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Causal linkages among Shanghai, Shenzhen, and Hong Kong stock markets

Zhu, Hongquan; Lu, Zu-di; Wang, Shouyang; Soofi, Abdollah S. - In: International journal of theoretical and applied finance 7 (2004) 2, pp. 135-149

Persistent link: https://www.econbiz.de/10002021489

Exploring spatial nonlinearity using additive approximation

Lu, Zu-di; Lundervold, Arvid; Tjøstheim, Dag; Yao, Qiwei - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002075163

Adaptive varying-coefficient linear models for stochastic processes : asymptotic theory

Lu, Zu-di (contributor); Tjøstheim, Dag (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003165036

Nonparametric specification testing for nonlinear time series with nonstationarity

Gao, Jiti; King, Maxwell L.; Lu, Zu-di; Tjøstheim, Dag - 2009

Persistent link: https://www.econbiz.de/10003813943

Index-exciting CAViaR : a new empirical time-varying risk model

Huang, Dashan; Yu, Baimin; Lu, Zu-di; Fabozzi, Frank J.; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 14 (2010) 2, pp. 1-24

Persistent link: https://www.econbiz.de/10009514126

Adaptively combined forecasting for discrete response time series

Zhang, Xinyu; Lu, Zu-di; Zou, Guohua - In: Journal of econometrics 176 (2013) 1, pp. 80-91

Persistent link: https://www.econbiz.de/10009764378

Exponentially smoothing the skewed laplace distribution for value-at-risk forecasting

Gerlach, Richard; Lu, Zu-di; Huang, Hai - In: Journal of forecasting 32 (2013) 6, pp. 534-550

Persistent link: https://www.econbiz.de/10009789677

Nonparametric specification testing for nonlinear time series with nonstationarity

Gao, Jiti; King, Maxwell L.; Lu, Zu-di; Tjøstheim, Dag - In: Econometric theory 25 (2009) 6, pp. 1869-1892

Persistent link: https://www.econbiz.de/10003904450

A flexible semiparametric model for time series

Li, Degui; Linton, Oliver; Lu, Zu-di - 2012

We consider approximating a multivariate regression function by an affine combination of one-dimensional conditional component regression functions. The weight parameters involved in the approximation are estimated by least squares on the first-stage nonparametric kernel estimates. We establish...

Persistent link: https://www.econbiz.de/10009620324

A flexible semiparametric model for time series

Li, Degui; Linton, Oliver; Lu, Zu-di - 2012

Persistent link: https://www.econbiz.de/10009625682