Zhijie Xiao : Citation Profile

Are you Zhijie Xiao?

Boston College

15

H index

23

i10 index

932

Citations

RESEARCH PRODUCTION:

51

Articles

34

Papers

RESEARCH ACTIVITY:

   19 years (1997 - 2016). See details.
   Cites by year: 49
   Journals where Zhijie Xiao has often published
   Relations with other researchers
   Recent citing documents: 164.    Total self citations: 18 (1.89 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pxi26
   Updated: 2019-05-18    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 (26)

Gaglianone, Wagner (21)

GUPTA, RANGAN (19)

GAO, Jiti (19)

Kim, Tae-Hwan (18)

LINTON, OLIVER (16)

Lima, Luiz (15)

Selmi, Refk (15)

Taylor, Robert (14)

bouoiyour, jamal (13)

Wohar, Mark (12)

Cites to:

Phillips, Peter (58)

Andrews, Donald (14)

Engle, Robert (12)

Lucas, Andre (10)

Ouliaris, Sam (10)

Robinson, Peter (10)

shin, yongcheol (10)

Perron, Pierre (10)

Schmidt, Peter (9)

Stock, James (9)

Schwert, G. (8)

Main data

Where Zhijie Xiao has published?

Journals with more than one article published# docs
Econometric Theory15
Journal of Econometrics12
Journal of the American Statistical Association5
Journal of Macroeconomics2
Journal of Economic Surveys2
Statistics & Probability Letters2
Economics Letters2

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 Economics6
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) / FGV EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil)5

Recent works citing Zhijie Xiao (2018 and 2017)

YearTitle of citing document
2017The Effect of Transmission Constraints on Electricity Prices. (2017). Hurn, Stan ; Clements, Adam ; Li, Zili. In: The Energy Journal. RePEc:aen:journl:ej38-4-hurn.

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2017The Effects of Private Stocks versus Public Stocks on Food Price Volatility. (2017). Chavas, Jean-Paul ; Li, Jian. In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:259185.

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2018The Effects of Private Stocks versus Public Stocks on Food Price Volatility. (2018). Chavas, J.-P., ; Li, J. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:275976.

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2018Analysis of Price Transmission along the Cambodian Rice Value Chain. (2018). Bairagi, S ; Mohanty, S. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:277022.

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2018How Have China s Agricultural Price Support Policies Affected Market Prices?: A Quantile Regression Evaluation. (2018). Li, J ; Chavas, J.-P., . In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:277557.

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2018Dual Regression. (2018). Stouli, Sami ; Spady, Richard. In: Papers. RePEc:arx:papers:1210.6958.

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2018Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables. (2018). Baruník, Jozef ; Kley, Tobias. In: Papers. RePEc:arx:papers:1510.06946.

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2018Testing for Common Breaks in a Multiple Equations System. (2018). Perron, Pierre ; Oka, Tatsushi. In: Papers. RePEc:arx:papers:1606.00092.

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2018Generic Inference on Quantile and Quantile Effect Functions for Discrete Outcomes. (2018). Melly, Blaise ; Chernozhukov, Victor ; Wuthrich, Kaspar ; Fern, Iv'An. In: Papers. RePEc:arx:papers:1608.05142.

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2017A Joint Quantile and Expected Shortfall Regression Framework. (2017). Dimitriadis, Timo ; Bayer, Sebastian. In: Papers. RePEc:arx:papers:1704.02213.

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2017The Bitcoin price formation: Beyond the fundamental sources. (2017). Selmi, Refk ; bouoiyour, jamal. In: Papers. RePEc:arx:papers:1707.01284.

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2017A nonparametric copula approach to conditional Value-at-Risk. (2017). Geenens, Gery ; Dunn, Richard . In: Papers. RePEc:arx:papers:1712.05527.

