhang, Xinyu & Li, Dong & Tong, Howell, 2023. "On the least squares estimation of multiple-threshold-variable autoregressive models," LSE Research Online Documents on Economics 118377, London School of Economics and Political Science, LSE Library.
  3. Zhang, Xinyu & Tong, Howell, 2022. "Asymptotic theory of principal component analysis for time series data with cautionary comments," LSE Research Online Documents on Economics 113566, London School of Economics and Political Science, LSE Library.
  4. Greta Goracci & Simone Giannerini & Kung-Sik Chan & Howell Tong, 2021. "Testing for threshold effects in the TARMA framework," Papers 2103.13977, arXiv.org.
  5. Kung-Sik Chan & Simone Giannerini & Greta Goracci & Howell Tong, 2020. "Testing for threshold regulation in presence of measurement error with an application to the PPP hypothesis," Papers 2002.09968, arXiv.org, revised Nov 2021.
  6. Wong, Shiu Fung & Tong, Howell & Siu, Tak Kuen & Lu, Zudi, 2017. "A new multivariate nonlinear time series model for portfolio risk measurement: the threshold copula-based TAR approach," LSE Research Online Documents on Economics 78515, London School of Economics and Political Science, LSE Library.
  7. Li, Dong & Tong, Howell, 2016. "Nested sub-sample search algorithm for estimation of threshold models," LSE Research Online Documents on Economics 68880, London School of Economics and Political Science, LSE Library.
  8. Ling, S. & McAleer, M.J. & Tong, H., 2015. "Frontiers in Time Series and Financial Econometrics," Econometric Institute Research Papers EI 2015-07, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  9. Shiqing Ling & Michael McAleer & Howell Tong, 2015. "Frontiers in Time Series and Financial Econometrics: An Overview," Tinbergen Institute Discussion Papers 15-026/III, Tinbergen Institute.
  10. Dong, Chaohua & Gao, Jiti & Tong, Howell, 2006. "Semiparametric penalty function method in partially linear model selection," MPRA Paper 11975, University Library of Munich, Germany, revised Aug 2006.
  11. Wolff, Rodney C. & Yao, Qiwei & Tong, Howell, 2004. "Statistical tests for Lyapunov exponents of deterministic systems," LSE Research Online Documents on Economics 154, London School of Economics and Political Science, LSE Library.
  12. Zhang, Wenyang & Yao, Qiwei & Tong, Howell & Stenseth, Nils Chr, 2003. "Smoothing for spatiotemporal models and its application to modeling Muskrat-Mink interaction," LSE Research Online Documents on Economics 5832, London School of Economics and Political Science, LSE Library.
  13. Gao, Jiti & Tong, Howell, 2002. "Nonparametric and semiparametric regression model selection," MPRA Paper 11987, University Library of Munich, Germany, revised Feb 2004.
  14. Tong, Howell & Stenseth, Nils Chr & Yao, Qiwei, 2002. "Nonlinear time series modelling of highly fluctuating biological population over space - main results," LSE Research Online Documents on Economics 24149, London School of Economics and Political Science, LSE Library.
  15. Yao, Qiwei & Yang, Wengyan & Tong, Howell, 2001. "Bootstrap estimation of actual significance levels for tests based on estimated nuisance parameters," LSE Research Online Documents on Economics 6103, London School of Economics and Political Science, LSE Library.
  16. Tong, Howell & Yao, Qiwei, 2000. "Nonparametric estimation of ratios of noise to signal in stochastic regression," LSE Research Online Documents on Economics 6324, London School of Economics and Political Science, LSE Library.
  17. Yao, Qiwei & Tong, Howell & Finkenstädt, Bärbel & Stenseth, Nils Chr, 2000. "Common structure in panels of short time series," LSE Research Online Documents on Economics 6325, London School of Economics and Political Science, LSE Library.
  18. Tong, Howell & Yao, Qiwei, 1998. "Cross-validatory bandwidth selection for regression estimation based on dependent data," LSE Research Online Documents on Economics 6380, London School of Economics and Political Science, LSE Library.
  19. Yao, Qiwei & Tong, Howell, 1998. "A bootstrap detection for operational determinism," LSE Research Online Documents on Economics 6697, London School of Economics and Political Science, LSE Library.
  20. Fan, Jianqing & Yao, Qiwei & Tong, Howell, 1996. "Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems," LSE Research Online Documents on Economics 6704, London School of Economics and Political Science, LSE Library.
  21. Yao, Qiwei & Tong, Howell, 1996. "Asymmetric least squares regression estimation: a nonparametric approach," LSE Research Online Documents on Economics 19423, London School of Economics and Political Science, LSE Library.
  22. Yao, Qiwei & Tong, Howell, 1995. "On initial-condition sensitivity and prediction in nonlinear stochastic systems," LSE Research Online Documents on Economics 6402, London School of Economics and Political Science, LSE Library.
  23. Yao, Qiwei & Tong, Howell, 1994. "On subset selection in non-parametric stochastic regression," LSE Research Online Documents on Economics 6409, London School of Economics and Political Science, LSE Library.
  24. Yao, Qiwei & Tong, Howell, 1994. "Quantifying the influence of initial values on nonlinear prediction," LSE Research Online Documents on Economics 19426, London School of Economics and Political Science, LSE Library.
  25. Tong, Howell & Yao, Qiwei, 1994. "On prediction and chaos in stochastic systems," LSE Research Online Documents on Economics 6410, London School of Economics and Political Science, LSE Library.
    repec:qut:dpaper:167 is not listed on IDEAS
    repec:qut:dpaper:208i is not listed on IDEAS
    repec:qut:dpaper:208k is not listed on IDEAS

