Similar Search Results

Econometric modeling of risk measures : a selective review of the recent literature

Tian, Dingshi; Cai, Zongwu; Fang, Ying - 2018

Persistent link: https://www.econbiz.de/10011965814

Yang, Bingduo; Cai, Zongwu; Hafner, Christian M.; Liu, … - 2018

Persistent link: https://www.econbiz.de/10011965829

The distribution of rolling regression estimators

Cai, Zongwu; Juhl, Ted - 2020

Persistent link: https://www.econbiz.de/10012312838

Realized volatility forecasting based on dynamic quantile model averaging

Cai, Zongwu; Ma, Chaoqun; Mi, Xianhua - 2020

Persistent link: https://www.econbiz.de/10012312856

Time-varying mixture copula models with copula selection

Yang, Bingduo; Cai, Zongwu; Hafner, Christian M.; Liu, … - 2021

Persistent link: https://www.econbiz.de/10012602628

Assessing tail risk using expectile regressions with partially varying coefficients

Cai, Zongwu; Fang, Ying; Tian, Dingshi - 2018

Persistent link: https://www.econbiz.de/10011965749

Estimating counterfactual distribution functions via optimal distribution balancing with applications

Cai, Zongwu; Fang, Ying; Lin, Ming; Wu, Yaqian - 2024

Persistent link: https://www.econbiz.de/10015386691

Semiparametric conditional mixture copula models with copula selection

Cai, Zongwu; Liu, Guannan; Long, Wei; Luo, Xuehong - 2023

Persistent link: https://www.econbiz.de/10014521027

A new characterization of the normal distribution and test for normality

Bera, Anil K.; Galvao, Antonio Fialho <Jr.>; Wang, Liang; … - In: Econometric theory 32 (2016) 5, pp. 1216-1252

Persistent link: https://www.econbiz.de/10011661739

A New Characterization of the Normal Distribution and Test for Normality

Bera, Anil K. - 2015

We study the asymptotic covariance function of the sample mean and quantile and derive a new and surprising characterization of the normal distribution: the asymptotic covariance between the sample mean and quantile is constant across all quantiles, if and only if the underlying distribution is...

Persistent link: https://www.econbiz.de/10013025042