13
H index
18
i10 index
713
Citations
Zhijie Xiao : Citation Profile
Boston College | RESEARCH PRODUCTION: 51 Articles 34 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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19 years (1997 - 2016). 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 |
|---|---|
| Econometric Theory | 15 |
| Journal of Econometrics | 12 |
| Journal of the American Statistical Association | 5 |
| Economics Letters | 2 |
| Journal of Economic Surveys | 2 |
| Statistics & Probability Letters | 2 |
| Journal of Macroeconomics | 2 |
Recent works citing Zhijie Xiao (2017 and 2016)
| Year | Title of citing document |
|---|---|
| 2016 | Analysis and Forecasting of Electricty Price Risks with Quantile Factor Models. (2016). Derek, Arne Andresen . In: The Energy Journal. RePEc:aen:journl:ej37-1-bunn. Full description at Econpapers || Download paper |
| 2016 | On the Economics of Commodity Price Dynamics and Price Volatility. (2016). Chavas, Jean-Paul ; Li, Jian . In: 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts. RePEc:ags:aaea16:235070. Full description at Econpapers || Download paper |
| 2016 | Unravelling the Asymmetric Volatility Puzzle: A Novel Explanation of Volatility Through Anchoring. (2016). Ormos, Mihály ; Timotity, Dusan . In: Papers. RePEc:arx:papers:1606.03597. Full description at Econpapers || Download paper |
| 2016 | The microstructural foundations of leverage effect and rough volatility. (2016). Euch, EL ; Mathieu, Rosenbaum ; Masaaki, Fukasawa . In: Papers. RePEc:arx:papers:1609.05177. Full description at Econpapers || Download paper |
| 2017 | A Joint Quantile and Expected Shortfall Regression Framework. (2017). Dimitriadis, Timo ; Bayer, Sebastian . In: Papers. RePEc:arx:papers:1704.02213. Full description at Econpapers || Download paper |
| 2017 | The Bitcoin price formation: Beyond the fundamental sources. (2017). Selmi, Refk ; bouoiyour, jamal. In: Papers. RePEc:arx:papers:1707.01284. Full description at Econpapers || Download paper |
| 2016 | Regresión Cuantílica Dinámica para la Medición del Valor en Riesgo: una Aplicación a Datos Colombianos. (2016). Melo-Velandia, Luis ; Ustacara, Daniel Mario . In: Borradores de Economia. RePEc:bdr:borrec:939. Full description at Econpapers || Download paper |
| 2016 | Asymmetric Laplace Regression: Maximum Likelihood, Maximum Entropy and Quantile Regression. (2016). Park, Sung Y. ; Montes Rojas, Gabriel ; Antonio, Galvao ; Sung, Park ; Anil, Bera ; Gabriel, Montes-Rojas . In: Journal of Econometric Methods. RePEc:bpj:jecome:v:5:y:2016:i:1:p:79-101:n:8. Full description at Econpapers || Download paper |
| 2016 | International Mobility of Capital in the United States: Robust Evidence from Time-Series Tests. (2016). Tarlok, Singh . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:8:y:2016:i:2:p:193-249:n:1. Full description at Econpapers || Download paper |
| 2016 | Testing cointegration in quantile regressions with an application to the term structure of interest rates. (2016). Nina, Kuriyama . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:20:y:2016:i:2:p:107-121:n:2. Full description at Econpapers || Download paper |
| 2016 | Dual Regression. (2016). Spady, Richard H ; Stouli, Sami . In: Bristol Economics Discussion Papers. RePEc:bri:uobdis:16/669. Full description at Econpapers || Download paper |
| 2016 | Revisiting the efficient market hypothesis in transition countries using quantile unit root test. (2016). Chang, Tsangyao ; Bahmani-Oskooee, Mohsen ; Chen, Tsung-Hsien ; Tzeng, Han-Wen . In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00147. Full description at Econpapers || Download paper |
| 2016 | Brexit concerns, UK and European equities: A lose-lose scenario?. (2016). Selmi, Refk ; bouoiyour, jamal. In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00480. Full description at Econpapers || Download paper |
| 2016 | Spectral approach to parameter-free unit root testing. (2016). Bailey, Natalia ; Giraitis, Liudas . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:4-16. Full description at Econpapers || Download paper |