Articles

  1. Xinyu Zhang & Dong Li & Howell Tong, 2024. "On the Least Squares Estimation of Multiple-Threshold-Variable Autoregressive Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(1), pages 215-228, January.
  2. Xinyu Zhang & Howell Tong, 2022. "Asymptotic theory of principal component analysis for time series data with cautionary comments," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 185(2), pages 543-565, April.
  3. Dong Li & Howell Tong, 2020. "On An Absolute Autoregressive Model And Skew Symmetric Distributions," Statistica, Department of Statistics, University of Bologna, vol. 80(2), pages 177-198.
  4. Dong Li & Shiqing Ling & Howell Tong & Guangren Yang, 2019. "On Brownian Motion Approximation Of Compound Poisson Processes With Applications To Threshold Models," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(2), pages 164-191, June.
  5. Tata Subba Rao & Granville Tunnicliffe Wilson & Shiu Fung Wong & Howell Tong & Tak Kuen Siu & Zudi Lu, 2017. "A New Multivariate Nonlinear Time Series Model for Portfolio Risk Measurement: The Threshold Copula-Based TAR Approach," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(2), pages 243-265, March.
  6. Tong, Howell, 2015. "Threshold models in time series analysis—Some reflections," Journal of Econometrics, Elsevier, vol. 189(2), pages 485-491.
  7. Ling, Shiqing & McAleer, Michael & Tong, Howell, 2015. "Frontiers in Time Series and Financial Econometrics: An overview," Journal of Econometrics, Elsevier, vol. 189(2), pages 245-250.
  8. Howell Tong, 2012. "Discussion of ‘An analysis of global warming in the Alpine region based on nonlinear nonstationary time series models’ by Battaglia and Protopapas," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 21(3), pages 335-339, August.
  9. Na Song & Tak Kuen Siu & Wa‐Ki Ching & Howell Tong & Hailiang Yang, 2012. "Asset allocation under threshold autoregressive models," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 28(1), pages 60-72, January.
  10. Pan, Jiazhu & Wang, Hui & Tong, Howell, 2008. "Estimation and tests for power-transformed and threshold GARCH models," Journal of Econometrics, Elsevier, vol. 142(1), pages 352-378, January.
  11. Chan, W. S. & Ng, M. W. & Tong, H., 2006. "On a Simple Graphical Approach to Modelling Economic Fluctuations with an Application to United Kingdom Price Inflation, 1265 to 2005," Annals of Actuarial Science, Cambridge University Press, vol. 1(1), pages 103-128, March.
  12. Kung-Sik Chan & Lop-Hing Ho & Howell Tong, 2006. "A note on time-reversibility of multivariate linear processes," Biometrika, Biometrika Trust, vol. 93(1), pages 221-227, March.
  13. Jiti Gao & Howell Tong, 2004. "Semiparametric non‐linear time series model selection," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 66(2), pages 321-336, May.
  14. Tak Kuen Siu & Howell Tong & Hailiang Yang, 2004. "On Pricing Derivatives Under GARCH Models: A Dynamic Gerber-Shiu Approach," North American Actuarial Journal, Taylor & Francis Journals, vol. 8(3), pages 17-31, July.
  15. Wai-Sum Chan & Albert Wong & Howell Tong, 2004. "Some Nonlinear Threshold Autoregressive Time Series Models for Actuarial Use," North American Actuarial Journal, Taylor & Francis Journals, vol. 8(4), pages 37-61.
  16. Tak Siu & Howell Tong & Hailiang Yang, 2004. "On Bayesian Value at Risk: From Linear to Non-Linear Portfolios," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 11(2), pages 161-184, June.
  17. Wolff Rodney & Yao Qiwei & Tong Howell, 2004. "Statistical Tests for Lyapunov Exponents of Deterministic Systems," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(2), pages 1-19, May.
  18. K. S. Chan & H. Tong & N. Chr. Stenseth, 2004. "Testing for Common Structures in a Panel of Threshold Models," Biometrics, The International Biometric Society, vol. 60(1), pages 225-232, March.
