16
H index
23
i10 index
1116
Citations
Zhijie Xiao : Citation Profile
Boston College | RESEARCH PRODUCTION: 49 Articles 35 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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23 years (1997 - 2020). 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:
| Cites to:
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Main data
Where Zhijie Xiao has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Econometrics | 12 |
| Journal of the American Statistical Association | 5 |
| Economics Letters | 2 |
| Statistics & Probability Letters | 2 |
| Journal of Macroeconomics | 2 |
Recent works citing Zhijie Xiao (2021 and 2020)
| Year | Title of citing document | |
|---|---|---|
| 2020 | Dispersion 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. Full description at Econpapers || Download paper | |
| 2020 | Density 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. Full description at Econpapers || Download paper | |
| 2020 | A Residual Bootstrap for Conditional Value-at-Risk. (2018). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1808.09125. Full description at Econpapers || Download paper | |
| 2020 | QCNN: Quantile Convolutional Neural Network. (2019). Petneh, G'Abor. In: Papers. RePEc:arx:papers:1908.07978. Full description at Econpapers || Download paper | |
| 2020 | Quantile Diffusions. (2019). Peters, Gareth W ; Macrina, Andrea ; Brannelly, Holly. In: Papers. RePEc:arx:papers:1912.10866. Full description at Econpapers || Download paper | |
| 2020 | Bayesian Median Autoregression for Robust Time Series Forecasting. (2020). Li, Meng ; Zeng, Zijian. In: Papers. RePEc:arx:papers:2001.01116. Full description at Econpapers || Download paper | |
| 2020 | The Murphy Decomposition and the Calibration-Resolution Principle: A New Perspective on Forecast Evaluation. (2020). Pohle, Marc-Oliver. In: Papers. RePEc:arx:papers:2005.01835. Full description at Econpapers || Download paper | |
| 2020 | Can Volatility Solve the Na\ive Diversification Puzzle?. (2020). Zalla, Ryan ; Curran, Michael . In: Papers. RePEc:arx:papers:2005.03204. Full description at Econpapers || Download paper | |
| 2020 | Uniform Rates for Kernel Estimators of Weakly Dependent Data. (2020). Escanciano, Juan Carlos. In: Papers. RePEc:arx:papers:2005.09951. Full description at Econpapers || Download paper | |
| 2020 | Efficiency 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. Full description at Econpapers || Download paper | |
| 2020 | Local Composite Quantile Regression for Regression Discontinuity. (2020). Zhan, Zhaoguo ; Huang, Xiao. In: Papers. RePEc:arx:papers:2009.03716. Full description at Econpapers || Download paper | |
| 2020 | Consistent Specification Test of the Quantile Autoregression. (2020). Phella, Anthoulla. In: Papers. RePEc:arx:papers:2010.03898. Full description at Econpapers || Download paper | |
| 2020 | Forecasting With Factor-Augmented Quantile Autoregressions: A Model Averaging Approach. (2020). Phella, Anthoulla. In: Papers. RePEc:arx:papers:2010.12263. Full description at Econpapers || Download paper | |
| 2020 | The Efficiency Gap. (2020). Fissler, Tobias ; Dimitriadis, Timo ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:2010.14146. Full description at Econpapers || Download paper | |
| 2020 | Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552. Full description at Econpapers || Download paper | |
| 2020 | Quantile regression with generated dependent variable and covariates. (2020). Bhattacharya, Jayeeta. In: Papers. RePEc:arx:papers:2012.13614. Full description at Econpapers || Download paper | |
| 2021 | Adaptive Random Bandwidth for Inference in CAViaR Models. (2021). Hecq, Alain ; Sun, LI. In: Papers. RePEc:arx:papers:2102.01636. Full description at Econpapers || Download paper | |
| 2020 | A 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. Full description at Econpapers || Download paper | |
| 2020 | Fourier 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. Full description at Econpapers || Download paper | |
| 2020 | Income Tax Evasion: Recovery from Economic Disasters. (2020). Ćorić, Bruno ; Skrabic, Blanka Peric. In: CERGE-EI Working Papers. RePEc:cer:papers:wp676. Full description at Econpapers || Download paper | |
| 2020 | Adaptative 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. Full description at Econpapers || Download paper | |
| 2020 | Copula-Based Time Series With Filtered Nonstationarity. (2020). Wang, BO ; Xiao, Zhijie ; Chen, Xiaohong. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2242. Full description at Econpapers || Download paper | |
| 2020 | When 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. Full description at Econpapers || Download paper | |
| 2020 | Determining 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. Full description at Econpapers || Download paper | |
| 2020 | Block 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. Full description at Econpapers || Download paper | |
| 2020 | Insurance 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. Full description at Econpapers || Download paper | |
| 2020 | Trend 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. Full description at Econpapers || Download paper | |
| 2020 | Quantile 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. Full description at Econpapers || Download paper | |
