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On the estimation of integrated volatility with jumps and microstructure noise
Jing, Bingyi; Liu, Zhi; Kong, Xinbing - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 3, pp. 457-467
Persistent link: https://www.econbiz.de/10010488463
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Jackknife empirical likelihood
Jing, Bingyi; Yuan, Junqing; Zhou, Wang - In: Journal of the American Statistical Association : JASA 104 (2009) 487, pp. 1224-1232
Persistent link: https://www.econbiz.de/10003902863
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Regression quantiles for time series
Cai, Zongwu - In: Econometric theory 18 (2002) 1, pp. 169-192
Persistent link: https://www.econbiz.de/10001652640
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Estimation of spot volatility with superposed noisy data
Liu, Qiang; Liu, Yiqi; Liu, Zhi; Wang, Li - In: The North American journal of economics and finance : a … 44 (2018), pp. 62-79
Persistent link: https://www.econbiz.de/10012036296
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Estimating spot volatility under infinite variation jumps with dependent market microstructure noise
Liu, Zhi - In: The econometrics journal 27 (2024) 2, pp. 278-298
Persistent link: https://www.econbiz.de/10015046377
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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
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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
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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
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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
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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