| 2016 | Confidence intervals for ARMA–GARCH Value-at-Risk: The case of heavy tails and skewness. (2016). Spierdijk, Laura . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:545-559. Full description at Econpapers || Download paper |
| 2016 | Regularized quantile regression under heterogeneous sparsity with application to quantitative genetic traits. (2016). He, Qianchuan ; Holland, Eric ; Chan, Timothy A ; Wang, Sijian ; Kong, Linglong . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:95:y:2016:i:c:p:222-239. Full description at Econpapers || Download paper |
| 2016 | Threshold, smooth transition and mean reversion in inflation: New evidence from European countries. (2016). Hsu, Chi-Sheng ; Chen, Shyh-Wei . In: Economic Modelling. RePEc:eee:ecmode:v:53:y:2016:i:c:p:23-36. Full description at Econpapers || Download paper |
| 2017 | How 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. Full description at Econpapers || Download paper |
| 2017 | Stock 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. Full description at Econpapers || Download paper |
| 2016 | A test for changing trends with monotonic power. (2016). Wu, Jilin . In: Economics Letters. RePEc:eee:ecolet:v:141:y:2016:i:c:p:15-19. Full description at Econpapers || Download paper |
| 2016 | Detecting structural changes under nonstationary volatility. (2016). Wu, Jilin . In: Economics Letters. RePEc:eee:ecolet:v:146:y:2016:i:c:p:151-154. Full description at Econpapers || Download paper |
| 2016 | Estimation and test for quantile nonlinear cointegrating regression. (2016). Li, Haiqi ; Guo, YU ; Zheng, Chaowen . In: Economics Letters. RePEc:eee:ecolet:v:148:y:2016:i:c:p:27-32. Full description at Econpapers || Download paper |
| 2016 | Improving inflation prediction with the quantity theory. (2016). Wang, Ying ; Tu, Yundong . In: Economics Letters. RePEc:eee:ecolet:v:149:y:2016:i:c:p:112-115. Full description at Econpapers || Download paper |
| 2017 | An 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. Full description at Econpapers || Download paper |
| 2016 | GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference. (2016). Prokhorov, Artem ; Hill, Jonathan B. In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:1:p:18-45. Full description at Econpapers || Download paper |
| 2016 | Sieve instrumental variable quantile regression estimation of functional coefficient models. (2016). Su, Liangjun ; Hoshino, Tadao. In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:231-254. Full description at Econpapers || Download paper |
| 2016 | Testing for (in)finite moments. (2016). Trapani, Lorenzo . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:57-68. Full description at Econpapers || Download paper |
| 2016 | Predictive quantile regression with persistent covariates: IVX-QR approach. (2016). Lee, Ji Hyung ; Hyung, JI. In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:105-118. Full description at Econpapers || Download paper |
| 2016 | Local composite quantile regression smoothing for Harris recurrent Markov processes. (2016). Li, Degui. In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:1:p:44-56. Full description at Econpapers || Download paper |
| 2016 | Conditional Value-at-Risk: Semiparametric estimation and inference. (2016). Wang, Chuan-Sheng ; Zhao, Zhibiao . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:1:p:86-103. Full description at Econpapers || Download paper |
| 2017 | Estimating 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. Full description at Econpapers || Download paper |
| 2017 | Forecasting 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. Full description at Econpapers || Download paper |
| 2017 | Inference 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. Full description at Econpapers || Download paper |
| 2017 | Semiparametric estimation and testing of smooth coefficient spatial autoregressive models. (2017). Malikov, Emir ; Sun, Yiguo . In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:1:p:12-34. Full description at Econpapers || Download paper |
| 2016 | Unravelling the asymmetric volatility puzzle: A novel explanation of volatility through anchoring. (2016). Ormos, Mihály ; Timotity, Dusan . In: Economic Systems. RePEc:eee:ecosys:v:40:y:2016:i:3:p:345-354. Full description at Econpapers || Download paper |