| 2021 | Does 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. Full description at Econpapers || Download paper | |
| 2021 | Oil 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. Full description at Econpapers || Download paper | |
| 2021 | Contagion 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. Full description at Econpapers || Download paper | |
| 2020 | Quantile 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. Full description at Econpapers || Download paper | |
| 2020 | Long-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. Full description at Econpapers || Download paper | |
| 2020 | Estimation 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. Full description at Econpapers || Download paper | |
| 2020 | Asymptotic 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. Full description at Econpapers || Download paper | |
| 2020 | Virtual 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. Full description at Econpapers || Download paper | |
| 2020 | Inference 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. Full description at Econpapers || Download paper | |
| 2020 | Global 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. Full description at Econpapers || Download paper | |
| 2020 | Assessing 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. Full description at Econpapers || Download paper | |
| 2020 | Multi-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. Full description at Econpapers || Download paper | |
| 2020 | The 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. Full description at Econpapers || Download paper | |
| 2020 | Investigating 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. Full description at Econpapers || Download paper | |
| 2020 | Heterogeneous 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. Full description at Econpapers || Download paper | |
| 2021 | Testing 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. Full description at Econpapers || Download paper | |
| 2020 | Risk 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. Full description at Econpapers || Download paper | |
| 2020 | Do 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. Full description at Econpapers || Download paper | |
| 2020 | A 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. Full description at Econpapers || Download paper | |
| 2021 | A 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. Full description at Econpapers || Download paper | |
| 2020 | Tail 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. Full description at Econpapers || Download paper | |
| 2020 | Quantile 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. Full description at Econpapers || Download paper | |
| 2020 | The 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. Full description at Econpapers || Download paper | |
| 2020 | How 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. Full description at Econpapers || Download paper | |
| 2020 | Cryptocurrencies 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. Full description at Econpapers || Download paper | |
| 2020 | When 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. Full description at Econpapers || Download paper | |
| 2020 | Asymmetric 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. Full description at Econpapers || Download paper | |
| 2020 | Gold, 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. Full description at Econpapers || Download paper | |
| 2020 | Volatility 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. Full description at Econpapers || Download paper | |
| 2020 | Analyzing 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. Full description at Econpapers || Download paper | |
| 2020 | Volatility 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. Full description at Econpapers || Download paper | |
| 2020 | Financial 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. Full description at Econpapers || Download paper | |
| 2020 | The 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. Full description at Econpapers || Download paper | |
| 2020 | Adjusted 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. Full description at Econpapers || Download paper | |
| 2020 | Overreaction 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. Full description at Econpapers || Download paper | |
| 2020 | Does 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. Full description at Econpapers || Download paper | |
| 2020 | The 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. Full description at Econpapers || Download paper | |
| 2020 | Short-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. Full description at Econpapers || Download paper | |
| 2020 | Efficiency 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. Full description at Econpapers || Download paper | |
| 2020 | Backtesting Expected Shortfall via Multi-Quantile Regression. (2019). Leymarie, Jérémy ; Couperier, Ophelie. In: Working Papers. RePEc:hal:wpaper:halshs-01909375. Full description at Econpapers || Download paper | |
| 2020 | A 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. Full description at Econpapers || Download paper | |
| 2020 | Inferences 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. Full description at Econpapers || Download paper | |