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2018Measuring the response of gold prices to uncertainty: An analysis beyond the mean. (2018). Wohar, Mark ; Selmi, Refk ; bouoiyour, jamal. In: Papers. RePEc:arx:papers:1806.07623.

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2018Quantile-Regression Inference With Adaptive Control of Size. (2018). Goh, Chuan ; Escanciano, Juan Carlos. In: Papers. RePEc:arx:papers:1807.06977.

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2018A 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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2019The Arrival of News and Return Jumps in Stock Markets: A Nonparametric Approach. (2019). Kanniainen, Juho ; Yue, YE. In: Papers. RePEc:arx:papers:1901.02691.

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2017Predicting Exchange Rate Volatility in Brazil: an approach using quantile autoregression. (2017). Gaglianone, Wagner ; Figueiredo, Antonio Carlos ; Klotzle, Marcelo Cabus ; Viola, Alessandra Pasqualina. In: Working Papers Series. RePEc:bcb:wpaper:466.

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2018Explaining and Forecasting Euro Area Inflation: the Role of Domestic and Global Factors. (2018). Schmidt, Katja ; Faubert, Violaine ; Bereau, S. In: Working papers. RePEc:bfr:banfra:663.

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2017Does the T + 1 rule really reduce speculation? Evidence from Chinese Stock Index ETF. (2017). Chen, Xinyun ; Zeng, Tao ; Liu, Yan. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:5:p:1287-1313.

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2017Quantile spectral analysis for locally stationary time series. (2017). Hallin, Marc ; Dette, Holger ; Kley, Tobias ; Volgushev, Stanislav ; Birr, Stefan. In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:79:y:2017:i:5:p:1619-1643.

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2018Unit Root Testing with Unstable Volatility. (2018). Beare, Brendan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:816-835.

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2017Interest Rate Sensitivity of Spanish Industries: A Quantile Regression Approach. (2017). Jareño, Francisco ; Jareo, Francisco ; Ferrer, Roman ; Ferrando, Laura. In: Manchester School. RePEc:bla:manchs:v:85:y:2017:i:2:p:212-242.

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2017A Simple Approach for Diagnosing Instabilities in Predictive Regressions. (2017). Pitarakis, Jean-Yves. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:79:y:2017:i:5:p:851-874.

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2019Efficient Estimation of Nonparametric Regression in The Presence of Dynamic Heteroskedasticit. (2019). Linton, O ; Xiao, Z. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1907.

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2018Quantile Factor Models. (2018). Gonzalo, Jesus ; Dolado, Juan ; Chen, Liang. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12716.

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2017Quantile Factor Models. (2017). Gonzalo, Jesus ; Dolado, Juan ; Chen, Liang ; Muoz, Jesus Gonzalo. In: UC3M Working papers. Economics. RePEc:cte:werepe:25299.

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2019Exploring option pricing and hedging via volatility asymmetry. (2019). Veiga, Helena ; Casas, Isabel ; Lopes, Maria Helena. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:28234.

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2018Testing the Fisher Effect in the US. (2018). Cai, Yifei. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00307.

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2018Crude oil and equity markets in major European countries: New evidence. (2018). miloudi, anthony ; Benkraiem, Ramzi ; Lahiani, Amine ; van Hoang, Thi Hong. In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00237.

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2017Thoughts on the inequality of opportunities: new evidence. (2017). Santos, Wallace Patrick ; de Oliveira, Victor Rodrigues ; Annegues, Ana Claudia . In: Revista CEPAL. RePEc:ecr:col070:42012.

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2017Copula-statistical precipitation forecasting model in Australia’s agro-ecological zones. (2017). Nguyen-Huy, Thong ; Khan, Shahjahan ; Mushtaq, Shahbaz ; An-Vo, Duc-Anh ; Deo, Ravinesh C. In: Agricultural Water Management. RePEc:eee:agiwat:v:191:y:2017:i:c:p:153-172.

