Zongwu Cai : Citation Profile

University of Kansas

15

H index

24

i10 index

1251

Citations

RESEARCH PRODUCTION:

33

Articles

23

Papers

RESEARCH ACTIVITY:

   23 years (1991 - 2014). See details.
   Cites by year: 54
   Journals where Zongwu Cai has often published
   Relations with other researchers
   Recent citing documents: 91.    Total self citations: 28 (2.19 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pca121
   Updated: 2025-12-13    RAS profile: 2024-09-05    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Zongwu Cai.

Is cited by:

GAO, Jiti (53)

Li, Degui (36)

Phillips, Peter (33)

CAI, ZONGWU (32)

Härdle, Wolfgang (23)

Su, Liangjun (22)

Chen, Jia (20)

Kumbhakar, Subal (19)

Tierney, Heather (19)

Cizek, Pavel (17)

Sun, Yiguo (17)

Cites to:

CAI, ZONGWU (61)

Fan, Jianqing (24)

Li, Qi (22)

Yogo, Motohiro (17)

Phillips, Peter (17)

Das, Mitali (15)

Campbell, John (14)

Park, Joon (10)

Hurvich, Clifford (10)

Stock, James (9)

Hansen, Bruce (9)

Main data

Where Zongwu Cai has published?

Journals with more than one article published# docs
Statistics & Probability Letters7
Journal of Econometrics6
Journal of Multivariate Analysis5
Econometric Theory3
Journal of the American Statistical Association2
Stochastic Processes and their Applications2
Journal of the Royal Statistical Society Series B2
Statistica Neerlandica2

Working Papers Series with more than one paper published# docs
Working Papers / Wang Yanan Institute for Studies in Economics (WISE), Xiamen University12
SFB 373 Discussion Papers / Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes2

Recent works citing Zongwu Cai (2025 and 2024)

YearTitle of citing document
2025Identification of Treatment Effects under Limited Exogenous Variation. (2025). Stouli, Sami ; Newey, Whitney. In: Papers. RePEc:arx:papers:1811.09837.

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2025Local Polynomial Estimation of Time-Varying Parameters in Nonlinear Models. (2023). Kristensen, Dennis ; Lee, Young Jun. In: Papers. RePEc:arx:papers:1904.05209.

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2024Theory of Low Frequency Contamination from Nonstationarity and Misspecification: Consequences for HAR Inference. (2024). Perron, Pierre ; Deng, Taosong ; Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.01604.

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2024Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models. (2024). Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.02981.

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2025Nonparametric Cointegrating Regression Functions with Endogeneity and Semi-Long Memory. (2025). Mosaferi, Sepideh ; Kaiser, Mark S. In: Papers. RePEc:arx:papers:2111.00972.

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2025Cointegration with Occasionally Binding Constraints. (2025). Wycherley, Sam ; Mavroeidis, Sophocles ; Duffy, James A. In: Papers. RePEc:arx:papers:2211.09604.

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2024Probabilistic Quantile Factor Analysis. (2024). Korobilis, Dimitris ; Schroder, Maximilian. In: Papers. RePEc:arx:papers:2212.10301.

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2024Estimation of Grouped Time-Varying Network Vector Autoregression Models. (2024). Li, Degui ; Wu, Wei Biao ; Tang, Songqiao ; Peng, Bin. In: Papers. RePEc:arx:papers:2303.10117.

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2024Inference in Predictive Quantile Regressions. (2024). Maynard, Alex ; Kuriyama, Nina ; Shimotsu, Katsumi. In: Papers. RePEc:arx:papers:2306.00296.

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2024Robust Inference for Multiple Predictive Regressions with an Application on Bond Risk Premia. (2024). Li, Xinjue ; Liao, Xiaosai ; Fan, Qingliang. In: Papers. RePEc:arx:papers:2401.01064.

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2025Estimating Time-Varying Parameters of Various Smoothness in Linear Models via Kernel Regression. (2025). Nishi, Mikihito. In: Papers. RePEc:arx:papers:2406.14046.

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2024Econometric Inference for High Dimensional Predictive Regressions. (2024). Lee, Ji Hyung ; Mei, Ziwei ; Shi, Zhentao ; Gao, Zhan. In: Papers. RePEc:arx:papers:2409.10030.