| 2020 | Testing 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. Full description at Econpapers || Download paper | |
| 2020 | Realized 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. Full description at Econpapers || Download paper | |
| 2020 | A 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. Full description at Econpapers || Download paper | |
| 2021 | Estimating 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. Full description at Econpapers || Download paper | |
| 2020 | Computing 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. Full description at Econpapers || Download paper | |
| 2020 | Robust 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. Full description at Econpapers || Download paper | |
| 2020 | Estimation 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. Full description at Econpapers || Download paper | |
| 2020 | Revisiting 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. Full description at Econpapers || Download paper | |
| 2020 | Analyzing 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. Full description at Econpapers || Download paper | |
| 2020 | Efficiency-Market Hypothesis: case of Tunisian and 6 ‎Asian stock markets ‎. (2020). Neifar, Malika. In: MPRA Paper. RePEc:pra:mprapa:103232. Full description at Econpapers || Download paper | |
| 2020 | Okuns Law: Copula-based Evidence from G7 Countries. (2020). Stavrakoudis, Athanassios ; Benos, Nikos. In: MPRA Paper. RePEc:pra:mprapa:103318. Full description at Econpapers || Download paper | |
| 2020 | Modelling 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. Full description at Econpapers || Download paper | |
| 2020 | . Full description at Econpapers || Download paper | |
| 2021 | The 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. Full description at Econpapers || Download paper | |
| 2020 | . Full description at Econpapers || Download paper | |
| 2020 | Nonparametric Tests for Conditional Quantile Independence with Duration Outcomes. (2020). Lee, Sungwon. In: Working Papers. RePEc:sgo:wpaper:2013. Full description at Econpapers || Download paper | |
| 2020 | Semiparametric 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. Full description at Econpapers || Download paper | |
| 2021 | The 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. Full description at Econpapers || Download paper | |
| 2020 | An 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. Full description at Econpapers || Download paper | |
| 2020 | A 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. Full description at Econpapers || Download paper | |
| 2020 | Applying 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. Full description at Econpapers || Download paper | |
| 2020 | Regression 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. Full description at Econpapers || Download paper | |
| 2021 | . Full description at Econpapers || Download paper | |
| 2020 | The 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. Full description at Econpapers || Download 2020 | 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. Full description at Econpapers || Download paper |
| 2020 | Goodness-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. Full description at Econpapers || Download paper | |
| 2020 | The 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. Full description at Econpapers || Download paper | |
| 2020 | Beyond 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. Full description at Econpapers || Download paper | |
| 2020 | Do 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. Full description at Econpapers || Download paper | |
| 2021 | Cointegration 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. Full description at Econpapers || Download paper | |
| 2020 | Impulse 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. Full description at Econpapers || Download paper | |
| More than 100 citations found, this list is not complete... |
Works by Zhijie Xiao:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2006 | Rejoinder In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 0 |
| 2006 | Quantile Autoregression In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 187 |
| 2009 | Conditional Quantile Estimation for Generalized Autoregressive Conditional Heteroscedasticity Models In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 33 |
| 2003 | More Efficient Local Polynomial Estimation in Nonparametric Regression With Autocorrelated Errors In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 25 |
| 2004 | Unit Root Quantile Autoregression Inference In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 116 |
| 1998 | A Primer on Unit Root Testing In: Journal of Economic Surveys. [Full Text][Citation analysis] | article | 98 |
| 1998 | A Primer on Unit Root Testing.(1998) In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 98 | paper | |
| 2008 | Copula-Based Nonlinear Quantile Autoregression In: Boston College Working Papers in Economics. [Full Text][Citation analysis] | paper | 17 |
| 2008 | Copula-Based Nonlinear Quantile Autoregression.(2008) In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | paper | |
| 2009 | Copula-based nonlinear quantile autoregression.(2009) In: Econometrics Journal. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | article | |
