Zhijie Xiao : Citation Profile


Are you Zhijie Xiao?

Boston College

16

H index

23

i10 index

1116

Citations

RESEARCH PRODUCTION:

49

Articles

35

Papers

RESEARCH ACTIVITY:

   23 years (1997 - 2020). See details.
   Cites by year: 48
   Journals where Zhijie Xiao has often published
   Relations with other researchers
   Recent citing documents: 103.    Total self citations: 19 (1.67 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pxi26
   Updated: 2021-03-27    RAS profile: 2016-03-01    
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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 Zhijie Xiao.

Is cited by:

Phillips, Peter (30)

GAO, Jiti (23)

Gaglianone, Wagner (22)

Kim, Tae-Hwan (21)

GUPTA, RANGAN (20)

Lima, Luiz (19)

LINTON, OLIVER (17)

Selmi, Refk (16)

Taylor, Robert (15)

Francq, Christian (14)

bouoiyour, jamal (14)

Cites to:

Phillips, Peter (62)

Andrews, Donald (16)

Engle, Robert (15)

Ouliaris, Sam (10)

Stock, James (10)

shin, yongcheol (10)

Lucas, Andre (10)

Perron, Pierre (10)

Robinson, Peter (10)

Ploberger, Werner (9)

Schmidt, Peter (9)

Main data


Where Zhijie Xiao has published?


Journals with more than one article published# docs
Journal of Econometrics12
Journal of the American Statistical Association5
Economics Letters2
Statistics & Probability Letters2
Journal of Macroeconomics2

Working Papers Series with more than one paper published# docs
Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University9
Boston College Working Papers in Economics / Boston College Department of Economics7
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) / EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil)5

Recent works citing Zhijie Xiao (2021 and 2020)


YearTitle of citing document
2020Dispersion estimation; Earnings risk; Censoring; Quantile regression; Occupational choice; Sorting; Risk preferences; SOEP; IABS. (2020). Palm, Franz ; Dohmen, Thomas ; Pollmann, Daniel . In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:028.

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2020Density estimation using bootstrap quantile variance and quantile-mean covariance. (2050). Montes-Rojas, Gabriel ; Mena, Andres Sebastian. In: Documentos de trabajo del Instituto Interdisciplinario de Economía Política (IIEP-BAIRES). RePEc:ake:iiepdt:202050.

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2020A Residual Bootstrap for Conditional Value-at-Risk. (2018). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1808.09125.

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2020QCNN: Quantile Convolutional Neural Network. (2019). Petneh, G'Abor. In: Papers. RePEc:arx:papers:1908.07978.

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2020Quantile Diffusions. (2019). Peters, Gareth W ; Macrina, Andrea ; Brannelly, Holly. In: Papers. RePEc:arx:papers:1912.10866.

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2020Bayesian Median Autoregression for Robust Time Series Forecasting. (2020). Li, Meng ; Zeng, Zijian. In: Papers. RePEc:arx:papers:2001.01116.

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2020The Murphy Decomposition and the Calibration-Resolution Principle: A New Perspective on Forecast Evaluation. (2020). Pohle, Marc-Oliver. In: Papers. RePEc:arx:papers:2005.01835.

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2020Can Volatility Solve the Na\ive Diversification Puzzle?. (2020). Zalla, Ryan ; Curran, Michael . In: Papers. RePEc:arx:papers:2005.03204.

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2020Uniform Rates for Kernel Estimators of Weakly Dependent Data. (2020). Escanciano, Juan Carlos. In: Papers. RePEc:arx:papers:2005.09951.

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2020Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics. (2020). Garcin, Matthieu ; Ammy-Driss, Ayoub. In: Papers. RePEc:arx:papers:2007.10727.

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2020Local Composite Quantile Regression for Regression Discontinuity. (2020). Zhan, Zhaoguo ; Huang, Xiao. In: Papers. RePEc:arx:papers:2009.03716.

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2020Consistent Specification Test of the Quantile Autoregression. (2020). Phella, Anthoulla. In: Papers. RePEc:arx:papers:2010.03898.

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2020Forecasting With Factor-Augmented Quantile Autoregressions: A Model Averaging Approach. (2020). Phella, Anthoulla. In: Papers. RePEc:arx:papers:2010.12263.

