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On the jump activity index for semimartingales
Jing, Bingyi; Kong, Xinbing; Liu, Zhi; Mykland, Per A. - In: Journal of econometrics 166 (2012) 2, pp. 213-223
Persistent link: https://www.econbiz.de/10009509230
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Estimating the integrated volatility using high-frequency data with zero durations
Liu, Zhi; Kong, Xin-Bing; Jing, Bingyi - In: Journal of econometrics 204 (2018) 1, pp. 18-32
Persistent link: https://www.econbiz.de/10011974707
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A rank test for the number of factors with high-frequency data
Kong, Xin-Bing; Liu, Zhi; Zhou, Wang - In: Journal of econometrics 211 (2019) 2, pp. 439-460
Persistent link: https://www.econbiz.de/10012303820
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Trending time-varying coefficient time series models with serially correlated errors
Cai, Zongwu - In: Journal of econometrics 136 (2007) 1, pp. 163-188
Persistent link: https://www.econbiz.de/10003401651
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On the jump activity index for semimartingales
Jing, Bing-Yi; Kong, Xin-Bing; Liu, Zhi; Mykland, Per - In: Journal of econometrics 166 (2012) 2, pp. 213-224
Persistent link: https://www.econbiz.de/10009816467
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Optimal smoothing in nonparametric conditional quantile derivative function estimation
Lin, Wei; Cai, Zongwu; Li, Zheng; Su, Li - In: Journal of econometrics 188 (2015) 2, pp. 502-513
Persistent link: https://www.econbiz.de/10011503661
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Functional index coefficient models with variable selection
Cai, Zongwu; Juhl, Ted; Yang, Bingduo - In: Journal of econometrics 189 (2015) 2, pp. 272-284
Persistent link: https://www.econbiz.de/10011504526
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A unified test for predictability of asset returns regardless of properties of predicting variables
Liu, Xiaohui; Yang, Bingduo; Cai, Zongwu; Peng, Liang - In: Journal of econometrics 208 (2019) 1, pp. 141-159
Persistent link: https://www.econbiz.de/10012139823
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Advance in theoretical econometrics : essays in honor of Takeshi Amemiya
Cai, Zongwu; Hong, Yongmiao; Hsiao, Cheng - In: Journal of econometrics 206 (2018) 2, pp. 279-281
Persistent link: https://www.econbiz.de/10012110380
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Special issue on advances in econometric theory : essays in honor of Takeshi Amemiya
Cai, Zongwu (ed.); Hong, Yongmiao (ed.); Hsiao, Cheng (ed.);  … - 2018
Persistent link: https://www.econbiz.de/10012110385