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Modeling volatility persistence of speculative returns: A new approach
Ding, Zhuanxin; Granger, Clive W.J. - In: Journal of econometrics 73 (1996) 1, pp. 185-216
Persistent link: https://www.econbiz.de/10006793819
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Varieties of long memory models
Granger, Clive W.J.; Ding, Zhuanxin - In: Journal of econometrics 73 (1996) 1, pp. 61-78
Persistent link: https://www.econbiz.de/10006793823
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THE PROFESSION - The Perils of Success
Christopherson, Jon; Ding, Zhuanxin; Greenwood, Paul - In: The journal of portfolio management : a publication of … 28 (2002) 2, pp. 41-54
Persistent link: https://www.econbiz.de/10006561343
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PORTFOLIO MANAGEMENT - Cross-Sectional Volatility and Return Dispersion - The recent huge increase in active manager dispersion corresponds to the rise in cross-sectional volatility.
Ankrim, Ernest M.; Ding, Zhuanxin - In: Financial analysts' journal : FAJ 58 (2002) 5, pp. 67-73
Persistent link: https://www.econbiz.de/10006262182
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Some Properties of Absolute Return: An Alternative Measure of Risk
Granger, C.W.J.; Ding, Zhuanxin - In: Annales d'économie et de statistique (1995) 40, pp. 67-92
Persistent link: https://www.econbiz.de/10007937068
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Spurious regressions between stationary generalized long memory processes
Sun, Yixiao - In: Economics letters 90 (2006) 3, pp. 446-454
Persistent link: https://www.econbiz.de/10006747805
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POWER MAXIMIZATION AND SIZE CONTROL IN HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS WITH EXPONENTIATED KERNELS
Sun, Yixiao; Phillips, Peter C.B.; Jin, Sainan - In: Econometric theory 27 (2011) 6, pp. 1320-1369
Persistent link: https://www.econbiz.de/10009804266
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Heteroskedasticity and spatiotemporal dependence robust inference for linear panel models with fixed effects
Kim, Min Seong; Sun, Yixiao - In: Journal of econometrics 177 (2013) 1, pp. 85-108
Persistent link: https://www.econbiz.de/10010171394
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Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing
Sun, Yixiao; Phillips, Peterc B.; Jin, Sainan - In: Econometrica : journal of the Econometric Society, an … 76 (2008) 1, pp. 175-194
Persistent link: https://www.econbiz.de/10007894538
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The Tobit model with a non-zero threshold
Carson, Richard T.; Sun, Yixiao - In: The econometrics journal 10 (2007) 3, pp. 488-502
Persistent link: https://www.econbiz.de/10007871621