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2025On multivariate contribution measures of systemic risk with applications in cryptocurrency market. (2025). Zhang, Yiying ; Pu, Tong ; Li, Junxue ; Wen, Limin. In: Papers. RePEc:arx:papers:2411.13384.

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2024Quantile deep learning models for multi-step ahead time series prediction. (2024). Chandra, Rohitash ; Chen, Xizhe ; Maddocks, Amelia ; Rangarajan, Smruthi ; Cheung, Jimmy. In: Papers. RePEc:arx:papers:2411.15674.

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2025Balancing Flexibility and Interpretability: A Conditional Linear Model Estimation via Random Forest. (2025). Medeiros, Marcelo ; Masini, Ricardo. In: Papers. RePEc:arx:papers:2502.13438.

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2025Estimation of Latent Group Structures in Time-Varying Panel Data Models. (2025). Smeekes, Stephan ; Haimerl, Paul ; Wilms, Ines. In: Papers. RePEc:arx:papers:2503.23165.

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2025Inference on panel data models with a generalized factor structure. (2025). Rodriguez-Poo, Juan M ; Soberon, Alexandra ; Sperlich, Stefan. In: Papers. RePEc:arx:papers:2506.10690.

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2025Partial Identification of Causal Effects for Endogenous Continuous Treatments. (2025). Tchetgen, Eric J ; Dalal, Abhinandan. In: Papers. RePEc:arx:papers:2508.13946.

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2024Perceived shocks and impulse responses. (2024). Giacomini, Raffaella ; Lu, Jason ; Smetanina, Katja. In: CeMMAP working papers. RePEc:azt:cemmap:21/24.

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2024Time Series Quantile Regression Using Random Forests. (2024). Shibuki, Ryotato ; Shiraishi, Hiroshi ; Nakamura, Tomoshige. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:4:p:639-659.

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2024Labor market monopsony power in the manufacturing sector of four Sub‐Saharan African countries. (2024). Delgado, Micheal S ; Haque, Samiul. In: LABOUR. RePEc:bla:labour:v:38:y:2024:i:3:p:331-349.

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2024Deciphering the U.S. metropolitan house price dynamics. (2024). Plakandaras, Vasilios ; Pragidis, Ioannis ; Karypidis, Paris. In: Real Estate Economics. RePEc:bla:reesec:v:52:y:2024:i:2:p:434-485.

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2024Limit Theory of Local Polynomial Estimation in Functional Coefficient Regression. (2024). Phillips, Peter ; Wang, Ying. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2398.

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2024Limit Theory and Inference in Non-cointegrated Functional Coefficient Regression. (2024). Phillips, Peter ; Tu, Yundong ; Wang, Ying. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2399.

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2024Pinball boosting of regression quantiles. (2024). Linner, Stefan ; Bauer, Ida ; Haupt, Harry. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:200:y:2024:i:c:s0167947324001117.

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2025Adaptive local VAR for dynamic economic policy uncertainty spillover. (2025). Gillmann, Niels ; Okhrin, Ostap. In: Economic Modelling. RePEc:eee:ecmode:v:148:y:2025:i:c:s0264999325000744.

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2025The “effect modifier” of US interest rate in the economic policy uncertainties and economic conditions of fifty (50) US states: A semi-parametric smooth varying-coefficient approach. (2025). Salisu, Afees ; Isah, Kazeem ; Vo, Xuan Vinh. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824002043.

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2024Semi-parametric single-index predictive regression models with cointegrated regressors. (2024). GAO, Jiti ; Zhou, Weilun ; Kew, Hsein ; Harris, David. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002932.

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2024Estimation of complier expected shortfall treatment effects with a binary instrumental variable. (2024). He, Xuming ; Tan, Kean Ming ; Wei, BO. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623002889.

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2024Sieve bootstrap inference for linear time-varying coefficient models. (2024). Lin, Yicong ; Friedrich, Marina. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:1:s0304407622001701.

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2024Dynamic modeling for multivariate functional and longitudinal data. (2024). Hao, Siteng ; Lin, Shu-Chin ; Zhong, Qixian ; Wang, Jane-Ling. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623002890.