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2020The Efficiency Gap. (2020). Fissler, Tobias ; Dimitriadis, Timo ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:2010.14146.

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2020Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552.

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2020Quantile regression with generated dependent variable and covariates. (2020). Bhattacharya, Jayeeta. In: Papers. RePEc:arx:papers:2012.13614.

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2021Adaptive Random Bandwidth for Inference in CAViaR Models. (2021). Hecq, Alain ; Sun, LI. In: Papers. RePEc:arx:papers:2102.01636.

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2020A quantile autoregression analysis of price volatility in agricultural markets. (2020). Chavas, Jean-Paul ; Li, Jian. In: Agricultural Economics. RePEc:bla:agecon:v:51:y:2020:i:2:p:273-289.

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2020Fourier nonlinear quantile unit root test and PPP in Africa. (2020). Bahmani-Oskooee, Mohsen ; Chang, Tsang Yao ; Bahmanioskooee, Mohsen ; Ranjbar, Omid ; Niroomand, Farhang. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:72:y:2020:i:4:p:451-481.

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2020Income Tax Evasion: Recovery from Economic Disasters. (2020). Ćorić, Bruno ; Skrabic, Blanka Peric. In: CERGE-EI Working Papers. RePEc:cer:papers:wp676.

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2020Adaptative predictability of stock market returns. (2020). Veiga, Helena ; Lopes, Maria Helena ; Casas, Maria Isabel ; Mao, Xiuping. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:31648.

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2020Copula-Based Time Series With Filtered Nonstationarity. (2020). Wang, BO ; Xiao, Zhijie ; Chen, Xiaohong. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2242.

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2020When Bias Contributes to Variance: True Limit Theory in Functional Coefficient Cointegrating Regression. (2020). Phillips, Peter ; Wang, Ying. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2250.

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2020Determining the Number of Effective Parameters in Kernel Density Estimation. (2020). Parmeter, Christopher F ; McCloud, Nadine. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:143:y:2020:i:c:s0167947319301987.

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2020Block wild bootstrap-based CUSUM tests robust to high persistence and misspecification. (2020). Baek, Changryong ; Lee, Taewook . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:150:y:2020:i:c:s0167947320300876.

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2020Insurance activity, real output, and geopolitical risk: Fresh evidence from BRICS. (2020). Lee, Chien-Chiang. In: Economic Modelling. RePEc:eee:ecmode:v:92:y:2020:i:c:p:207-215.

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2020Trend instrumental variable regression with an application to the US New Keynesian Phillips Curve. (2020). Xia, Huizhu ; Chen, Zhihong. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:595-604.

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2020Quantile nonlinear unit root test with covariates and an application to the PPP hypothesis. (2020). Zhao, Zhao ; Yang, Yang. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:728-736.

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2021Does transaction activity predict Bitcoin returns? Evidence from quantile-on-quantile analysis. (2021). Shahbaz, Muhammad ; Sun, Wuqin ; Zhu, Huiming ; Hau, Liya. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:55:y:2021:i:c:s106294082030187x.

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2021Oil price shocks, geopolitical risks, and green bond market dynamics. (2021). Li, Yong-Yi ; Lee, Chien-Chiang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820301972.

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2021Contagion between real estate and financial markets: A Bayesian quantile-on-quantile approach. (2021). Ravazzolo, Francesco ; Gupta, Rangan ; Caporin, Massimiliano. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820302291.

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2020Quantile selection in non-linear GMM quantile models. (2020). Montes-Rojas, Gabriel ; Galvao, Antonio F ; de Castro, Luciano. In: Economics Letters. RePEc:eee:ecolet:v:195:y:2020:i:c:s0165176520302470.

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2020Long-term forecasting of El Niño events via dynamic factor simulations. (2020). Li, Mengheng ; Petrova, Desislava ; Lit, Rutger ; Koopman, Siem Jan. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:1:p:46-66.

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2020Estimation for double-nonlinear cointegration. (2020). Yao, Qiwei ; Tu, Yundong ; Lin, Yingqian. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:175-191.

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2020Asymptotic theory for near integrated processes driven by tempered linear processes. (2020). Phillips, Peter ; Sabzikar, Farzad ; Wang, Qiying. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:192-202.