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2018Quantile relationships between standard, diffusion and jump betas across Japanese banks. (2018). Chowdhury, Biplob ; Dungey, Mardi ; JEYASREEDHARAN, NAGARATNAM . In: Journal of Asian Economics. RePEc:eee:asieco:v:59:y:2018:i:c:p:29-47.

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2017D-vine copula based quantile regression. (2017). Kraus, Daniel ; Czado, Claudia. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:110:y:2017:i:c:p:1-18.

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2018Quantile regression for partially linear varying-coefficient model with censoring indicators missing at random. (2018). Liang, Han-Ying ; Shen, YU. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:117:y:2018:i:c:p:1-18.

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2018A principal varying-coefficient model for quantile regression: Joint variable selection and dimension reduction. (2018). Zhao, Weihua ; Lian, Heng ; Jiang, Xuejun. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:127:y:2018:i:c:p:269-280.

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2018Time-varying quantile single-index model for multivariate responses. (2018). Zhao, Weihua ; Lian, Heng ; Zhou, Yan. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:127:y:2018:i:c:p:32-49.

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2019Bayesian copula spectral analysis for stationary time series. (2019). Zhang, Shibin. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:133:y:2019:i:c:p:166-179.

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2019Modelling and estimation of nonlinear quantile regression with clustered data. (2019). Geraci, Marco . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:136:y:2019:i:c:p:30-46.

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2017Assessing DSGE model nonlinearities. (2017). Schorfheide, Frank ; Bocola, Luigi ; Aruoba, S. Boragan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:83:y:2017:i:c:p:34-54.

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2017How credible is inflation targeting in Asia? A quantile unit root perspective. (2017). Holmes, Mark ; Hassan, Gazi ; Glenn, Harold. In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:194-210.

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2017Stock return autocorrelations and predictability in the Chinese stock market—Evidence from threshold quantile autoregressive models. (2017). Xue, Wen-Jun ; Zhang, Li-Wen . In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:391-401.

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2017Equity market information and credit risk signaling: A quantile cointegrating regression approach. (2017). Gatfaoui, Hayette. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:48-59.

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2017Modelling the effect of the geographical environment on Islamic banking performance: A panel quantile regression analysis. (2017). JAWADI, Fredj ; Louhichi, Wael ; ben Ameur, Hachmi ; Cheffou, Abdoulkarim Idi. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:300-306.

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2017Measuring systemic risk with regime switching in tails. (2017). Liu, Xiaochun. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:55-72.

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2018Estimating inflation persistence by quantile autoregression with quantile-specific unit roots. (2018). Rodrigues Figueiredo, Francisco ; Gaglianone, Wagner ; de Carvalho, Osmani Teixeira. In: Economic Modelling. RePEc:eee:ecmode:v:73:y:2018:i:c:p:407-430.

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2018Measuring the response of gold prices to uncertainty: An analysis beyond the mean. (2018). Wohar, Mark ; Selmi, Refk ; bouoiyour, jamal. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:105-116.

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2018Does partisan conflict predict a reduction in US stock market (realized) volatility? Evidence from a quantile-on-quantile regression model☆. (2018). Wohar, Mark ; Selmi, Refk ; Pierdzioch, Christian ; GUPTA, RANGAN. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:43:y:2018:i:c:p:87-96.

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2017An alternative bandwidth selection method for estimating functional coefficient models. (2017). Chen, Xirong ; Li, QI ; Huang, Ta-Cheng . In: Economics Letters. RePEc:eee:ecolet:v:156:y:2017:i:c:p:27-31.

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2018Weak convergence of local quantile treatment effect processes. (2018). Hyun, JU ; Park, Byoung G. In: Economics Letters. RePEc:eee:ecolet:v:162:y:2018:i:c:p:49-52.

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2018Asymmetric volatility in cryptocurrencies. (2018). Baur, Dirk G ; Dimpfl, Thomas. In: Economics Letters. RePEc:eee:ecolet:v:173:y:2018:i:c:p:148-151.

