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subject:"Estimation"
subject:"Volatilität"
~person:"Cai, Zongwu"
~subject:"Nichtparametrisches Verfahren"
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Estimation
Volatilität
Nichtparametrisches Verfahren
Estimation theory
65
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65
Nonparametric statistics
36
Regression analysis
27
Regressionsanalyse
27
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23
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16
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16
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15
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15
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12
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12
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11
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8
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8
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7
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7
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5
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5
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5
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5
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5
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Cai, Zongwu
Gao, Jiti
89
Linton, Oliver
89
Chen, Xiaohong
69
Härdle, Wolfgang
57
Li, Qi
43
Pesaran, M. Hashem
42
Phillips, Peter C. B.
42
Newey, Whitney K.
41
Su, Liangjun
39
Otsu, Taisuke
37
Kapetanios, George
36
Hoderlein, Stefan
35
Horowitz, Joel
35
Li, Degui
34
Simar, Léopold
34
Florens, Jean-Pierre
33
Racine, Jeffrey
33
Diebold, Francis X.
29
Escanciano, Juan Carlos
29
Kristensen, Dennis
29
Lewbel, Arthur
29
Ichimura, Hidehiko
27
Koopman, Siem Jan
27
Lechner, Michael
27
Vella, Francis
27
Mammen, Enno
26
Ullah, Aman
26
Van Keilegom, Ingrid
26
Heckman, James J.
25
Henderson, Daniel J.
25
Kumbhakar, Subal
25
Chernozhukov, Victor
24
Dette, Holger
24
Koop, Gary
24
Linton, Oliver B.
24
Peng, Bin
24
Robinson, Peter M.
24
Hu, Yingyao
23
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23
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
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Working papers series in theoretical and applied economics
22
Journal of econometrics
7
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4
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3
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2
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2
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ECONIS (ZBW)
43
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1
A functional-coefficient VAR model for dynamic quantiles and its application to constructing nonparametric financial network
Cai, Zongwu
;
Liu, Xiyuan
;
Su, Liangjun
-
2024
Persistent link: https://www.econbiz.de/10014521096
Saved in:
2
A combination forecast for nonparametric models with structural breaks
Cai, Zongwu
;
Gunawan
-
2023
Persistent link: https://www.econbiz.de/10014414260
Saved in:
3
Penalized model averaging for high dimensional quantile regressions
Bao, Haowen
;
Cai, Zongwu
;
Sun, Yuying
-
2023
Persistent link: https://www.econbiz.de/10014280711
Saved in:
4
A quasi synthetic control method for nonlinear models
Cai, Zongwu
;
Fang, Ying
;
Lin, Ming
;
Wu, Zixuan
-
2023
Persistent link: https://www.econbiz.de/10014280802
Saved in:
5
Estimating quantile treatment effects for panel data
Cai, Zongwu
;
Fang, Ying
;
Lin, Ming
;
Zhan, Mingfeng
-
2022
Persistent link: https://www.econbiz.de/10012888248
Saved in:
6
A new test on asset return predictability with structural breaks
Cai, Zongwu
;
Chang, Seong Yeon
-
2022
Persistent link: https://www.econbiz.de/10012888261
Saved in:
7
A nonparametric dynamic network via multivariate quantile autoregressions
Cai, Zongwu
;