| 2016 | Environmental Kuznets curves: New evidence on both panel and country-level CO2 emissions. (2016). Apergis, Nicholas. In: Energy Economics. RePEc:eee:eneeco:v:54:y:2016:i:c:p:263-271. Full description at Econpapers || Download paper |
| 2016 | Energy, human capital and economic growth in Asia Pacific countries — Evidence from a panel cointegration and causality analysis. (2016). Fang, Zheng ; Chang, Youngho. In: Energy Economics. RePEc:eee:eneeco:v:56:y:2016:i:c:p:177-184. Full description at Econpapers || Download paper |
| 2017 | Revisiting 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. Full description at Econpapers || Download paper |
| 2016 | Implied volatility index for the Norwegian equity market. (2016). Molnár, Peter ; Bugge, Sebastian A ; Ringdal, Martin ; Molnar, Peter ; Guttormsen, Haakon J. In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:133-141. Full description at Econpapers || Download paper |
| 2016 | Modeling the dependence structures of financial assets through the Copula Quantile-on-Quantile approach. (2016). Sim, Nicholas . In: International Review of Financial Analysis. RePEc:eee:finana:v:48:y:2016:i:c:p:31-45. Full description at Econpapers || Download paper |
| 2016 | Quantile behaviour of cointegration between silver and gold prices. (2016). Peng, Cheng ; Zhu, Huiming ; You, Wanhai . In: Finance Research Letters. RePEc:eee:finlet:v:19:y:2016:i:c:p:119-125. Full description at Econpapers || Download paper |
| 2016 | Extreme asymmetric volatility: Stress and aggregate asset prices. (2016). Wagner, Niklas ; Aboura, Sofiane . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:41:y:2016:i:c:p:47-59. Full description at Econpapers || Download paper |
| 2016 | Frontiers in VaR forecasting and backtesting. (2016). Ruiz, Esther ; Nieto, Maria Rosa . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:475-501. Full description at Econpapers || Download paper |
| 2016 | How should economists model climate? Tipping points and nonlinear dynamics of carbon dioxide concentrations. (2016). Chavas, Jean-Paul ; Hudson, Nicholas ; Grainger, Corbett . In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:132:y:2016:i:pb:p:56-65. Full description at Econpapers || Download paper |
| 2016 | Efficiency in multivariate functional nonparametric models with autoregressive errors. (2016). Dabo-Niang, Sophie ; Ternynck, C ; Guillas, S. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:147:y:2016:i:c:p:168-182. Full description at Econpapers || Download paper |
| 2016 | Multivariate trend function testing with mixed stationary and integrated disturbances. (2016). . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:147:y:2016:i:c:p:38-57. Full description at Econpapers || Download paper |
| 2017 | Quantile 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. Full description at Econpapers || Download paper |
| 2017 | Multiple 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. Full description at Econpapers || Download paper |
| 2017 | Reduced 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. Full description at Econpapers || Download paper |
| 2017 | Fiscal sustainability in an emerging market economy: When does public debt turn bad?. (2017). Soon, Siew-Voon ; Baharumshah, Ahmad Zubaidi ; Lau, Evan . In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:39:y:2017:i:1:p:99-113. Full description at Econpapers || Download paper |
| 2017 | Empirical conditional quantile test for purchasing power parity: Evidence from East Asian countries. (2017). Ma, Wei ; Park, Sung Y ; Li, Haiqi . In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:211-222. Full description at Econpapers || Download paper |
| 2016 | Quantile regression for single-index-coefficient regression models. (2016). Jiang, Rong ; Qian, Wei-Min . In: Statistics & Probability Letters. RePEc:eee:stapro:v:110:y:2016:i:c:p:305-317. Full description at Econpapers || Download paper |
| 2016 | Recursive estimation of time-average variance constants through prewhitening. (2016). Zhang, Guoyi ; Jin, Yong ; Zheng, Wei . In: Statistics & Probability Letters. RePEc:eee:stapro:v:114:y:2016:i:c:p:30-37. Full description at Econpapers || Download paper |