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2020Virtual Historical Simulation for estimating the conditional VaR of large portfolios. (2020). Zakoian, Jean-Michel ; Francq, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:356-380.

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2020Inference of local regression in the presence of nuisance parameters. (2020). Xu, Ke-Li. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:532-560.

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2020Global investigation on the country-level idiosyncratic volatility and its determinants. (2020). Caglayan, Mustafa Onur ; Zhang, Liwen ; Xue, Wenjun. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:143-160.

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2020Assessing the impact of renewable energy sources on the electricity price level and variability – A quantile regression approach. (2020). Maciejowska, Katarzyna. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303275.

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2020Multi-scale dependence structure and risk contagion between oil, gold, and US exchange rate: A wavelet-based vine-copula approach. (2020). Zhou, Dequn ; Zha, Donglan ; Wang, Qunwei ; Dai, Xingyu. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320301146.

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2020The impact of shale gas development on the U.S economy: Evidence from a quantile autoregressive distributed lag model. (2020). solarin, sakiru ; Bello, Mufutau. In: Energy. RePEc:eee:energy:v:205:y:2020:i:c:s0360544220311117.

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2020Investigating drivers of CO2 emission in China’s heavy industry: A quantile regression analysis. (2020). Lin, Boqiang ; Xu, Bin. In: Energy. RePEc:eee:energy:v:206:y:2020:i:c:s0360544220312664.

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2020Heterogeneous dependence between crude oil price volatility and China’s agriculture commodity futures: Evidence from quantile-on-quantile regression. (2020). Ma, Xiang ; Huang, Rui ; Zhu, Huiming ; Hau, Liya. In: Energy. RePEc:eee:energy:v:213:y:2020:i:c:s0360544220318880.

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2021Testing the persistence of shocks on renewable energy consumption: Evidence from a quantile unit-root test with smooth breaks. (2021). Lee, Chien-Chiang ; Ranjbar, Omid. In: Energy. RePEc:eee:energy:v:215:y:2021:i:pb:s0360544220322970.

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2020Risk spillovers between FinTech and traditional financial institutions: Evidence from the U.S.. (2020). Li, Jingyu ; Casu, Barbara ; Yao, Yinhong ; Zhu, Xiaoqian. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301885.

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2020Do Asian emerging stock markets react to international economic policy uncertainty and geopolitical risk alike? A quantile regression approach. (2020). Das, Debojyoti ; Kannadhasan, M. In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s1544612318305014.

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2020A new measure for market efficiency and its application. (2020). Li, Haiqi ; Jiang, Jinjin. In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s154461231930323x.

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2021A note on the behavior of Chinese commodity markets. (2021). Todorova, Neda ; Fan, John Hua. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319311626.

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2020Tail dependence structures between economic policy uncertainty and foreign exchange markets: Nonparametric quantiles methods. (2020). Hussain, Syed Jawad ; Al-Yahyaee, Khamis Hamed ; Mensi, Walid. In: International Economics. RePEc:eee:inteco:v:161:y:2020:i:c:p:66-82.

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2020Quantile forecasting with mixed-frequency data. (2020). Lima, Luiz ; Godeiro, Lucas ; Meng, Fanning. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:1149-1162.

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2020The asymmetric effects of oil price on sectoral Islamic stocks: New evidence from quantile-on-quantile regression approach. (2020). Sharif, Arshian ; Chang, Bisharat Hussain ; Rehman, Syed Abdul ; Salman, Asma ; Suki, Norazah Mohd ; Aman, Ameenullah. In: Resources Policy. RePEc:eee:jrpoli:v:65:y:2020:i:c:s0301420719304751.

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2020How oil prices, gold prices, uncertainty and risk impact Islamic and conventional stocks? Empirical evidence from QARDL technique. (2020). Sharif, Arshian ; Jermsittiparsert, Kittisak ; Sarwat, Salman ; Godil, Danish Iqbal. In: Resources Policy. RePEc:eee:jrpoli:v:66:y:2020:i:c:s0301420719308402.

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2020Cryptocurrencies and precious metals: A closer look from diversification perspective. (2020). Vo, Xuan Vinh ; Ur, Mobeen. In: Resources Policy. RePEc:eee:jrpoli:v:66:y:2020:i:c:s0301420719308669.