Liu, Xiyuan
-
2022
Persistent link: https://www.econbiz.de/10013283992
Saved in:
8
The distribution of rolling regression estimators
Cai, Zongwu
;
Juhl, Ted
-
2022
Persistent link: https://www.econbiz.de/10014280636
Saved in:
9
Testing conditional independence in macroeconomic policy evaluation for time series data
Fang, Ying
;
Lin, Ming
;
Tang, Shengfang
;
Cai, Zongwu
-
2021
Persistent link: https://www.econbiz.de/10012663950
Saved in:
10
Solving the price puzzle via a functional coefficient factor-augmented VAR model
Cai, Zongwu
;
Liu, Xiyuan
-
2021
Persistent link: https://www.econbiz.de/10012602647
Saved in:
11
Semiparametric estimation and model selection for conditional mixture copula models
Liu, Guannan
;
Long, Wei
;
Yang, Bingduo
;
Cai, Zongwu
-
2021
Persistent link: https://www.econbiz.de/10012425393
Saved in:
12
The distribution of rolling regression estimators
Cai, Zongwu
;
Juhl, Ted
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1447-1463
Persistent link: https://www.econbiz.de/10014471400
Saved in:
13
Testing unconfoundedness assumption using auxiliary variables
Cai, Zongwu
;
Fang, Ying
;
Lin, Ming
;
Tang, Shengfang
-
2020
Persistent link: https://www.econbiz.de/10012203144
Saved in:
14
Inferences for partially conditional quantile treatment effect model
Cai, Zongwu
;
Fang, Ying
;
Lin, Ming
;
Tang, Shengfang
-
2020
Persistent link: https://www.econbiz.de/10012203152
Saved in:
15
Covariate balance weighting methods in estimating treatment effects : an empirical comparison
Zhan, Mingfeng
;
Cai, Zongwu
;
Fang, Ying
;
Lin, Ming
-
2020
Persistent link: https://www.econbiz.de/10012425290
Saved in:
16
Estimating partially conditional quantile treatment effects
Cai, Zongwu
;
Fang, Ying
;
Lin, Ming
;
Tang, Shengfang
-
2020
Persistent link: https://www.econbiz.de/10012425391
Saved in:
17
Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence
Cai, Zongwu
;
Fang, Ying
;
Xu, Qiuhua
-
2020
Persistent link: https://www.econbiz.de/10012312745
Saved in:
18
Testing financial hierarchy based on a PDQ-CRE model
Cai, Zongwu
;
Shi, Meng
;
Wu, Wuqing
;
Zhao, Yue
-
2020
Persistent link: https://www.econbiz.de/10012312789
Saved in:
19
The distribution of rolling regression estimators
Cai, Zongwu
;
Juhl, Ted
-
2020
Persistent link: https://www.econbiz.de/10012312838
Saved in:
20
Realized volatility forecasting based on dynamic quantile model averaging
Cai, Zongwu
;
Ma, Chaoqun
;
Mi, Xianhua
-
2020
Persistent link: https://www.econbiz.de/10012312856
Saved in:
21
A functional-coefficient VAR model for dynamic quantiles with constructing financial network
Cai, Zongwu
;
Liu, Xiyuan
-
2020
Persistent link: https://www.econbiz.de/10012312878
Saved in:
22
Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence
Cai, Zongwu
;
Fang, Ying
;
Xu, Qiuhua
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 114-133
Persistent link: https://www.econbiz.de/10013441628
Saved in:
23
Testing unconfoundedness assumption using auxiliary variables
Cai, Zongwu
;
Fang, Ying
;
Lin, Ming
;
Tang, Shengfang
-
2019
Persistent link: https://www.econbiz.de/10012203003
Saved in:
24
Assessing tail risk using expectile regressions with partially varying coefficients
Cai, Zongwu
;
Fang, Ying
;
Tian, Dingshi
-
2018
Persistent link: https://www.econbiz.de/10011965749
Saved in:
25
Semiparametric inferences for panel data models with fixed effects via nearest neighbor difference transformation
Xu, Qiuhua
;
Cai, Zongwu
;
Fang, Ying
- In:
Econometric reviews
40
(
2021
)
10
,
pp. 919-943
Persistent link: https://www.econbiz.de/10012624566
Saved in:
26
Inferences for a partially varying coefficient model with endogenous regressors
Cai, Zongwu
;
Fang, Ying
;
Lin, Ming
;
Su, Jia
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
1
,
pp. 158-170
Persistent link: https://www.econbiz.de/10012176567
Saved in:
27
The estimation for Lévy processes in high frequency data
Zheng, Jing
;
Gu, Wentao
;
Xu, Baolin
;
Cai, Zongwu