| 2016 | Artifactual unit root behavior of Value at risk (VaR). (2016). Chan, Ngai Hang ; Sit, Tony . In: Statistics & Probability Letters. RePEc:eee:stapro:v:116:y:2016:i:c:p:88-93. Full description at Econpapers || Download paper |
| 2016 | Local asymptotics for nonparametric quantile regression with regression splines. (2016). Zhao, Weihua ; Lian, Heng . In: Statistics & Probability Letters. RePEc:eee:stapro:v:117:y:2016:i:c:p:209-215. Full description at Econpapers || Download paper |
| 2017 | Variable selection through adaptive MAVE. (2017). Rekabdarkolaee, Hossein Moradi ; Wang, Qin . In: Statistics & Probability Letters. RePEc:eee:stapro:v:128:y:2017:i:c:p:44-51. Full description at Econpapers || Download paper |
| 2016 | GOSTERGE FAIZ ORANI DALGALANMALARI VE BIST ENDEKSLERI ARASINDAKI ILISKININ ESANLI KANTIL REGRESYON ILE ANALIZI. (2016). Gokce, Altan ; Uyar, Sinem Kangalli . In: Ege Academic Review. RePEc:ege:journl:v:16:y:2016:i:4:p:587-598. Full description at Econpapers || Download paper |
| 2016 | Stock Return Autocorrelations and Predictability in the Chinese Stock Market: Evidence from Threshold Quantile Autoregressive Models. (2016). Xue, Wen-Jun ; Zhang, Li-Wen . In: Working Papers. RePEc:fiu:wpaper:1605. Full description at Econpapers || Download paper |
| 2017 | Global Investigation of Return Autocorrelation and its Determinants. (2017). Jain, Pawan ; Xue, Wen-Jun . In: Working Papers. RePEc:fiu:wpaper:1704. Full description at Econpapers || Download paper |
| 2016 | On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open?. (2016). Fuertes, Ana-Maria ; Olmo, Jose . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:9:y:2016:i:3:p:10-:d:77912. Full description at Econpapers || Download paper |
| 2017 | Tail event driven networks of SIFIs. (2017). Härdle, Wolfgang ; Hardle, Wolfgang Karl ; Chen, Cathy Yi-Hsuan ; Okhrin, Yarema . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2017-004. Full description at Econpapers || Download paper |
| 2016 | Dual regression. (2016). Spady, Richard ; Stouli, Sami . In: CeMMAP working papers. RePEc:ifs:cemmap:04/16. Full description at Econpapers || Download paper |
| 2016 | A quantile correlated random coefficients panel data model. (2016). Poirier, Alexandre ; Graham, Bryan ; Powell, James L ; Hahn, Jinyong . In: CeMMAP working papers. RePEc:ifs:cemmap:34/16. Full description at Econpapers || Download paper |
| 2016 | Generic inference on quantile and quantile effect functions for discrete outcomes. (2016). Wüthrich, Kaspar ; Melly, Blaise ; Fernandez-Val, Ivan ; Chernozhukov, Victor ; Wuthrich, Kaspar . In: CeMMAP working papers. RePEc:ifs:cemmap:35/16. Full description at Econpapers || Download paper |
| 2016 | On the Boundaries of the Shadow Economy: An Empirical Investigation. (2016). schneider, friedrich ; Tchetchik, Anat ; Manes, Eran . In: IZA Discussion Papers. RePEc:iza:izadps:dp10067. Full description at Econpapers || Download paper |
| 2016 | Persistency of Turkish export shocks: a quantile autoregression (QAR) approach. (2016). Berument, Hakan M ; Yasar, Pinar ; Dincer, Nergiz N. In: Empirica. RePEc:kap:empiri:v:43:y:2016:i:3:d:10.1007_s10663-015-9301-7. Full description at Econpapers || Download paper |
| 2017 | Resilience, Weather and Dynamic Adjustments in Agroecosystems: The Case of Wheat Yield in England. (2017). Chavas, Jean-Paul ; Falco, Salvatore. In: Environmental & Resource Economics. RePEc:kap:enreec:v:67:y:2017:i:2:d:10.1007_s10640-015-9987-9. Full description at Econpapers || Download paper |
| 2016 | Specification Testing for Nonlinear Multivariate Cointegrating Regressions. (2016). GAO, Jiti ; Dong, Chaohua ; Yin, Jiying ; Tjostheim, Dag . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2016-14. Full description at Econpapers || Download paper |
| 2016 | The infernal couple China-Oil Price and the Responses of G7 Equities: A QQ Approach. (2016). Selmi, Refk ; bouoiyour, jamal. In: MPRA Paper. RePEc:pra:mprapa:70379. Full description at Econpapers || Download paper |
| 2016 | On the reactions of sectoral equity returns to oil price in France: Implications for portfolio allocation. (2016). Selmi, Refk ; MIFTAH, AMAL ; bouoiyour, jamal. In: MPRA Paper. RePEc:pra:mprapa:70382. Full description at Econpapers || Download paper |
