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Robust inference for nonstationary time series with possibly multiple changing periodic structures
Wang, Shouxia; Huang, Tao; You, Jinhong; Cheng, Ming-Yen - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 4, pp. 1718-1731
Persistent link: https://www.econbiz.de/10013540474
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Network-based clustering for varying coefficient panel data models
Pei, Youquan; Huang, Tao; Peng, Heng; You, Jinhong - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 578-594
Persistent link: https://www.econbiz.de/10013533972
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Nonparametric fixed effects model for panel data with locally stationary regressors
Pei, Youquan; Huang, Tao; You, Jinhong - In: Journal of econometrics 202 (2018) 2, pp. 286-305
Persistent link: https://www.econbiz.de/10011974572
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Nonparametric estimation of structural change points in volatility models for time series
Chen, Gong-meng; Choi, Yoon K.; Zhou, Yong - In: Journal of econometrics 126 (2005) 1, pp. 79-114
Persistent link: https://www.econbiz.de/10002538638
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A varying-coefficient expectile model for estimating value at risk
Xie, Shangyu; Zhou, Yong; Wan, Alan T. K. - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 4, pp. 576-592
Persistent link: https://www.econbiz.de/10010488423
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Volatility analysis with realized GARCH-Itô models
Song, Xinyu; Kim, Donggyu; Yuan, Huiling; Cui, Xiangyu; … - In: Journal of econometrics 222 (2021) 1,2, pp. 393-410
Persistent link: https://www.econbiz.de/10012619433