Email

deguili@um.edu.mo

Tel

+853 8822-8954

Office

E22-4046
Faculty of Business Administration
University of Macau, E22
Avenida da Universidade,
Taipa, Macau, China

Personal Wesbite

https://sites.google.com/
site/deguiliswebsite/home

CV

English
https://fba.um.edu.mo/wp-content
/uploads/2024/12/Li_CV.pdf

Chinese
https://fba.um.edu.mo/wp-content/
uploads/2024/12/brief-CV-Chinese.pdf

Distinguished Professor of Business Economics
Associate Dean (Research and Development)

Academic Qualifications

  • PhD, Zhejiang University, 2008

Related Working Experiences

  • 2018—2024: Professor, University of York, UK
  • 2016—2017: Reader, University of York, UK
  • 2013—2016: Lecturer, University of York, UK
  • 2011—2013: Research Fellow, Monash University, Australia
  • 2008—2010: Research Associate, University of Adelaide, Australia

Awards

  • 2023: Leverhulme Research Fellowship, The Leverhulme Trust
  • 2011: Discovery Early Career Researcher Award, Australian Research Council

Teaching

  • Econometric Analysis (PhD)
  • Advanced Time Series Analysis (PhD)
  • Statistics and Financial Econometrics (MSc)

Research Interests

  • Functional Data Analysis
  • High-Dimensional Econometrics & Statistics
  • High-Frequency Financial Econometrics
  • Network Modeling
  • Nonparametric & Semiparametric Econometrics
  • Panel Data Econometrics
  • Robust Statistics
  • Time Series Analysis