| 2016 | Brexit concerns, UK and European equities: A lose-lose scenario?. (2016). Selmi, Refk ; bouoiyour, jamal. In: MPRA Paper. RePEc:pra:mprapa:70519. Full description at Econpapers || Download paper |
| 2016 | Is uncertainty over Brexit damaging the UK and European equities?. (2016). Selmi, Refk ; bouoiyour, jamal. In: MPRA Paper. RePEc:pra:mprapa:70520. Full description at Econpapers || Download paper |
| 2016 | Nonlinear Dependence between Stock Prices and Exchange Rate in Nigeria. (2016). EFFIONG, EKPENO. In: MPRA Paper. RePEc:pra:mprapa:74336. Full description at Econpapers || Download paper |
| 2017 | Semiparametric Estimation and Testing of Smooth Coefficient Spatial Autoregressive Models. (2017). Sun, Yiguo ; Malikov, Emir. In: MPRA Paper. RePEc:pra:mprapa:77253. Full description at Econpapers || Download paper |
| 2016 | On The Fisher Effect: A Review. (2016). Bosupeng, Mpho. In: MPRA Paper. RePEc:pra:mprapa:77916. Full description at Econpapers || Download paper |
| 2017 | Inflation persistence in BRICS countries: A quantile autoregressive (QAR) model. (2017). Phiri, Andrew. In: MPRA Paper. RePEc:pra:mprapa:79956. Full description at Econpapers || Download paper |
| 2016 | Testing the Efficiency of the Art Market using Quantile-Based Unit Root Tests with Sharp and Smooth Breaks. (2016). Wohar, Mark ; GUPTA, RANGAN ; Chang, Tsangyao ; Aye, Goodness C ; Chen, Wen-Yi . In: Working Papers. RePEc:pre:wpaper:201625. Full description at Econpapers || Download paper |
| 2016 | Does U.S. News Impact Asian Emerging Markets? Evidence from Nonparametric Causality-in-Quantiles Test. (2016). GUPTA, RANGAN ; Balcilar, Mehmet ; Cakan, Esin . In: Working Papers. RePEc:pre:wpaper:201631. Full description at Econpapers || Download paper |
| 2016 | Does U.S. Macroeconomic News Make the South African Stock Market Riskier?. (2016). GUPTA, RANGAN ; Cakan, Esin . In: Working Papers. RePEc:pre:wpaper:201646. Full description at Econpapers || Download paper |
| 2017 | Do House Prices Hedge Inflation in the US? A Quantile Cointegration Approach. (2017). Wohar, Mark ; GUPTA, RANGAN ; Christou, Christina ; Nyakabawo, Wendy . In: Working Papers. RePEc:pre:wpaper:201707. Full description at Econpapers || Download paper |
| 2017 | Does Partisan Conflict Predict a Reduction in US Stock Market (Realized) Volatility? Evidence from a Quantile-on-Quantile Regression Model. (2017). Wohar, Mark ; Selmi, Refk ; GUPTA, RANGAN ; Pierdzioch, Christian . In: Working Papers. RePEc:pre:wpaper:201744. Full description at Econpapers || Download paper |
| 2017 | A Copula-Based Quantile-on-Quantile Regression Approach to Modeling Dependence Structure between Stock and Bond Returns: Evidence from Historical Data of India, South Africa, UK and US. (2017). Selmi, Refk ; Papadamou, Stephanos ; GUPTA, RANGAN ; Kollias, Christos . In: Working Papers. RePEc:pre:wpaper:201747. Full description at Econpapers || Download paper |
| 2016 | Bring Quantile Unit Root Test back in Testing Hysteresis in Unemployment for the United States. (2016). Chang, Tsangyao ; Jiang, Yushi . In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2016:i:1:p:5-13. Full description at Econpapers || Download paper |
| 2017 | Composite change point estimation for bent line quantile regression. (2017). Zhang, Liwen ; Zhu, Zhongyi ; Wang, Huixia Judy . In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:69:y:2017:i:1:d:10.1007_s10463-015-0538-5. Full description at Econpapers || Download paper |
| 2017 | Smoothed empirical likelihood for quantile regression models with response data missing at random. (2017). Mei, Changlin ; Zhang, Cheng-Yi ; Luo, Shuanghua . In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:101:y:2017:i:1:d:10.1007_s10182-016-0278-8. Full description at Econpapers || Download paper |
| 2016 | Comparison of Value-at-Risk models using the MCS approach. (2016). Catania, Leopoldo ; Bernardi, Mauro . In: Computational Statistics. RePEc:spr:compst:v:31:y:2016:i:2:d:10.1007_s00180-016-0646-6. Full description at Econpapers || Download paper |