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2020When US sneezes, clichés spread: How do the commodity index funds react then?. (2020). Phani, B V ; Rahman, Abdul ; Ahmad, Wasim ; Awasthi, Kritika. In: Resources Policy. RePEc:eee:jrpoli:v:69:y:2020:i:c:s0301420720308898.

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2020Asymmetric causality in quantiles analysis of the oil-food ? ?nexus since the 1960s. (2020). Ben Salha, Ousama ; Ben-Salha, Ousama ; Mokni, Khaled. In: Resources Policy. RePEc:eee:jrpoli:v:69:y:2020:i:c:s0301420720309053.

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2020Gold, platinum, and expected Bitcoin returns. (2020). Wang, Mei ; Burggraf, Tobias ; Duc, Toan Luu. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:56:y:2020:i:c:s1042444x20300177.

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2020Volatility modeling and the asymmetric effect for China’s carbon trading pilot market. (2020). Zheng, Zeyu ; Fu, Yang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:542:y:2020:i:c:s0378437119319004.

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2020Analyzing slowdown and meltdowns in the African countries: New evidence using Fourier quantile unit root test. (2020). Chang, Tsangyao ; Jahangard, Fateme ; Ranjbar, Omid ; Lee, Yi-Lung. In: International Review of Economics & Finance. RePEc:eee:reveco:v:65:y:2020:i:c:p:187-198.

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2020Volatility persistence in cryptocurrency markets under structural breaks. (2020). Madigu, Godfrey ; Gil-Alana, Luis ; Romero-Rojo, Fatima ; Aikins, Emmanuel Joel. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:680-691.

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2020Financial Liberalisation, Political Stability, and Economic Determinants of Real Economic Growth in Kenya. (2020). Golam, Asan Ali ; Rehman, Syed Abdul ; Mardani, Abbas ; Mursitama, Tirta Nugraha ; Loganathan, Nanthakumar ; Yakubu, Zakaria. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:13:p:3426-:d:379730.

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2020The Causal Connection of Natural Resources and Globalization with Energy Consumption in Top Asian Countries: Evidence from a Nonparametric Causality-in-Quantile Approach. (2020). Iqbal Hussain, Hafezali ; Jermsittiparsert, Kittisak ; Tvaronaviien, Manuela ; Haseeb, Muhammad. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:9:p:2273-:d:354025.

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2020Adjusted Net Savings of CEE and Baltic Nations in the Context of Sustainable Economic Growth: A Panel Data Analysis. (2020). Anca, Nichita ; Ioan, Batrancea ; Maran, Rathnaswamy Malar ; Larissa, Batrancea ; Dan, Morar Ioan ; Speranta, Masca Ema ; Gheorghe, Fatacean ; Horia, Tulai ; Mircea-Iosif, Rus. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:10:p:234-:d:422535.

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2020Overreaction in the REITs Market: New Evidence from Quantile Autoregression Approach. (2020). Julio, Ivan F ; Manohar, Catherine Anitha ; Ngene, Geoffrey M. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:11:p:282-:d:445319.

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2020Does the Impact of Carbon Price Determinants Change with the Different Quantiles of Carbon Prices? Evidence from China ETS Pilots. (2020). Du, MO ; Chen, XI ; Chai, Shanglei ; Chu, Wenjun. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:14:p:5581-:d:382935.

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2020The Convergence of Sulphur Dioxide (SO 2 ) Emissions Per Capita in China. (2020). Si, Deng-Kui ; Zhang, Yu-Chen ; Zhao, Bing. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:5:p:1781-:d:325897.

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2020Short-Term Exuberance and long-term stability: A simultaneous optimization of stock return predictions for short and long horizons. (2020). Mousavi, Parastoo ; Kyriakou, Ioannis ; Scholz, Michael ; Nielsen, Jens Perch. In: Graz Economics Papers. RePEc:grz:wpaper:2020-20.

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2020Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics. (2020). Garcin, Matthieu ; Ammy-Driss, Ayoub. In: Working Papers. RePEc:hal:wpaper:hal-02903655.

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2020Backtesting Expected Shortfall via Multi-Quantile Regression. (2019). Leymarie, Jérémy ; Couperier, Ophelie. In: Working Papers. RePEc:hal:wpaper:halshs-01909375.