| 2008 | Copula-based nonlinear quantile autoregression.(2008) In: CeMMAP working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | paper | |
| 2009 | Quantile Cointegrating Regression In: Boston College Working Papers in Economics. [Full Text][Citation analysis] | paper | 66 |
| 2009 | Quantile cointegrating regression.(2009) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 66 | article | |
| 2009 | Tests for Changing Mean with Monotonic Power In: Boston College Working Papers in Economics. [Full Text][Citation analysis] | paper | 15 |
| 2009 | Tests for changing mean with monotonic power.(2009) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 15 | article | |
| 2008 | TESTS FOR CHANGING MEAN WITH MONOTONIC POWER.(2008) In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. [Full Text][Citation analysis] This paper has another version. Agregated cites: 15 | paper | |
| 2009 | Conditional Quantile Estimation for GARCH Models In: Boston College Working Papers in Economics. [Full Text][Citation analysis] | paper | 8 |
| 2010 | Semiparametric Quantile Regression Estimation in Dynamic Models with Partially Varying Coefficients In: Boston College Working Papers in Economics. [Full Text][Citation analysis] | paper | 39 |
| 2012 | Semiparametric quantile regression estimation in dynamic models with partially varying coefficients.(2012) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 39 | article | |
| 2010 | A Semiparametric Panel Model for unbalanced data with Application to Climate Change in the United Kingdom In: Boston College Working Papers in Economics. [Full Text][Citation analysis] | paper | 17 |
| 2011 | A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom.(2011) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | article | |
| 2011 | A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom.(2011) In: Post-Print. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | paper | |
| 2010 | A Semiparametric Panel Model for Unbalanced Data with Application to Climate Change in the United Kingdom.(2010) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | paper | |
| 2020 | Estimation and Inference about Tail Features with Tail Censored Data In: Boston College Working Papers in Economics. [Full Text][Citation analysis] | paper | 0 |
| 2010 | Testing Unit Root Based on Partially Adaptive Estimation In: Journal of Time Series Econometrics. [Full Text][Citation analysis] | article | 5 |
| 2004 | Testing Unit Root Based on Partially Adaptive Estimation.(2004) In: Econometric Society 2004 Latin American Meetings. [Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
| 2004 | Testing unit root based on partially adaptive estimation.(2004) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
| 2001 | A Nonparametric Regression Estimator that Adapts to Error Distribution of Unknown Form In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2001 | A nonparametric regression estimator that adapts to error distribution of unknown form.(2001) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2001 | A nonparametric regression estimator that adapts to error distribution of unknown form.(2001) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2002 | More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2002 | More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors.(2002) In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2002 | More efficient kernel estimation in nonparametric regression with autocorrelated errors.(2002) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 1999 | EFFICIENT DETRENDING IN COINTEGRATING REGRESSION In: Econometric Theory. [Full Text][Citation analysis] | article | 15 |
| 2001 | HOW TO ESTIMATE AUTOREGRESSIVE ROOTS NEAR UNITY In: Econometric Theory. [Full Text][Citation analysis] | article | 23 |
| 2001 | SECOND-ORDER APPROXIMATION FOR ADAPTIVE REGRESSION ESTIMATORS In: Econometric Theory. [Full Text][Citation analysis] | article | 4 |
| 2001 | LIKELIHOOD-BASED INFERENCE IN TRENDING TIME SERIES WITH A ROOT NEAR UNITY In: Econometric Theory. [Full Text][Citation analysis] | article | 2 |
| 2003 | POWER FUNCTIONS AND ENVELOPES FOR UNIT ROOT TESTS In: Econometric Theory. [Full Text][Citation analysis] | article | 9 |
| 2005 | PARTIALLY LINEAR MODELS WITH UNIT ROOTS In: Econometric Theory. [Full Text][Citation analysis] | article | 6 |
| 2007 | A NONPARAMETRIC REGRESSION ESTIMATOR THAT ADAPTS TO ERROR DISTRIBUTION OF UNKNOWN FORM In: Econometric Theory. [Full Text][Citation analysis] | article | 12 |
| 2009 | COMMENTARIES 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. [Full Text][Citation analysis] | article | 0 |
| 2013 | NONPARAMETRIC TESTS OF MOMENT CONDITION STABILITY In: Econometric Theory. [Full Text][Citation analysis] | article | 7 |
| 2013 | ESTIMATION OF AND INFERENCE ABOUT THE EXPECTED SHORTFALL FOR TIME SERIES WITH INFINITE VARIANCE In: Econometric Theory. [Full Text][Citation analysis] | article | 8 |
| 2014 | RIGHT-TAIL INFORMATION IN FINANCIAL MARKETS In: Econometric Theory. [Full Text][Citation analysis] | article | 2 |
| 2014 | UNIT ROOTS: A SELECTIVE REVIEW OF THE CONTRIBUTIONS OF PETER C. B. PHILLIPS In: Econometric Theory. [Full Text][Citation analysis] | article | 2 |
| 2014 | EFFICIENT REGRESSIONS VIA OPTIMALLY COMBINING QUANTILE INFORMATION In: Econometric Theory. [Full Text][Citation analysis] | article | 17 |