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2024Time-varying forecast combination for factor-augmented regressions with smooth structural changes. (2024). Hong, Yongmiao ; Chen, Qitong ; Li, Haiqi. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000393.

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2024Prewhitened long-run variance estimation robust to nonstationarity. (2024). Perron, Pierre ; Casini, Alessandro. In: Journal of Econometrics. RePEc:eee:econom:v:242:y:2024:i:1:s0304407624001404.

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2024Inference in predictive quantile regressions. (2024). Maynard, Alex ; Shimotsu, Katsumi ; Kuriyama, Nina. In: Journal of Econometrics. RePEc:eee:econom:v:245:y:2024:i:1:s0304407624002203.

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2024Varying-coefficient spatial dynamic panel data models with fixed effects: Theory and application. (2024). Ju, Gaosheng ; Hong, Han ; Yan, Karen X ; Li, QI. In: Journal of Econometrics. RePEc:eee:econom:v:245:y:2024:i:1:s0304407624002288.

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2024Estimating and testing for smooth structural changes in moment condition models. (2024). Li, Haiqi ; Zhou, Jin ; Hong, Yongmiao. In: Journal of Econometrics. RePEc:eee:econom:v:246:y:2024:i:1:s0304407624002471.

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2025On time-varying panel data models with time-varying interactive fixed effects. (2025). Su, Liangjun ; Qian, Junhui ; Jin, Sainan ; Wang, Xia ; Li, Yingxing. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000144.

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2025Limit theory and inference in non-cointegrated functional coefficient regression. (2025). Phillips, Peter ; Tu, Yundong ; Wang, Ying. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000508.

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2025Quantile prediction with factor-augmented regression: Structural instability and model uncertainty. (2025). Wang, Siwei ; Tu, Yundong. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000533.

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2025Limit theory for local polynomial estimation of functional coefficient models with possibly integrated regressors. (2025). Phillips, Peter ; Wang, Ying. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000612.

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2025Estimating time-varying networks for high-dimensional time series. (2025). Chen, Jia ; Li, Degui ; Linton, Oliver. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pc:s0304407624002926.

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2024Semiparametric Averaging of Nonlinear Marginal Logistic Regressions and Forecasting for Time Series Classification. (2024). Lu, Zudi ; Peng, Rong. In: Econometrics and Statistics. RePEc:eee:ecosta:v:31:y:2024:i:c:p:19-37.

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2025Quasi Maximum Likelihood Estimation of Value at Risk and Expected Shortfall. (2025). Catania, Leopoldo ; Luati, Alessandra. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:23-34.

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2025The effects of digitalization on production. (2025). Tryphonides, Andreas ; Schwark, Florentine. In: European Economic Review. RePEc:eee:eecrev:v:171:y:2025:i:c:s0014292124002253.

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2024Local predictability of stock returns and cash flows. (2024). Chen, LI ; Yu, Deshui. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000203.

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2024Time-varying relative risk aversion: Theoretical mechanism and empirical evidence. (2024). Liu, Haiyong ; Cai, Zongwu. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000707.

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2025A system of time-varying models for predictive regressions. (2025). Yan, Yayi ; Yu, Deshui. In: Journal of Empirical Finance. RePEc:eee:empfin:v:82:y:2025:i:c:s0927539825000441.

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2024A novel interval-based hybrid framework for crude oil price forecasting and trading. (2024). Sun, Yuying ; Wang, Shouyang ; Zheng, LI. In: Energy Economics. RePEc:eee:eneeco:v:130:y:2024:i:c:s0140988323007648.

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2025Analyzing the dynamics of the persistence of energy-related uncertainty of G7 countries: What does the time-varying SUR-ADF model say?. (2025). Ranjbar, Omid ; Chang, Tsangyao ; Peng, Yi-Ting. In: Energy. RePEc:eee:energy:v:320:y:2025:i:c:s0360544225008308.

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2025No shortfall of ES estimators: Insights from cryptocurrency portfolios. (2025). Výrost, Tomáš ; Horváth, Matúš ; Vrost, Tom ; Horvth, Mat. In: Finance Research Letters. RePEc:eee:finlet:v:73:y:2025:i:c:s1544612324017148.