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2017Estimating smooth structural change in cointegration models. (2017). Phillips, Peter ; GAO, Jiti ; PEter, . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:180-195.

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2017Forecasting cointegrated nonstationary time series with time-varying variance. (2017). Yi, Yanping ; Tu, Yundong . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:83-98.

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2017Inference and testing breaks in large dynamic panels with strong cross sectional dependence. (2017). Hidalgo, Javier ; Schafgans, Marcia . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:259-274.

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2017Semiparametric estimation and testing of smooth coefficient spatial autoregressive models. (2017). Sun, Yiguo ; Malikov, Emir. In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:1:p:12-34.

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2017Specification testing for nonlinear multivariate cointegrating regressions. (2017). GAO, Jiti ; Yin, Jiying ; Tjostheim, Dag ; Dong, Chaohua. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:1:p:104-117.

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2017Inference in continuous systems with mildly explosive regressors. (2017). Yu, Jun ; Phillips, Peter ; Chen, YE ; PEter, ; JunYu, . In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:400-416.

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2018Nonparametric testing for smooth structural changes in panel data models. (2018). Chen, Bin ; Huang, Liquan. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:2:p:245-267.

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2018Testing for common breaks in a multiple equations system. (2018). Perron, Pierre ; Oka, Tatsushi. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:1:p:66-85.

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2018A quantile correlated random coefficients panel data model. (2018). Hahn, Jinyong ; Graham, Bryan ; Powell, James L ; Poirier, Alexandre. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:2:p:305-335.

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2018A semiparametric quantile panel data model with an application to estimating the growth effect of FDI. (2018). CAI, ZONGWU ; Fang, Ying ; Chen, Linna . In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:2:p:531-553.

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2018Linear double autoregression. (2018). Zhu, Qianqian ; Li, Guodong ; Zheng, Yao. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:162-174.

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2018Additive nonparametric models with time variable and both stationary and nonstationary regressors. (2018). LINTON, OLIVER ; Dong, Chaohua. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:212-236.

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2018Model checks for nonlinear cointegrating regression. (2018). Zhu, Ke ; Wu, Dongsheng ; Wang, Qiying. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:2:p:261-284.

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2019Determination of vector error correction models in high dimensions. (2019). Schienle, Melanie ; Liang, Chong. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:418-441.

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2018Composite quantile regression for GARCH models using high-frequency data. (2018). Wang, Meng ; Chen, Zhao. In: Econometrics and Statistics. RePEc:eee:ecosta:v:7:y:2018:i:c:p:115-133.

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2018Testing the null of difference stationarity against the alternative of a stochastic unit root: A new test based on multivariate STUR. (2018). Muriel, Nelson ; Gonzalez-Farias, Graciela. In: Econometrics and Statistics. RePEc:eee:ecosta:v:7:y:2018:i:c:p:46-62.

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2018Change point detection in heteroscedastic time series. (2018). Gorecki, Tomasz ; Kokoszka, Piotr ; Horvath, Lajos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:7:y:2018:i:c:p:63-88.

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2018Measuring long-term tail risk: Evaluating the performance of the square-root-of-time rule. (2018). Wang, Jying-Nan ; Hsu, Yuan-Teng ; Du, Jiangze. In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:120-138.

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2019Conditional tail-risk in cryptocurrency markets. (2019). Borri, Nicola. In: Journal of Empirical Finance. RePEc:eee:empfin:v:50:y:2019:i:c:p:1-19.

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2017Forecasting quantiles of day-ahead electricity load. (2017). Clements, Adam ; Li, Z ; Hurn, A S. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:60-71.

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2018Renewable energy, oil prices, and economic activity: A Granger-causality in quantiles analysis. (2018). Uddin, Gazi ; Troster, Victor ; Shahbaz, Muhammad. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:440-452.