  19. Wenyang Zhang & Qiwei Yao & Howell Tong & Nils Chr. Stenseth, 2003. "Smoothing for Spatiotemporal Models and Its Application to Modeling Muskrat-Mink Interaction," Biometrics, The International Biometric Society, vol. 59(4), pages 813-821, December.
  20. Gao, Jiti & Tong, Howell & Wolff, Rodney, 2002. "Model Specification Tests in Nonparametric Stochastic Regression Models," Journal of Multivariate Analysis, Elsevier, vol. 83(2), pages 324-359, November.
  21. Yingcun Xia & Howell Tong & W. K. Li & Li‐Xing Zhu, 2002. "An adaptive estimation of dimension reduction space," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(3), pages 363-410, August.
  22. Tak Kuen Siu & Howell Tong & Hailiang Yang, 2001. "Bayesian Risk Measures for Derivatives via Random Esscher Transform," North American Actuarial Journal, Taylor & Francis Journals, vol. 5(3), pages 78-91.
  23. Y. Xia & H. Tong & W. K. Li & L.‐X. Zhu, 2000. "On the estimation of an instantaneous transformation for time series," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 62(2), pages 383-397.
  24. J.‐P Stockis & H. Tong, 1998. "On the statistical inference of a machine‐generated autoregressive AR(1) model," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 60(4), pages 781-798.
  25. H. Tong, 1996. "13. Chaotic Dynamics: Theory and Applications to Economics," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 159(2), pages 352-353, March.
  26. Howell Tong, 1995. "1. Networks and Chaos—Statistical and Probabilistic Aspects," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 158(3), pages 629-630, May.
  27. Cheng, B. & Tong, H., 1993. "On residual sums of squares in non-parametric autoregression," Stochastic Processes and their Applications, Elsevier, vol. 48(1), pages 157-174, October.
  28. A. Sorour & H. Tong, 1993. "A Note on Tests for Threshold‐Type Non‐Linearity in Open Loop Systems," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 42(1), pages 95-104, March.
  29. Howell Tong & Iris Yeung, 1991. "On Tests for Self‐Exciting Threshold Autoregressive‐Type Non‐Linearity in Partially Observed Time Series," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 40(1), pages 43-62, March.
  30. R. Moeanaddin & Howell Tong, 1990. "Numerical Evaluation Of Distributions In Non‐Linear Autoregression," Journal of Time Series Analysis, Wiley Blackwell, vol. 11(1), pages 33-48, January.
  31. K. S. Chan & H. Tong, 1987. "A Note On Embedding A Discrete Parameter Arma Model In A Continuous Parameter Arma Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 8(3), pages 277-281, May.
  32. K. S. Chan & H. Tong, 1986. "On Estimating Thresholds In Autoregressive Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 7(3), pages 179-190, May.
  33. Wang Shou‐Ren & An Hong‐Zhi & H. Tong, 1983. "On The Distribution Of A Simple Stationary Bilinear Process," Journal of Time Series Analysis, Wiley Blackwell, vol. 4(3), pages 209-216, May.
  34. K. S. Lim & H. Tong, 1983. "A Statistical Approach To Difference‐Delay Equation Modelling In Ecology–Two Case Studies1," Journal of Time Series Analysis, Wiley Blackwell, vol. 4(4), pages 239-267, July.
  35. H. Tong, 1982. "A Note On Using Threshold Autoregressive Models For Multi‐Step‐Ahead Prediction Of Cyclical Data," Journal of Time Series Analysis, Wiley Blackwell, vol. 3(2), pages 137-140, March.
  36. D. K. Ghaddar & H. Tong, 1981. "Data Transformation and Self‐Exciting Threshold Autoregression," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 30(3), pages 238-248, November.
  37. H. Tong, 1981. "A Note On A Markov Bilinear Stochastic Process In Discrete Time," Journal of Time Series Analysis, Wiley Blackwell, vol. 2(4), pages 279-284, July.
  38. J. Pemberton & H. Tong, 1981. "A Note On The Distributions Of Non‐Linear Autoregressive Stochastic Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 2(1), pages 49-52, January.
  39. W.‐Y. T. Chan & H. Tong, 1975. "A Simulation Study of the Estimation of Evolutionary Spectral Functions," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 24(3), pages 333-341, November.