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2024Dependent censoring with simultaneous death times based on the Generalized Marshall–Olkin model. (2024). Helali, Salima ; Escobar-Bach, Mikael. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:204:y:2024:i:c:s0047259x2400054x.

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2025Semi-functional varying coefficient mode-based regression. (2025). Wang, Tao. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:207:y:2025:i:c:s0047259x2400109x.

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2025The evolution of herding behavior in stock markets: Evidence from a smooth time-varying analysis. (2025). Li, Xiaoyang ; Qiu, Liping ; Cheng, Tingting ; Xing, Shuo. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:90:y:2025:i:c:s0927538x25000010.

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2024Crude oil volatility forecasting: Insights from a novel time-varying parameter GARCH-MIDAS model. (2024). Wang, LU ; Peng, Lijuan ; Liang, Chao ; Yang, Baoying. In: International Review of Economics & Finance. RePEc:eee:reveco:v:94:y:2024:i:c:s1059056024004052.

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2025Functional-coefficient quantile cointegrating regression with stationary covariates. (2025). Zhang, Jing ; Li, Haiqi ; Zheng, Chaowen. In: Statistics & Probability Letters. RePEc:eee:stapro:v:219:y:2025:i:c:s0167715224003134.

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2025How Markets Process Macro News: The Importance of Investor Attention. (2025). Kroner, T. Niklas. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2025-22.

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2024Perceived shocks and impulse responses. (2024). Giacomini, Raffaella ; Smetanina, Katja ; Lu, Jason. In: IFS Working Papers. RePEc:ifs:ifsewp:cwp21/24.

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2024Common Trends and Country Specific Heterogeneities in Long-Run World Energy Consumption. (2024). Miller, J. ; Kim, Chang Sik ; Chang, Yoosoon ; Choi, Yongok ; Park, Joon Y. In: CAEPR Working Papers. RePEc:inu:caeprp:2024001.

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2024Semiparametric Conditional Mixture Copula Models with Copula Selection. (2024). Cai, Zongwu ; Luo, Xuelong ; Long, Wei ; Liu, Guannan. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202401.

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2024A Functional-Coefficient VAR Model for Dynamic Quantiles and Its Application to Constructing Nonparametric Financial Network. (2024). Su, Liangjun ; Cai, Zongwu ; Liu, Xiyuan. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202406.

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2025State-Varying Model Averaging Prediction. (2025). Cai, Zongwu ; Hong, Shaoxin ; Sun, Yuying. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202507.

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2025Penalized Optimal Forecast Combination for Quantile Regressions. (2025). Wang, Shouyang ; Sun, Yuying ; Cai, Zongwu ; Bao, Haowen. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202514.

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2025COVID-19 under-reporting: spillovers and stringent containment strategies of global cases. (2025). Kumbhakar, Subal C ; Wang, Yulu. In: Journal of Productivity Analysis. RePEc:kap:jproda:v:63:y:2025:i:1:d:10.1007_s11123-024-00741-3.

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2025Nonparametric Continuous Time Regressions with Functional Coefficients. (2025). Nguyen, Nuong ; Kim, Jihyun ; Choi, Mijung. In: Korean Economic Review. RePEc:kea:keappr:ker-20250101-41-1-05.

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2025Inflation-driven instability in US sectoral betas. (2025). Valadkhani, Abbas. In: Journal of Asset Management. RePEc:pal:assmgt:v:26:y:2025:i:5:d:10.1057_s41260-025-00413-3.

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2025Re-weighted estimation of the transition probability density for second-order diffusion processes. (2025). Li, Yue ; Tang, Mingtian ; Wang, Yunyan. In: PLOS ONE. RePEc:plo:pone00:0333958.

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2024Time series forecasting under structural breaks. (2024). Skrobotov, Anton. In: Applied Econometrics. RePEc:ris:apltrx:0512.

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2024Threshold effect in varying coefficient models with unknown heteroskedasticity. (2024). Zhang, Yuanqing ; Ai, Chunrong ; Feng, Yaqin. In: Computational Statistics. RePEc:spr:compst:v:39:y:2024:i:3:d:10.1007_s00180-023-01335-7.