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2020A New Robust Inference for Asset Return Predictability Via Quantile Regression. (2020). Liao, Xiaosai ; Chen, Haiqiang ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202002.

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2020Inferences for Partially Conditional Quantile Treatment Effect Model. (2020). Fang, Ying ; Cai, Zongwu ; Tang, Shengfang ; Lin, Ming. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202005.

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2020Testing Financial Hierarchy Based on A PDQ-CRE Model. (2020). Wu, Wuqing ; Zhao, Yue ; Shi, Meng ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202011.

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2020Realized Volatility Forecasting Based on Dynamic Quantile Model Averaging. (2020). Mi, Xianhua ; Ma, Chaoqun ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202016.

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2020A Functional-Coefficient VAR Model for Dynamic Quantiles with Constructing Financial Network. (2020). Liu, Xiyuan ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202017.

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2021Estimating Partially Conditional Quantile Treatment Effects. (2021). Tang, Shengfang ; Lin, Ming ; Fang, Ying ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202103.

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2020Computing the Time-Varying Effects of Investor Attention in Islamic Stock Returns. (2020). Jawadi, Nabila ; Cheffou, Abdoulkarim Idi. In: Computational Economics. RePEc:kap:compec:v:56:y:2020:i:1:d:10.1007_s10614-020-09988-y.

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2020Robust Estimation of Wage Dispersion with Censored Data: An Application to Occupational Earnings Risk and Risk Attitudes. (2020). Dohmen, Thomas ; Palm, Franz ; Pollmann, Daniel. In: De Economist. RePEc:kap:decono:v:168:y:2020:i:4:d:10.1007_s10645-020-09374-x.

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2020Estimation and Testing for High-Dimensional Near Unit Root Time Series. (2020). GAO, Jiti ; Pan, Guangming ; Zhang, BO. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2020-12.

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2020Revisiting the role of renewable and non-renewable energy consumption on Turkey’s ecological footprint: Evidence from Quantile ARDL approach. (2020). Sinha, Avik ; Ozturk, Ilhan ; Uzuner, Gizem ; Baris-Tuzemen, Ozge ; Sharif, Arshian. In: MPRA Paper. RePEc:pra:mprapa:100044.

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2020Analyzing Technology-Emissions Association in Top-10 Polluted MENA Countries: How to Ascertain Sustainable Development by Quantile Modeling Approach. (2020). Sinha, Avik ; Jiao, Zhilun ; Sengupta, Tuhin ; Shah, Muhammad Ibrahim. In: MPRA Paper. RePEc:pra:mprapa:100253.

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2020Efficiency-Market Hypothesis: case of Tunisian and 6 ‎Asian stock markets ‎. (2020). Neifar, Malika. In: MPRA Paper. RePEc:pra:mprapa:103232.

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2020Okuns Law: Copula-based Evidence from G7 Countries. (2020). Stavrakoudis, Athanassios ; Benos, Nikos. In: MPRA Paper. RePEc:pra:mprapa:103318.

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2020Modelling tail dependencies between Russian and foreign stock markets: Application for market risk valuation. (2020). Lapshin, Victor ; Makushkin, Mikhail. In: Applied Econometrics. RePEc:ris:apltrx:0386.

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2020.

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2021The Arrival of Information and Price Adjustment Across Extreme Quantiles: Global Evidence. (2021). Tripathi, Abhinava. In: IIM Kozhikode Society & Management Review. RePEc:sae:iimkoz:v:10:y:2021:i:1:p:7-19.

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2020.

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2020Nonparametric Tests for Conditional Quantile Independence with Duration Outcomes. (2020). Lee, Sungwon. In: Working Papers. RePEc:sgo:wpaper:2013.

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2020Semiparametric quantile regression with random censoring. (2020). Bravo, Francesco. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:72:y:2020:i:1:d:10.1007_s10463-018-0688-3.

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2021The kth power expectile regression. (2021). Lin, Fuming ; Jiang, Yingying ; Zhou, Yong. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:73:y:2021:i:1:d:10.1007_s10463-019-00738-y.