Selected Journal Papers

  1. Nonparametric estimation of large spot volatility matrices for high-frequency financial data (with R. Bu, O. Linton and H. Wang). Forthcoming in Econometric Theory (2025+). (ABS 4)
  2. Estimating time-varying networks for high-dimensional time series . Journal of Econometrics 249 (2025), 105941 (with J. Chen, Y. Li and O. Linton).  (ABS 4)
  3. Detection and estimation of structural breaks in high-dimensional functional time series. Annals of Statistics 52 (2024), 1716-1740, (with R. Li and H. Shang). (ABS 4*)
  4. Functional-coefficient quantile regression for panel data with latent group structure .  Journal of Business & Economic Statistics 42 (2024), 1026-1040 (with X. Yang, J. Chen and R. Li). (ABS 4)
  5. Dimension reduction and rotated MARS . Journal of Machine Learning Research 24 (309) (2023), 1-30 (with Y. Liu and Y. Xia).
  6. Detection of multiple structural breaks in large covariance matrices. Journal of Business and Economic Statistics 41 (2023), 846-861 (with Y. Li and P. Fryzlewicz). (ABS 4)
  7. Nonstationary fractionally integrated functional time series . Bernoulli 29 (2023), 1505-1526 (with P. M. Robinson and H. Shang).
  8. Robust nonlinear regression estimation in null recurrent time series.  Journal of Econometrics 224 (2021), 416-438 (with F. Bravo and D. Tjøstheim). (ABS 4)
  9. Local whittle estimation of long range dependence for functional time series. Journal of Time Series Analysis 42 (2021), 685-695 (with P. M. Robinson and H. Shang). (ABS 3)
  10. Nonparametric estimation of large covariance matrices with conditional sparsity. Journal of Econometrics 223 (2021), 53-72 (with H. Wang, B. Peng and C. Leng). (ABS 4)
  11. Nonparametric estimation of conditional quantile regression with mixed discrete and continuous data. Journal of Business & Economic Statistics 39 (2021), 741-756 (with Q. Li and Z. Li). (ABS 4)
  12. Long-range dependent curve time series. Journal of the American Statistical Association 115 (2020), 957-971 (with P. M. Robinson and H. Shang). (ABS 4)
  13. Kernel-based inference in time-varying coefficient cointegrating regression. Journal of Econometrics 215 (2020), 607-632 (with P.C.B. Phillips and J. Gao). (ABS 4)
  14. Nonparametric estimation of conditional quantile functions in the presence of irrelevant covariates. Journal of Econometrics 212 (2019), 433-450 (with X. Chen, Q. Li and Z. Li). (ABS 4)
  15. A new semiparametric estimation approach of large dynamic covariance matrices with multiple conditioning variables. Journal of Econometrics 212 (2019), 155-176 (with J. Chen and O. Linton). (ABS 4)
  16. Semiparametric ultra-high dimensional model averaging of nonlinear dynamic time series. Journal of the American Statistical Association 113 (2018), 919-932 (with J. Chen, O. Linton and Z. Lu). (ABS 4)
  17. Nonparametric estimation and forecasting of time-varying coefficient realized volatility models. Journal of Business and Economic Statistics 36 (2018), 88-100 (with X. B. Chen, J. Gao and P. Silvapulle). (ABS 4)
  18. Estimating smooth structural change in cointegration models. Journal of Econometrics 196 (2017), 180-195 (with P. C. B. Phillips and J. Gao). (ABS 4)
  19. Panel data models with interactive fixed effects and multiple structural breaks. Journal of the American Statistical Association 111 (2016), 1804-1819 (with J. Qian and L. Su). (ABS 4)
  20. Estimation in nonlinear regression with Harris recurrent Markov chains. Annals of Statistics 44 (2016), 1957-1987 (with D. Tjøstheim and J. Gao). (ABS 4*)
  21. Semiparametric dynamic portfolio choice with multiple conditioning variables. Journal of Econometrics 194 (2016), 309-318 (with J. Chen, O. Linton and Z. Lu). (ABS 4)
  22. Uniform consistency of nonstationary kernel-weighted sample covariances for nonparametric regression. Econometric Theory 32 (2016), 655-685 (with P. C. B. Phillips and J. Gao). (ABS 4)
  23. Local composite quantile regression smoothing for Harris recurrent Markov processes. Journal of Econometrics 194 (2016), 44-56 (with R. Li). (ABS 4)
  24. Model selection and structure specification in ultra-high dimensional generalised semi-varying coefficient models. Annals of Statistics 43 (2015), 2676-2705 (with Y. Ke and W. Zhang). (ABS 4*)
  25. Uniform consistency for nonparametric estimators in null recurrent time series. Econometric Theory 31 (2015), 911-952 (with J. Gao, S. Kanaya and D. Tjostheim). (ABS 4)
  26. Semiparametric GEE analysis of partially linear single-index models for longitudinal data. Annals of Statistics 43 (2015), 1682-1715 (with J. Chen, H. Liang and S. Wang). (ABS 4*)
  27. Estimation in generalised varying-coefficient models with unspecified link functions. Journal of Econometrics 187 (2015), 238-255 (with W. Zhang and Y. Xia).  (ABS 4)
  28. A flexible semiparametric forecasting model for time series. Journal of Econometrics 187 (2015), 345-357 (with O. Linton and Z. Lu). (ABS 4)
  29. Estimation in partially single-index panel data models with fixed effects. Journal of Business and Economic Statistics 31 (2013), 315-330 (with J. Chen and J. Gao). (ABS 4)
  30. Local linear fitting under near epoch dependence: uniform consistency with convergence rate. Econometric Theory 28 (2012), 935-958 (with Z. Lu and O. Linton). (ABS 4)
  31. A new diagnostic test for cross-section uncorrelatedness in nonparametric panel data models. Econometric Theory 28 (2012), 1144-1163 (with J. Chen and J. Gao). (ABS 4)
  32. Semiparametric trending regression in panel data models with cross-sectional dependence. Journal of Econometrics 171 (2012), 71-85 (with J. Chen and J. Gao). (ABS 4)
  33. Estimation in semiparametric regression with nonstationary regressors. Bernoulli 18 (2012), 678-702 (with J. Chen and J. Gao).

Editorialship/Society Membership

  • Co-Editor of Econometric Theory (2024-)
  • Associate Editor of Journal of Time Series Analysis (2021-)
  • Associate Editor of Econometrics & Statistics (2015-)
  • Associate Editor of Econometric Theory (2021-2024)