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2024Empirical likelihood and estimation in varying coefficient models with right censored data. (2024). Xue, Liugen. In: Computational Statistics. RePEc:spr:compst:v:39:y:2024:i:3:d:10.1007_s00180-023-01372-2.

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2024Linear models with time-varying parameters: a comparison of different approaches. (2024). Valentini, Francesco ; Lucchetti, Riccardo Jack. In: Computational Statistics. RePEc:spr:compst:v:39:y:2024:i:7:d:10.1007_s00180-023-01452-3.

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2025Asymptotic properties of kernel density and hazard rate function estimators with censored widely orthant dependent data. (2025). Wang, Xuejun ; Yu, Wei ; Wu, YI. In: Computational Statistics. RePEc:spr:compst:v:40:y:2025:i:2:d:10.1007_s00180-024-01509-x.

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2025Copula hidden Markov model with unknown number of states. (2025). Yu, Siyi ; Xie, Dejun ; Liu, Yujian. In: Computational Statistics. RePEc:spr:compst:v:40:y:2025:i:5:d:10.1007_s00180-024-01571-5.

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2024Foreign capital inflows, exchange rates, and government stability. (2024). McCloud, Nadine ; Delgado, Michael S ; Jin, Man. In: Empirical Economics. RePEc:spr:empeco:v:66:y:2024:i:3:d:10.1007_s00181-023-02490-y.

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2024Improved estimation of drift coefficients using optimal local bandwidths. (2024). Wiedemann, Christian ; Freund, Jan A ; Peinke, Joachim ; Wchter, Matthias. In: The European Physical Journal B: Condensed Matter and Complex Systems. RePEc:spr:eurphb:v:97:y:2024:i:4:d:10.1140_epjb_s10051-024-00686-4.

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2024Forecasting VaR and ES by using deep quantile regression, GANs-based scenario generation, and heterogeneous market hypothesis. (2024). Jiang, HE ; Lv, Mengzheng ; Wang, Shuai. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00564-5.

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2024Nonparametric estimation of extropy based measures under right censoring. (2024). Abdul, E I ; Nair, Dhanya R. In: International Journal of System Assurance Engineering and Management. RePEc:spr:ijsaem:v:15:y:2024:i:6:d:10.1007_s13198-024-02251-9.

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2024A Bayes analysis of autoregressive model having functional-coefficients and its application on exchange rate data. (2024). Upadhyay, Satyanshu K ; Agarwal, Manika ; Tripathi, Praveen Kumar. In: METRON. RePEc:spr:metron:v:82:y:2024:i:3:d:10.1007_s40300-024-00275-6.

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2024Strong consistency of tail value-at-risk estimator and corresponding general results under widely orthant dependent samples. (2024). Zhou, Jinyu ; Yan, Jigao ; Cheng, Dongya. In: Statistical Papers. RePEc:spr:stpapr:v:65:y:2024:i:6:d:10.1007_s00362-023-01525-x.

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2024Hypothesis testing for varying coefficient models in tail index regression. (2024). Yoshida, Takuma ; Momoki, Koki. In: Statistical Papers. RePEc:spr:stpapr:v:65:y:2024:i:6:d:10.1007_s00362-024-01538-0.

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2025Estimation of panel data partially linear time-varying coefficient models with cross-sectional spatial autoregressive errors. (2025). Liu, Yuan ; Ge, Ling-Ling ; Zhao, Yan-Yong. In: Statistical Papers. RePEc:spr:stpapr:v:66:y:2025:i:1:d:10.1007_s00362-024-01620-7.

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2025EM estimation of the B-spline copula with penalized pseudo-likelihood functions. (2025). Richards, Donald ; Lin, Gwo Dong ; Kuriki, Satoshi ; Dou, Xiaoling. In: Statistical Papers. RePEc:spr:stpapr:v:66:y:2025:i:1:d:10.1007_s00362-024-01647-w.

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2025Semiparametric partially linear varying coefficient higher-order spatial autoregressive model. (2025). Li, Yanhui. In: Statistical Papers. RePEc:spr:stpapr:v:66:y:2025:i:3:d:10.1007_s00362-025-01681-2.

