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A note on covariance matrix estimation in quantile regressions

Guo, Hongtao; Xiao, Zhijie - In: Frontiers of economics in China : selected publications … 9 (2014) 2, pp. 165-173

Persistent link: https://www.econbiz.de/10010429833

Risk analysis using regression quantiles : evidence from international equity markets

Guo, Hongtao; Lam, Miranda S.; Wu, Guojun; Xiao, Zhijie - In: The international journal of business and finance … 7 (2013) 2, pp. 1-15

Persistent link: https://www.econbiz.de/10009675606

Quantile aggregation and combination for stock return prediction

Jiang, Chuanliang; Maasoumi, Esfandiar; Xiao, Zhijie - In: Econometric reviews 39 (2020) 7, pp. 715-743

Persistent link: https://www.econbiz.de/10012262517

Mincer-Zarnowitz quantile and expectile regressions for forecast evaluations under aysmmetric loss functions

Güler, Kemal; Ng, Pin T.; Xiao, Zhijie - In: Journal of forecasting 36 (2017) 6, pp. 651-679

Persistent link: https://www.econbiz.de/10011861402

Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency

Ng, Pin T.; Wong, Wing Keung; Xiao, Zhijie - In: European journal of operational research : EJOR 261 (2017) 2, pp. 666-678

Persistent link: https://www.econbiz.de/10011738062

Copula-based nonlinear quantile autoregression

Chen, Xiaohong (contributor); Koenker, Roger (contributor); … - 2008

Parametric copulas are shown to be attractive devices for specifying quantile autoregressive models for nonlinear time-series. Estimation of local, quantile-specific copula-based time series models offers some salient advantages over classical global parametric approaches. Consistency and...

Persistent link: https://www.econbiz.de/10003765985