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2020An improvement on the efficiency of complete-case-analysis with nonignorable missing covariate data. (2020). Sun, Jing. In: Computational Statistics. RePEc:spr:compst:v:35:y:2020:i:4:d:10.1007_s00180-020-00964-6.

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2020A marked point process model for intraday financial returns: modeling extreme risk. (2020). Herrera, Rodrigo ; Clements, Adam. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:4:d:10.1007_s00181-018-1600-y.

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2020Applying multivariate-fractionally integrated volatility analysis on emerging market bond portfolios. (2020). Unal, Gazanfer ; Demirel, Mustafa. In: Financial Innovation. RePEc:spr:fininn:v:6:y:2020:i:1:d:10.1186_s40854-020-00203-3.

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2020Regression function estimation on non compact support in an heteroscesdastic model. (2020). Genon-Catalot, V ; Comte, F. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:83:y:2020:i:1:d:10.1007_s00184-019-00727-4.

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2021.

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2020The Dynamic Relationship Between Technology Innovation and Human Development in Technologically Advanced Countries: Fresh Insights from Quantiles-on-Quantile Approach. (2020). Qaiser, Shahzad ; Ahmed, Ammar ; Qureshi, Jawaid Ahmed ; Sharif, Arshian ; Ali, Ramsha. In: Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement. RePEc:spr:soinre:v:152:y:2020:i:2:d:10.1007_s11205-020-02451-3.

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Kumaraswamy regression model with Aranda-Ordaz link function. (2020). Rauber, Cristine ; Pumi, Guilherme ; Bayer, Fabio M. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:29:y:2020:i:4:d:10.1007_s11749-020-00700-8.

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2020Goodness-of-fit testing for copulas: a distribution-free approach. (2020). Laeven, Roger ; Laeven, R. J. A., ; Einmahl, John ; Can, S U. In: Other publications TiSEM. RePEc:tiu:tiutis:211b2be9-b46e-41e2-9b95-18fa92cfda8c.

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2020The Dynamics and Volatility of Prices in a Vertical Sector. (2020). Chavas, Jean-Paul ; Pan, Fanghui. In: American Journal of Agricultural Economics. RePEc:wly:ajagec:v:102:y:2020:i:1:p:353-369.

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2020Beyond the Unit Root Question: Uncertainty and Inference. (2020). Webb, Clayton ; Lebo, Matthew J ; Linn, Suzanna. In: American Journal of Political Science. RePEc:wly:amposc:v:64:y:2020:i:2:p:275-292.

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2020Do economic integration agreements affect trade predictability? A group effect analysis. (2020). Lima, Luiz ; Figueiredo, Erik. In: Canadian Journal of Economics/Revue canadienne d'économique. RePEc:wly:canjec:v:53:y:2020:i:2:p:637-664.

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2021Cointegration tests at the quantiles. (2021). Furno, Marilena. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:1087-1100.

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2020Impulse Response Analysis in Conditional Quantile Models and an Application to Monetary Policy. (2020). Kim, Tae-Hwan ; Mizen, Paul ; Lee, Dong Jin. In: Working papers. RePEc:yon:wpaper:2020rwp-164.

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More than 100 citations found, this list is not complete...

Works by Zhijie Xiao:


