Email

deguili@um.edu.mo

Tel

+853 8822-8954

Office

E22-4066
Faculty of Business Administration
University of Macau, E22
Avenida da Universidade,
Taipa, Macau, China

Personal Wesbite

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

CV

https://fba.um.edu.mo/wp-content/
uploads/2024/11/Li_CV.pdf

Distinguished Professor of Business Economics

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

  • Statistics and Financial Econometrics (BECO7010)

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 (2024+).
  2. Detection and estimation of structural breaks in high-dimensional functional time series (with R. Li and H. Shang). Forthcoming in Annals of Statistics (2024+).
  3. Estimating time-varying networks for high-dimensional time series (with J. Chen, Y. Li and O. Linton). Forthcoming in Journal of Econometrics (2024+).
  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).
  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).
  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).
  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).
  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).
  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).
  12. Long-range dependent curve time series. Journal of the American Statistical Association 115 (2020), 957-971 (with P. M. Robinson and H. Shang).
  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).
  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).
  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).
  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).
  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).
  18. Estimating smooth structural change in cointegration models. Journal of Econometrics 196 (2017), 180-195 (with P. C. B. Phillips and J. Gao).
  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).
  20. Estimation in nonlinear regression with Harris recurrent Markov chains. Annals of Statistics 44 (2016), 1957-1987 (with D. Tjøstheim and J. Gao).
  21. Semiparametric dynamic portfolio choice with multiple conditioning variables. Journal of Econometrics 194 (2016), 309-318 (with J. Chen, O. Linton and Z. Lu).
  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).
  23. Local composite quantile regression smoothing for Harris recurrent Markov processes. Journal of Econometrics 194 (2016), 44-56 (with R. Li).
  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).
  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).
  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).
  27. Estimation in generalised varying-coefficient models with unspecified link functions. Journal of Econometrics 187 (2015), 238-255 (with W. Zhang and Y. Xia).
  28. A flexible semiparametric forecasting model for time series. Journal of Econometrics 187 (2015), 345-357 (with O. Linton and Z. Lu).
  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).
  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).
  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).
  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).
  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)