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2018The role of globalization in energy consumption: A quantile cointegrating regression approach. (2018). Shahbaz, Muhammad ; Hammoudeh, Shawkat ; Abosedra, Salah ; Lahiani, Amine. In: Energy Economics. RePEc:eee:eneeco:v:71:y:2018:i:c:p:161-170.

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2018Risk spillover of international crude oil to Chinas firms: Evidence from granger causality across quantile. (2018). Peng, Cheng ; Chen, Xiuyun ; Guo, Yawei ; Zhu, Huiming. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:188-199.

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2018Is Bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold. (2018). Selmi, Refk ; bouoiyour, jamal ; Hammoudeh, Shawkat ; Mensi, Walid. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:787-801.

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2018The asymmetric return-volatility relationship of commodity prices. (2018). Baur, Dirk G ; Dimpfl, Thomas. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:378-387.

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2019The effects of oil price shocks on Asian exchange rates: Evidence from quantile regression analysis. (2019). Nusair, Salah ; Olson, Dennis. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:44-63.

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2017Revisiting the role of financial development for energy-growth-trade nexus in BRICS economies. (2017). Ahmed, Khalid. In: Energy. RePEc:eee:energy:v:128:y:2017:i:c:p:487-495.

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2018Asymmetric persistence in convergence for carbon dioxide emissions based on quantile unit root test with Fourier function. (2018). Cai, Yifei ; Inglesi-Lotz, Roula ; Chang, Tsangyao. In: Energy. RePEc:eee:energy:v:161:y:2018:i:c:p:470-481.

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2018Asymmetric dependence between economic policy uncertainty and stock market returns in G7 and BRIC: A quantile regression approach. (2018). Guo, Peng ; You, Wanhai ; Zhu, Huiming. In: Finance Research Letters. RePEc:eee:finlet:v:25:y:2018:i:c:p:251-258.

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2018Unit root quantile autoregression testing with smooth structural changes. (2018). Li, Haiqi ; Zheng, Chaowen . In: Finance Research Letters. RePEc:eee:finlet:v:25:y:2018:i:c:p:83-89.

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2018Measuring sovereign contagion in Europe. (2018). Pelizzon, Loriana ; Caporin, Massimiliano ; Rigobon, Roberto ; Ravazzolo, Francesco. In: Journal of Financial Stability. RePEc:eee:finsta:v:34:y:2018:i:c:p:150-181.

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2018Do terrorist attacks harm financial markets? A meta-analysis of event studies and the determinants of adverse impact. (2018). Park, Jin Suk ; Newaz, Mohammad Khaleq. In: Global Finance Journal. RePEc:eee:glofin:v:37:y:2018:i:c:p:227-247.

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2018Optimal investment under VaR-Regulation and Minimum Insurance. (2018). Chen, AN ; Stadje, Mitja ; Nguyen, Thai. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:194-209.

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2017Predicting risk premium under changes in the conditional distribution of stock returns. (2017). Sousa, Ricardo. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:50:y:2017:i:c:p:204-218.

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2017The persistence in real interest rates: Does it solve the intertemporal consumption behavior puzzle?. (2017). Soon, Siew-Voon ; Baharumshah, Ahmad Zubaidi ; Mohamad, Nurul Sima . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:50:y:2017:i:c:p:36-51.

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2018Distribution specific dependence and causality between industry-level U.S. credit and stock markets. (2018). Shahzad, Syed Jawad Hussain ; Shahbaz, Muhammad ; Balcilar, Mehmet ; Hammoudeh, Shawkat ; Mensi, Walid ; Hussain, Syed Jawad. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:52:y:2018:i:c:p:114-133.

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2018Time-variation in the relationship between white precious metals and inflation: A cross-country analysis. (2018). Bilgin, Mehmet ; Vigne, Samuel A ; Keung, Marco Chi ; Gogolin, Fabian. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:56:y:2018:i:c:p:55-70.

