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Nonparametric inferences for additive models

Fan, Jianqing; Jiang, Jiancheng - In: Journal of the American Statistical Association : JASA 100 (2005) 471, pp. 890-907

Persistent link: https://www.econbiz.de/10003107771

Unifying inference for semiparametric regression

Hong, Shaoxin; Jiang, Jiancheng; Jiang, Xuejun; Xiao, Zhijie - In: The econometrics journal 24 (2021) 3, pp. 482-501

Persistent link: https://www.econbiz.de/10012620720

Nonparametric estimation of the ruin probability in the classical compound poisson risk model

Gao, Yuan; Chen, Lingju; Jiang, Jiancheng; You, Honglong - In: Journal of risk and financial management : JRFM 13 (2020) 12/298, pp. 1-12

In this paper we study estimating ruin probability which is an important problem in insurance. Our work is developed upon the existing nonparametric estimation method for the ruin probability in the classical risk model, which employs the Fourier transform but requires smoothing on the density...

Persistent link: https://www.econbiz.de/10012392224

Regression quantiles for time series

Cai, Zongwu - In: Econometric theory 18 (2002) 1, pp. 169-192

Persistent link: https://www.econbiz.de/10001652640

Nonparametric estimation of conditional VaR and expected shortfall

Cai, Zongwu; Wang, Xian - In: Journal of econometrics 147 (2008) 1, pp. 120-130

Persistent link: https://www.econbiz.de/10003783792

Functional coefficient instrumental variables models

Cai, Zongwu; Das, Mitali; Xiong, Huaiyu; Wu, Xizhi - In: Journal of econometrics 133 (2006) 1, pp. 207-241

Persistent link: https://www.econbiz.de/10003354575

Functional-coefficient models for nonstationary time series data

Cai, Zongwu; Li, Qi; Park, Joon Y. - In: Journal of econometrics 148 (2009) 2, pp. 101-113

Persistent link: https://www.econbiz.de/10003833742

Some recent developments on nonparametric econometrics

Cai, Zongwu; Gu, Jingping; Li, Qi - In: Nonparametric econometric methods, (pp. 495-549). 2010

Persistent link: https://www.econbiz.de/10009558788

Forecasting major Asian exchange rates using a new semiparametric STAR model

Cai, Nan; Cai, Zongwu; Fang, Ying; Xu, Qiuhua - In: Empirical economics : a journal of the Institute for … 48 (2015) 1, pp. 407-426

Persistent link: https://www.econbiz.de/10011287504

A semiparametric conditional capital asset pricing model

Cai, Zongwu; Ren, Yu; Yang, Bingduo - In: Journal of banking & finance 61 (2015), pp. 117-126

Persistent link: https://www.econbiz.de/10011545159