Chapters

  1. Bing Cheng & Howell Tong, 2008. "Algebra of Stochastic Discount Factors — The Structural Theory of Asset Pricing (Part II)," World Scientific Book Chapters, in: Asset Pricing A Structural Theory and Its Applications, chapter 3, pages 31-56, World Scientific Publishing Co. Pte. Ltd..
  2. Bing Cheng & Howell Tong, 2008. "Investment and Consumption in a Multi-period Framework," World Scientific Book Chapters, in: Asset Pricing A Structural Theory and Its Applications, chapter 4, pages 57-69, World Scientific Publishing Co. Pte. Ltd..
  3. Bing Cheng & Howell Tong, 2008. "Introduction to Modern Asset Pricing," World Scientific Book Chapters, in: Asset Pricing A Structural Theory and Its Applications, chapter 1, pages 1-12, World Scientific Publishing Co. Pte. Ltd..
  4. Bing Cheng & Howell Tong, 2008. "A Structural Theory of Asset Pricing and the Equity Premium Puzzle," World Scientific Book Chapters, in: Asset Pricing A Structural Theory and Its Applications, chapter 2, pages 13-29, World Scientific Publishing Co. Pte. Ltd..

Books

  1. Bing Cheng & Howell Tong, 2008. "Asset Pricing:A Structural Theory and Its Applications," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6341.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 9 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (6) 2017-11-26 2017-12-03 2020-03-23 2021-04-05 2023-02-20 2024-03-25. Author is listed
  2. NEP-ETS: Econometric Time Series (6) 2015-04-25 2015-05-16 2020-03-23 2021-04-05 2023-02-20 2024-03-25. Author is listed
  3. NEP-ORE: Operations Research (3) 2015-05-16 2016-03-06 2017-11-26
  4. NEP-FOR: Forecasting (1) 2015-05-16
  5. NEP-RMG: Risk Management (1) 2017-11-26

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Howell Tong should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.