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2006Quantile Autoregression In: Journal of the American Statistical Association.
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2008Copula-Based Nonlinear Quantile Autoregression In: Boston College Working Papers in Economics.
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2008Copula-Based Nonlinear Quantile Autoregression.(2008) In: Cowles Foundation Discussion Papers.
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2009Copula-based nonlinear quantile autoregression.(2009) In: Econometrics Journal.
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2008Copula-based nonlinear quantile autoregression.(2008) In: CeMMAP working papers.
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2009Quantile Cointegrating Regression In: Boston College Working Papers in Economics.
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2009Tests for Changing Mean with Monotonic Power In: Boston College Working Papers in Economics.
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2009Conditional Quantile Estimation for GARCH Models In: Boston College Working Papers in Economics.
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2010Semiparametric Quantile Regression Estimation in Dynamic Models with Partially Varying Coefficients In: Boston College Working Papers in Economics.
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2012Semiparametric quantile regression estimation in dynamic models with partially varying coefficients.(2012) In: Journal of Econometrics.
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2010A Semiparametric Panel Model for unbalanced data with Application to Climate Change in the United Kingdom In: Boston College Working Papers in Economics.
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2011A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom.(2011) In: Post-Print.
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2010A Semiparametric Panel Model for Unbalanced Data with Application to Climate Change in the United Kingdom.(2010) In: MPRA Paper.
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2004Testing unit root based on partially adaptive estimation.(2004) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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2001A Nonparametric Regression Estimator that Adapts to Error Distribution of Unknown Form In: STICERD - Econometrics Paper Series.
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2001A nonparametric regression estimator that adapts to error distribution of unknown form.(2001) In: SFB 373 Discussion Papers.
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2002More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors In: STICERD - Econometrics Paper Series.
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2002More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors.(2002) In: Cowles Foundation Discussion Papers.
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2002More efficient kernel estimation in nonparametric regression with autocorrelated errors.(2002) In: LSE Research Online Documents on Economics.
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2001HOW TO ESTIMATE AUTOREGRESSIVE ROOTS NEAR UNITY In: Econometric Theory.
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2001SECOND-ORDER APPROXIMATION FOR ADAPTIVE REGRESSION ESTIMATORS In: Econometric Theory.
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2001LIKELIHOOD-BASED INFERENCE IN TRENDING TIME SERIES WITH A ROOT NEAR UNITY In: Econometric Theory.
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2003POWER FUNCTIONS AND ENVELOPES FOR UNIT ROOT TESTS In: Econometric Theory.
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2007A NONPARAMETRIC REGRESSION ESTIMATOR THAT ADAPTS TO ERROR DISTRIBUTION OF UNKNOWN FORM In: Econometric Theory.
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2009COMMENTARIES ON “Unit Root Testing in Practice: Dealing with Uncertainty over the Trend and Initial Condition,” by David I. Harvey, Stephen J. Leybourne, and A.M. Robert Taylor In: Econometric Theory.
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2013NONPARAMETRIC TESTS OF MOMENT CONDITION STABILITY In: Econometric Theory.
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2013ESTIMATION OF AND INFERENCE ABOUT THE EXPECTED SHORTFALL FOR TIME SERIES WITH INFINITE VARIANCE In: Econometric Theory.
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2014RIGHT-TAIL INFORMATION IN FINANCIAL MARKETS In: Econometric Theory.
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2014UNIT ROOTS: A SELECTIVE REVIEW OF THE CONTRIBUTIONS OF PETER C. B. PHILLIPS In: Econometric Theory.
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2014EFFICIENT REGRESSIONS VIA OPTIMALLY COMBINING QUANTILE INFORMATION In: Econometric Theory.
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1998How to Estimate Autoregressive Roots Near Unity In: Cowles Foundation Discussion Papers.
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1998Higher Order Approximations for Wald Statistics in Cointegrating Regressions In: Cowles Foundation Discussion Papers.
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2001A CUSUM Test for Cointegration Using Regression Residuals In: Cowles Foundation Discussion Papers.
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2002Efficient Regression in Time Series Partial Linear Models In: Cowles Foundation Discussion Papers.
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2004Estimating average economic growth in time series data with persistency.(2004) In: Journal of Macroeconomics.
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2004SMOOTH TEST FOR TESTING EQUALITY OF TWO DENSITIES In: Econometric Society 2004 Far Eastern Meetings.
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2000N-Consistent Semiparametric Regression: Partially Linear Models with Unit Roots In: Econometric Society World Congress 2000 Contributed Papers.
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2002A generalized partially linear model of asymmetric volatility In: Journal of Empirical Finance.
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2007Do shocks last forever? Local persistency in economic time series In: Journal of Macroeconomics.
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2008Testing for parameter stability in quantile regression models In: Statistics & Probability Letters.
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2007An analysis of risk for defaultable bond portfolios In: Journal of Risk Finance.
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2014A Note on Covariance Matrix Estimation in Quantile Regressions In: Frontiers of Economics in China.
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2004Robustness of stationary tests under long-memory alternatives In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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2004Purchasing power parity and the unit root tests: a robust analysis In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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2006Testing covariance stationarity In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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2013Risk Analysis Using Regression Quantiles: Evidence from International Equity Markets In: The International Journal of Business and Finance Research.
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