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2018Are gold and silver cointegrated? New evidence from quantile cointegrating regressions. (2018). Schweikert, Karsten. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:88:y:2018:i:c:p:44-51.

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2017Quantile index coefficient model with variable selection. (2017). Zhao, Weihua ; Lian, Heng. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:154:y:2017:i:c:p:40-58.

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2017Multiple quantile regression analysis of longitudinal data: Heteroscedasticity and efficient estimation. (2017). Cho, Hyunkeun ; Kim, Mi-Ok. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:155:y:2017:i:c:p:334-343.

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2017Reduced form vector directional quantiles. (2017). Montes-Rojas, Gabriel. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:158:y:2017:i:c:p:20-30.

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2019Volatility estimation in a nonlinear heteroscedastic functional regression model with martingale difference errors. (2019). Chaouch, Mohamed. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:170:y:2019:i:c:p:129-148.

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2017Fiscal sustainability in an emerging market economy: When does public debt turn bad?. (2017). Soon, Siew-Voon ; Lau, Evan ; Baharumshah, Ahmad Zubaidi. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:39:y:2017:i:1:p:99-113.

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2017Can economic policy uncertainty and investors sentiment predict commodities returns and volatility?. (2017). Shahzad, Syed Jawad Hussain ; Shahbaz, Muhammad ; Balcilar, Mehmet ; Hussain, Syed Jawad ; Raza, Naveed ; Ali, Sajid. In: Resources Policy. RePEc:eee:jrpoli:v:53:y:2017:i:c:p:208-218.

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2017Global investigation of return autocorrelation and its determinants. (2017). Jain, Pawan ; Xue, Wenjun. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:43:y:2017:i:c:p:200-217.

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2019The heterogeneous impact of liquidity on volatility in Chinese stock index futures market. (2019). Xu, Yanyan ; Qiao, Gaoxiu ; Ma, Feng ; Huang, Dengshi. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:517:y:2019:i:c:p:73-85.

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2019Quantile smoothing in supply chain and logistics forecasting. (2019). Bruzda, Joanna . In: International Journal of Production Economics. RePEc:eee:proeco:v:208:y:2019:i:c:p:122-139.

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2019Intra-day dynamics of exchange rates: New evidence from quantile regression. (2019). Kuck, Konstantin ; Maderitsch, Robert. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:71:y:2019:i:c:p:247-257.

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2018The misuse of net present value in energy efficiency standards. (2018). Basher, Syed ; Raboy, David G. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:96:y:2018:i:c:p:218-225.

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2017Empirical conditional quantile test for purchasing power parity: Evidence from East Asian countries. (2017). Park, Sung Y. ; Li, Haiqi ; Ma, Wei. In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:211-222.

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

Works by Zhijie Xiao:

YearTitleTypeCited
2006Rejoinder In: Journal of the American Statistical Association.
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2006Quantile Autoregression In: Journal of the American Statistical Association.
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2009Conditional Quantile Estimation for Generalized Autoregressive Conditional Heteroscedasticity Models In: Journal of the American Statistical Association.
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2003More Efficient Local Polynomial Estimation in Nonparametric Regression With Autocorrelated Errors In: Journal of the American Statistical Association.
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2004Unit Root Quantile Autoregression Inference In: Journal of the American Statistical Association.
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1998A Primer on Unit Root Testing In: Journal of Economic Surveys.
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1998 A Primer on Unit Root Testing..(1998) In: Journal of Economic Surveys.
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1998A Primer on Unit Root Testing.(1998) In: Cowles Foundation Discussion Papers.
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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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2009Quantile cointegrating regression.(2009) In: Journal of Econometrics.
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2009Tests for Changing Mean with Monotonic Power In: Boston College Working Papers in Economics.
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2009Tests for changing mean with monotonic power.(2009) In: Journal of Econometrics.
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2008TESTS FOR CHANGING MEAN WITH MONOTONIC POWER.(2008) In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED 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.
[Full Text][Citation analysis]		paper15
2011A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom.(2011) In: Journal of Econometrics.
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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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2011A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom.(2011) In: Post-Print.
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2010Testing Unit Root Based on Partially Adaptive Estimation In: Journal of Time Series Econometrics.
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2004Testing Unit Root Based on Partially Adaptive Estimation.(2004) In: Econometric Society 2004 Latin American Meetings.
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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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2007A NONPARAMETRIC REGRESSION ESTIMATOR THAT ADAPTS TO ERROR DISTRIBUTION OF UNKNOWN FORM.(2007) In: Econometric Theory.
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2001A nonparametric regression estimator that adapts to error distribution of unknown form.(2001) In: LSE Research Online Documents on Economics.
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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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1999EFFICIENT DETRENDING IN COINTEGRATING REGRESSION In: Econometric Theory.
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2001HOW TO ESTIMATE AUTOREGRESSIVE ROOTS NEAR UNITY In: Econometric Theory.
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1998How to Estimate Autoregressive Roots Near Unity.(1998) In: Cowles Foundation Discussion Papers.
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2001SECOND-ORDER APPROXIMATION FOR ADAPTIVE REGRESSION ESTIMATORS In: Econometric Theory.
[Full Text][Citation analysis]		article4
2001Second-order approximation for adaptive regression estimators.(2001) In: LSE Research Online Documents on Economics.
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2001LIKELIHOOD-BASED INFERENCE IN TRENDING TIME SERIES WITH A ROOT NEAR UNITY In: Econometric Theory.
[Full Text][Citation analysis]		article2
2003POWER FUNCTIONS AND ENVELOPES FOR UNIT ROOT TESTS In: Econometric Theory.
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2005PARTIALLY LINEAR MODELS WITH UNIT ROOTS In: Econometric Theory.
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2002Partially Linear Models with Unit Roots.(2002) In: Cowles Foundation Discussion Papers.
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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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2013A SMOOTH TEST FOR THE EQUALITY OF DISTRIBUTIONS 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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2015ADAPTIVE NONPARAMETRIC REGRESSION WITH CONDITIONAL HETEROSKEDASTICITY In: Econometric Theory.
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1997An 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.
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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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2002A CUSUM test for cointegration using regression residuals.(2002) In: Journal of Econometrics.
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2002Efficient Regression in Time Series Partial Linear Models In: Cowles Foundation Discussion Papers.
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2003Estimating Average Economic Growth in Time Series Data with Persistency In: Working Papers.
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2004Estimating average economic growth in time series data with persistency.(2004) In: Journal of Macroeconomics.
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2002Inference on the Quantile Regression Process In: Econometrica.
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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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1999A residual based test for the null hypothesis of cointegration In: Economics Letters.
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2003Note on bandwidth selection in testing for long range dependence In: Economics Letters.
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2002Higher order approximations for Wald statistics in time series regressions with integrated processes In: Journal of Econometrics.
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2005Testing for cointegration using partially linear models In: Journal of Econometrics.
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2005A nonparametric test for changing trends In: Journal of Econometrics.
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2009Nonparametric and robust methods in econometrics In: Journal of Econometrics.
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2009Functional-coefficient cointegration models In: Journal of Econometrics.
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2012Robust inference in nonstationary time series models In: Journal of Econometrics.
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1998Higher-order approximations for frequency domain time series regression In: Journal of Econometrics.
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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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2000On bootstrapping regressions with unit root processes In: Statistics & Probability Letters.
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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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2004Do shocks permanently change output? : Local persistency in economic time series In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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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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2007Testing Covariance Stationarity.(2007) In: Econometric Reviews.
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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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2010Is there long memory in financial time series? In: Applied Financial Economics.
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2016Tests for normality based on the quantile-mean covariance In: Stata Journal.
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2012Weak instrument inference in the presence of parameter instability In: Econometrics Journal.
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