| 2015 | ADAPTIVE NONPARAMETRIC REGRESSION WITH CONDITIONAL HETEROSKEDASTICITY In: Econometric Theory. [Full Text][Citation analysis] | article | 3 |
| 1997 | An ADF Coefficient Test for a Unit Root in ARMA Models of Unknown Order with Empirical Applications to the U.S. Economy In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] | paper | 18 |
| 1998 | How to Estimate Autoregressive Roots Near Unity In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] | paper | 9 |
| 1998 | Higher Order Approximations for Wald Statistics in Cointegrating Regressions In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2001 | A CUSUM Test for Cointegration Using Regression Residuals In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] | paper | 30 |
| 2002 | A CUSUM test for cointegration using regression residuals.(2002) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 30 | article | |
| 2002 | Partially Linear Models with Unit Roots In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2002 | Efficient Regression in Time Series Partial Linear Models In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
| 2003 | Estimating Average Economic Growth in Time Series Data with Persistency In: Working Papers. [Citation analysis] | paper | 0 |
| 2004 | Estimating average economic growth in time series data with persistency.(2004) In: Journal of Macroeconomics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
| 2002 | Inference on the Quantile Regression Process In: Econometrica. [Citation analysis] | article | 165 |
| 2004 | SMOOTH TEST FOR TESTING EQUALITY OF TWO DENSITIES In: Econometric Society 2004 Far Eastern Meetings. [Citation analysis] | paper | 0 |
| 2000 | N-Consistent Semiparametric Regression: Partially Linear Models with Unit Roots In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] | paper | 0 |
| 1999 | A residual based test for the null hypothesis of cointegration In: Economics Letters. [Full Text][Citation analysis] | article | 15 |
| 2003 | Note on bandwidth selection in testing for long range dependence In: Economics Letters. [Full Text][Citation analysis] | article | 1 |
| 2002 | Higher order approximations for Wald statistics in time series regressions with integrated processes In: Journal of Econometrics. [Full Text][Citation analysis] | article | 5 |
| 2005 | Testing for cointegration using partially linear models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 6 |
| 2005 | A nonparametric test for changing trends In: Journal of Econometrics. [Full Text][Citation analysis] | article | 6 |
| 2009 | Nonparametric and robust methods in econometrics In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2009 | Functional-coefficient cointegration models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 37 |
| 2012 | Robust inference in nonstationary time series models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 2 |
| 1998 | Higher-order approximations for frequency domain time series regression In: Journal of Econometrics. [Full Text][Citation analysis] | article | 12 |
| 2002 | A generalized partially linear model of asymmetric volatility In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 27 |
| 2007 | Do shocks last forever? Local persistency in economic time series In: Journal of Macroeconomics. [Full Text][Citation analysis] | article | 10 |
| 2000 | On bootstrapping regressions with unit root processes In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 0 |
| 2008 | Testing for parameter stability in quantile regression models In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 13 |
| 2001 | Second-order approximation for adaptive regression estimators In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 2 |
| 2007 | An analysis of risk for defaultable bond portfolios In: Journal of Risk Finance. [Full Text][Citation analysis] | article | 1 |
| 2014 | A Note on Covariance Matrix Estimation in Quantile Regressions In: Frontiers of Economics in China. [Full Text][Citation analysis] | article | 0 |
| 2004 | Do shocks permanently change output? : Local persistency in economic time series In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] | paper | 1 |
| 2004 | Robustness of stationary tests under long-memory alternatives In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] | paper | 2 |
| 2004 | Purchasing power parity and the unit root tests: a robust analysis In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] | paper | 4 |
| 2006 | Testing covariance stationarity In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] | paper | 3 |
| 2007 | Testing Covariance Stationarity.(2007) In: Econometric Reviews. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
| 2013 | Risk Analysis Using Regression Quantiles: Evidence from International Equity Markets In: The International Journal of Business and Finance Research. [Full Text][Citation analysis] | article | 0 |
| 2010 | Is there long memory in financial time series? In: Applied Financial Economics. [Full Text][Citation analysis] | article | 6 |
| 2016 | Tests for normality based on the quantile-mean covariance In: Stata Journal. [Full Text][Citation analysis] | article | 2 |
| 2012 | Weak instrument inference in the presence of parameter instability In: Econometrics Journal. [Full Text][Citation analysis] | article | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 2 2021. Contact: CitEc Team