- In:
Econometric reviews
37
(
2018
)
6/10
,
pp. 1051-1066
Persistent link: https://www.econbiz.de/10012040536
Saved in:
28
A semiparametric quantile panel data model with an application to estimating the growth effect of FDI
Cai, Zongwu
;
Chen, Linna
;
Fang, Ying
- In:
Journal of econometrics
206
(
2018
)
2
,
pp. 531-553
Persistent link: https://www.econbiz.de/10012110412
Saved in:
29
A consistent nonparametric test on semiparametric smooth coefficient models with integrated time series
Sun, Yiguo
;
Cai, Zongwu
;
Li, Qi
- In:
Econometric theory
32
(
2016
)
4
,
pp. 988-1022
Persistent link: https://www.econbiz.de/10011644226
Saved in:
30
A semiparametric conditional capital asset pricing model
Cai, Zongwu
;
Ren, Yu
;
Yang, Bingduo
- In:
Journal of banking & finance
61
(
2015
),
pp. 117-126
Persistent link: https://www.econbiz.de/10011545159
Saved in:
31
Semiparametric estimation of partially varying-coefficient dynamic panel data models
Cai, Zongwu
;
Chen, Linna
;
Fang, Ying
- In:
Econometric reviews
34
(
2015
)
6/10
,
pp. 695-719
Persistent link: https://www.econbiz.de/10011483372
Saved in:
32
Optimal smoothing in nonparametric conditional quantile derivative function estimation
Lin, Wei
;
Cai, Zongwu
;
Li, Zheng
;
Su, Li
- In:
Journal of econometrics
188
(
2015
)
2
,
pp. 502-513
Persistent link: https://www.econbiz.de/10011503661
Saved in:
33
Pricing kernel estimation : a local estimating equation approach
Cai, Zongwu
;
Ren, Yu
;
Sun, Linman
- In:
Econometric theory
31
(
2015
)
3
,
pp. 560-580
Persistent link: https://www.econbiz.de/10011341909
Saved in:
34
Pricing kernel estimation : a local estimating equation approach
Cai, Zongwu
;
Ren, Yu
;
Sun, Linman
- In:
Econometric theory
31
(
2015
)
3
,
pp. 560-580
Persistent link: https://www.econbiz.de/10011290889
Saved in:
35
Semiparametric functional coefficient models with integrated covariates
Sun, Yiguo
;
Cai, Zongwu
;
Li, Qi
- In:
Econometric theory
29
(
2013
)
3
,
pp. 659-672
Persistent link: https://www.econbiz.de/10009778490
Saved in:
36
Semiparametric quantile regression estimation in dynamic models with partially varying coefficients
Cai, Zongwu
;
Xiao, Zhijie
- In:
Journal of econometrics
167
(
2012
)
2
,
pp. 413-425
Persistent link: https://www.econbiz.de/10009612844
Saved in:
37
Nonparametric methods on continuous-time finance : a selective review
Cai, Zongwu
(
contributor
);
Hong, Yongmiao
(
contributor
)
-
2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001919184
Saved in:
38
Some recent developments on nonparametric econometrics
Cai, Zongwu
;
Gu, Jingping
;
Li, Qi
- In:
Nonparametric econometric methods
,
(pp. 495-549)
.
2010
Persistent link: https://www.econbiz.de/10009558788
Saved in:
39
Some recent developments in nonparametric finance
Cai, Zongwu
;
Hong, Yongmiao
- In:
Nonparametric econometric methods
,
(pp. 379-442)
.
2010
Persistent link: https://www.econbiz.de/10010216418
Saved in:
40
Functional-coefficient models for nonstationary time series data
Cai, Zongwu
;
Li, Qi
;
Park, Joon Y.
- In:
Journal of econometrics
148
(
2009
)
2
,
pp. 101-113
Persistent link: https://www.econbiz.de/10003833742
Saved in:
41
Nonparametric quantile estimations for dynamic smooth coefficient models
Cai, Zongwu
;
Xu, Xiaoping
- In:
Journal of the American Statistical Association : JASA
104
(
2009
)
485
,
pp. 371-383
Persistent link: https://www.econbiz.de/10003878203
Saved in:
42
Nonparametric quantile estimations for dynamic smooth coefficient models
Cai, Zongwu
;
Xu, Xiaoping
- In:
Journal of the American Statistical Association : JASA
103
(
2008
)
484
,
pp. 1595-1608
Persistent link: https://www.econbiz.de/10003815309
Saved in:
43
Functional coefficient instrumental variables models
Cai, Zongwu
;
Das, Mitali
;
Xiong, Huaiyu
;
Wu, Xizhi
- In:
Journal of econometrics
133
(
2006
)
1
,
pp. 207-241
Persistent link: https://www.econbiz.de/10003354575
Saved in:
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