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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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Semiparametric quantile regression estimation in dynamic models with partially varying coefficients
Cai, Zongwu; Xiao, Zhijie - In: Journal of econometrics 167 (2012) 2, pp. 413-425
Persistent link: https://www.econbiz.de/10009612844
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Nonparametric estimation of varying coefficient dynamic panel data models
Cai, Zongwu; Li, Qi - In: Econometric theory 24 (2008) 5, pp. 1321-1342
Persistent link: https://www.econbiz.de/10003748775
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Nonparametric quantile estimations for dynamic smooth coefficient models
Cai, Zongwu; Xu, Xiaoping - In: Journal of the American Statistical Association : JASA 103 (2008) 484, pp. 1595-1608
Persistent link: https://www.econbiz.de/10003815309
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Flexible seasonal time series models
Cai, Zongwu; Chen, Rong - 2006
Persistent link: https://www.econbiz.de/10003350085
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Nonparametric methods on continuous-time finance : a selective review
Cai, Zongwu (contributor); Hong, Yongmiao (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001919184
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Adaptive varying-coefficient linear models
Fan, Jianqing; Yao, Qiwei; Cai, Zongwu - 2000
Persistent link: https://www.econbiz.de/10001551042
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Nonparametric estimation of additive nonlinear ARX time series : local linear fitting and projections
Cai, Zongwu; Masry, Elias - In: Econometric theory 16 (2000) 4, pp. 465-501
Persistent link: https://www.econbiz.de/10001517328
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Pricing kernel estimation : a local estimating equation approach
Cai, Zongwu; Ren, Yu; Sun, Linman - In: Econometric theory 31 (2015) 3, pp. 560-580
Persistent link: https://www.econbiz.de/10011290889
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A New Forecasting Model for USD/CNY Exchange Rate
Cai, Zongwu - 2010
This paper models the return series of USD/CNY exchange rate by considering the conditional mean and conditional volatility simultaneously. An index type functional-coefficient model is adopted to model the conditional mean part and a GARCH type model with a policy dummy variable is applied to...
Persistent link: https://www.econbiz.de/10013139722