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Copula-based time series with filtered nonstationarity
Chen, Xiaohong; Xiao, Zhijie; Wang, Bo - In: Journal of econometrics 228 (2022) 1, pp. 127-155
Persistent link: https://www.econbiz.de/10013441732
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Estimation of copula-based semiparametric time series models
Chen, Xiaohong; Fan, Yanqin - In: Journal of econometrics 130 (2006) 2, pp. 307-335
Persistent link: https://www.econbiz.de/10003277967
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Sieve inference on possibly misspecified semi-nonparametric time series models
Chen, Xiaohong; Liao, Zhipeng; Sun, Yixiao - In: Journal of econometrics 178 (2014) 1, pp. 639-658
Persistent link: https://www.econbiz.de/10010257367
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Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions
Chen, Xiaohong; Christensen, Timothy M. - In: Journal of econometrics 188 (2015) 2, pp. 447-465
Persistent link: https://www.econbiz.de/10011503628
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Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models
Chen, Xiaohong; Huang, Zhuo; Yi, Yanping - In: Journal of econometrics 222 (2021) 1,2, pp. 484-501
Persistent link: https://www.econbiz.de/10012619712
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Semiparametric estimation of the bid-ask spread in extended roll models
Chen, Xiaohong; Linton, Oliver; Schneeberger, Stefan; … - In: Journal of econometrics 208 (2019) 1, pp. 160-178
Persistent link: https://www.econbiz.de/10012139826