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Nonparametric model validations for hidden Markov models with applications in financial econometrics
Zhao, Zhibiao - In: Journal of econometrics 162 (2011) 2, pp. 225-239
Persistent link: https://www.econbiz.de/10009270648
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Inference for local autocorrelations in locally stationary models
Zhao, Zhibiao - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 2, pp. 296-306
Persistent link: https://www.econbiz.de/10011390046
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Locally stationary quantile regression for inflation and interest rates
Xu, Zhuying; Kim, Seonjin; Zhao, Zhibiao - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 838-851
Persistent link: https://www.econbiz.de/10013534562
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Nonparametric inference of discretely sampled stable Lévy processes
Zhao, Zhibiao; Wu, Wei Biao - In: Journal of econometrics 153 (2009) 1, pp. 83-92
Persistent link: https://www.econbiz.de/10003892656
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Conditional Value-at-Risk : semiparametric estimation and inference
Wang, Chuan-Sheng; Zhao, Zhibiao - In: Journal of econometrics 195 (2016) 1, pp. 86-103
Persistent link: https://www.econbiz.de/10011705234
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Note on bandwidth selection in testing for long range dependence
Xiao, Zhijie - In: Economics letters 78 (2003) 1, pp. 33-39
Persistent link: https://www.econbiz.de/10001728086
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A nonparametric regression estimator that adapts to error distribution of unkown form
Linton, Oliver; Xiao, Zhijie - 2001
Persistent link: https://www.econbiz.de/10001593437
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Second-order approximation for adaptive regression estimators
Linton, Oliver; Xiao, Zhijie - In: Econometric theory 17 (2001) 5, pp. 984-1024
Persistent link: https://www.econbiz.de/10001609191
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More efficient local polynomial estimation in nonparametric regression with autocorrelated errors
Xiao, Zhijie; Linton, Oliver; Carroll, Raymond J.; … - In: Journal of the American Statistical Association : JASA 98 (2003) 464, pp. 980-992
Persistent link: https://www.econbiz.de/10001975429
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Testing for cointegration using partially linear models
Juhl, Ted; Xiao, Zhijie - In: Journal of econometrics 124 (2005) 2, pp. 363-394
Persistent link: https://www.econbiz.de/10002515642