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2025Estimation for single-index varying-coefficient spatial autoregressive model with index covariate measurement errors. (2025). Wang, Dehui ; Huang, Jingwen. In: Statistical Papers. RePEc:spr:stpapr:v:66:y:2025:i:6:d:10.1007_s00362-025-01750-6.

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2024Identification of Time-Varying Factor Models. (2024). Cheung, Ying Lun. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:42:y:2024:i:1:p:76-94.

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2024PyTimeVar: A Python Package for Trending Time-Varying Time Series Models. (2024). van der Sluis, Bernhard ; Lin, Yicong ; Song, Mingxuan. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240060.

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2025Forecasting Atmospheric Ethane: Application to the Jungfraujoch Measurement Station. (2025). Moussa, Karim ; Friedrich, Marina ; van der Straten, David ; Shapovalova, Yuliya. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20250025.

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2025Functional Location-Scale Models with Robust Observation-Driven Dynamics. (2025). Lucas, Andrae ; Lin, Yicong. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20250027.

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2025Policymaking in Periods of Structural Changes and Structural Breaks: Rolling Windows Revisited. (2025). Tavlas, George ; Kouretas, Georgios ; Giannellis, Nikolaos ; Hall, Stephen G ; Wang, Yongli. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:3:p:851-855.

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2025Modeling and Forecasting the CBOE VIX With the TVP‐HAR Model. (2025). Xu, Wen ; Aschakulporn, Pakorn ; Zhang, Jin E. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:5:p:1638-1657.

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2024Peer effect, bank concentration, and crises: Evidence from the United States. (2024). Lin, Sinjin ; Zeng, Jhihhong. In: Managerial and Decision Economics. RePEc:wly:mgtdec:v:45:y:2024:i:2:p:1090-1103.

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2025Inference in a stationary/nonstationary autoregressive time‐varying‐parameter model. (2025). Li, Ming. In: Quantitative Economics. RePEc:wly:quante:v:16:y:2025:i:3:p:823-858.

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Works by Zongwu Cai:

YearTitleTypeCited
2014Predictive regressions for macroeconomic data In: Papers.
[Full Text][Citation analysis]		paper15
2008Nonparametric Quantile Estimations for Dynamic Smooth Coefficient Models In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article85
2009Nonparametric Quantile Estimations for Dynamic Smooth Coefficient Models.(2009) In: Journal of the American Statistical Association.
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This paper has nother version. Agregated cites: 85		article
2013Nonparametric Quantile Estimations For Dynamic Smooth Coefficient Models.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 85		paper
2001Smoothing for discrete‐valued time series In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]		article2
2001Smoothing for discrete-valued time series.(2001) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2003Adaptive varying‐coefficient linear models In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]		article76
2000Adaptive Varying-Coefficient Linear Models.(2000) In: STICERD - Econometrics Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 76		paper
2003Adaptive varying co-efficient linear models.(2003) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 76		paper
2000Adaptive varying-coefficient linear models.(2000) In: LSE Research Online Documents on Economics.
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This paper has nother version. Agregated cites: 76		paper
2003Local Linear Estimation for Time‐Dependent Coefficients in Coxs Regression Models In: Scandinavian Journal of Statistics.
[Full Text][Citation analysis]		article30
2002A two–stage approach to additive time series models In: Statistica Neerlandica.
[Full Text][Citation analysis]		article11
2012Partially varying coefficient instrumental variables models In: Statistica Neerlandica.
[Full Text][Citation analysis]		article6
2010Semiparametric Quantile Regression Estimation in Dynamic Models with Partially Varying Coefficients In: Boston College Working Papers in Economics.
[Full Text][Citation analysis]		paper54
2012Semiparametric quantile regression estimation in dynamic models with partially varying coefficients.(2012) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 54		article
2012A New Forecasting Model for USD/CNY Exchange Rate In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article15
2013A New Forecasting Model for USD/CNY Exchange Rate.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		paper
2000NONPARAMETRIC ESTIMATION OF ADDITIVE NONLINEAR ARX TIME SERIES: LOCAL LINEAR FITTING AND PROJECTIONS In: Econometric Theory.
[Full Text][Citation analysis]		article16
2002REGRESSION QUANTILES FOR TIME SERIES In: Econometric Theory.
[Full Text][Citation analysis]		article77
2008NONPARAMETRIC ESTIMATION OF VARYING COEFFICIENT DYNAMIC PANEL DATA MODELS In: Econometric Theory.
[Full Text][Citation analysis]		article65
2013Nonparametric Estimation Of Varying Coefficient Dynamic Panel Data Models.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 65		paper
1999Diagnostics for nonlinearity in generalized linear models In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article0
2006Functional coefficient instrumental variables models In: Journal of Econometrics.
[Full Text][Citation analysis]		article37
2007Trending time-varying coefficient time series models with serially correlated errors In: Journal of Econometrics.
[Full Text][Citation analysis]		article211
2008Nonparametric estimation of conditional VaR and expected shortfall In: Journal of Econometrics.
[Full Text][Citation analysis]		article53
2009Functional-coefficient models for nonstationary time series data In: Journal of Econometrics.
[Full Text][Citation analysis]		article89
2014Testing predictive regression models with nonstationary regressors In: Journal of Econometrics.
[Full Text][Citation analysis]		article26
1998Kernel Density and Hazard Rate Estimation for Censored Dependent Data In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article10
1998Kaplan-Meier Estimator under Association In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article16
2000Average Regression Surface for Dependent Data In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article7
2001Estimating a Distribution Function for Censored Time Series Data In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article3
2002Two-Step Likelihood Estimation Procedure for Varying-Coefficient Models In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article12
1991Strong consistency and rates for recursive nonparametric conditional probability density estimates under ([alpha], [beta])-mixing conditions In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article0
1992Strong consistency and rates for recursive nonparametric conditional probability density estimates under ([alpha], [beta])-mixing conditions.(1992) In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
1992Uniform strong estimation under [alpha]-mixing, with rates In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article4
1997Smooth estimate of quantiles under association In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article11
1998Asymptotic properties of Kaplan-Meier estimator for censored dependent data In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article21
2001Weighted Nadaraya-Watson regression estimation In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article14
2003Nonparametric estimation equations for time series data In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article6
2003Local M-estimator for nonparametric time series In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article14
2012Reducing asymptotic bias of weak instrumental estimation using independently repeated cross-sectional information In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article1
2013Reducing the Asymptotic Bias of Weak Instruments Estimation Using Independently Repeated Cross-sectional Information.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2000Functional-coefficient regression models for nonlinear time series In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper231
2013Does Relative Risk Aversion Vary with Wealth? Evidence from Households Portfolio Choice Data In: Departmental Working Papers.
[Full Text][Citation analysis]		paper5
2012Reexamining the Empirical Relevance of Habit Formation Preferences In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2014Selection of Mixed Copula Model via Penalized Likelihood In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article12
2013Nonparametric Methods for Estimating Conditional VaR and Expected Shortfall In: Working Papers.
[Full Text][Citation analysis]		paper0
2013Effient Estimation of Partially Varying Coefficient Instrumental Variables Models In: Working Papers.
[Full Text][Citation analysis]		paper0
2013Convergency and Divergency of Functional Coefficient Weak Instrumental Variables Models In: Working Papers.
[Full Text][Citation analysis]		paper0
2013Weak Instrumental Variables Models for Longitudinal Data In: Working Papers.
[Full Text][Citation analysis]		paper4
2013Some Recent Develop- ments on Nonparametric Econometrics In: Working Papers.
[Full Text][Citation analysis]		paper2
2013Functional Coefficient Models for Economic and Financial Data In: Working Papers.
[Full Text][Citation analysis]		paper0
2013A New Test for Superior Predictive Ability In: Working Papers.
[Full Text][Citation analysis]		paper0
2013Semiparametric Estimation of Partially Varying-Coefficient In: Working Papers.
[Full Text][Citation analysis]		paper2
2003Nonparametric Methods in Continuous-Time Finance: A Selective Review In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]		paper8
2003Trending Time-Varying Coefficient Models With Serially Correlated Errors In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]		paper0

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