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Zhao, Zhibiao - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 2, pp. 296-306

Persistent link: https://www.econbiz.de/10011390046

Conditional Value-at-Risk : semiparametric estimation and inference

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Persistent link: https://www.econbiz.de/10011705234

Locally stationary quantile regression for inflation and interest rates

Xu, Zhuying; Kim, Seonjin; Zhao, Zhibiao - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 838-851

Persistent link: https://www.econbiz.de/10013534562

Functional-coefficient cointegration models

Xiao, Zhijie - In: Journal of econometrics 152 (2009) 2, pp. 81-92

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Robust inference in nonstationary time series models

Xiao, Zhijie - In: Journal of econometrics 169 (2012) 2, pp. 211-223

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Estimating average economic growth in time series data with persistency

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Likelihood-based inference in trending time series with a root near unity

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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

Copula-based nonlinear quantile autoregression

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

Persistent link: https://www.econbiz.de/10003773621

Do shocks last forever? : local persistency in economic time series

Lima, Luiz Renato; Xiao, Zhijie - In: Journal of macroeconomics 29 (2007) 1, pp. 103-122

Persistent link: https://www.econbiz.de/10003437601