| 2016 | Estimation of structural gravity quantile regression models. (2016). Egger, Peter ; Baltagi, Badi. In: Empirical Economics. RePEc:spr:empeco:v:50:y:2016:i:1:d:10.1007_s00181-015-0956-5. Full description at Econpapers || Download paper |
| 2016 | Foreign languages and trade: evidence from a natural experiment. (2016). Fidrmuc, Jan. In: Empirical Economics. RePEc:spr:empeco:v:50:y:2016:i:1:d:10.1007_s00181-015-0999-7. Full description at Econpapers || Download paper |
| 2016 | Inflation persistence, learning dynamics and the rationality of inflation expectations. (2016). Migiakis, Petros ; Brissimis, Sophocles. In: Empirical Economics. RePEc:spr:empeco:v:51:y:2016:i:3:d:10.1007_s00181-015-1033-9. Full description at Econpapers || Download paper |
| 2017 | Revisiting purchasing power parity in Eastern European countries: quantile unit root tests. (2017). Bahmani-Oskooee, Mohsen ; Chen, Tsung-Hsien ; Tzeng, Han-Wen ; Chang, Tsangyao . In: Empirical Economics. RePEc:spr:empeco:v:52:y:2017:i:2:d:10.1007_s00181-016-1099-z. Full description at Econpapers || Download paper |
| 2017 | Housing price–volume correlations and boom–bust cycles. (2017). Lee, Chien-Chiang ; Zeng, Jhih-Hong ; Wang, Chin-Yu . In: Empirical Economics. RePEc:spr:empeco:v:52:y:2017:i:4:d:10.1007_s00181-016-1101-9. Full description at Econpapers || Download paper |
| 2017 | Diesel and soybean price relationship in the USA: evidence from a quantile autoregressive distributed lag model. (2017). Pal, Debdatta ; Mitra, Subrata K. In: Empirical Economics. RePEc:spr:empeco:v:52:y:2017:i:4:d:10.1007_s00181-016-1114-4. Full description at Econpapers || Download paper |
| 2017 | Robust and efficient direction identification for groupwise additive multiple-index models and its applications. (2017). Wang, Kangning ; Lin, LU. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:26:y:2017:i:1:d:10.1007_s11749-016-0496-0. Full description at Econpapers || Download paper |
| 2017 | Quantile relationships between standard, diffusion and jump betas across Japanese banks. (2017). Chowdhury, Biplob ; Dungey, Mardi ; Jeyasreedharan, Nagaratnam . In: Working Papers. RePEc:tas:wpaper:23638. Full description at Econpapers || Download paper |
| 2016 | Topics in nonparametric identification and estimation. (2016). Hubner, Stefan. In: Other publications TiSEM. RePEc:tiu:tiutis:08fce56b-3193-46e0-871b-0fa4402832b5. Full description at Econpapers || Download paper |
| 2016 | The Efficiency of Monetary Policy when Guiding Inflation Expectations. (2016). Bauer, Christian ; Weber, Sebastian . In: Research Papers in Economics. RePEc:trr:wpaper:201614. Full description at Econpapers || Download paper |
| 2016 | Generic Inference on Quantile and Quantile Effect Functions for Discrete Outcomes. (2016). Wüthrich, Kaspar ; Melly, Blaise ; Fernandez-Val, Ivan ; Chernozhukov, Victor ; Wuthrich, Kaspar . In: Diskussionsschriften. RePEc:ube:dpvwib:dp1607. Full description at Econpapers || Download paper |
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 | 99 |
| 2009 | Conditional Quantile Estimation for Generalized Autoregressive Conditional Heteroscedasticity Models In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 13 |
| 2003 | More Efficient Local Polynomial Estimation in Nonparametric Regression With Autocorrelated Errors In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 15 |
| 2004 | Unit Root Quantile Autoregression Inference In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 60 |
| 1998 | A Primer on Unit Root Testing In: Journal of Economic Surveys. [Full Text][Citation analysis] | article | 94 |
| 1998 | A Primer on Unit Root Testing..(1998) In: Journal of Economic Surveys. [Full Text][Citation analysis] This paper has another version. Agregated cites: 94 | article | |
| 1998 | A Primer on Unit Root Testing.(1998) In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 94 | paper | |
| 2008 | Copula-Based Nonlinear Quantile Autoregression In: Boston College Working Papers in Economics. [Full Text][Citation analysis] | paper | 10 |
| 2008 | Copula-Based Nonlinear Quantile Autoregression.(2008) In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
| 2009 | Copula-based nonlinear quantile autoregression.(2009) In: Econometrics Journal. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | article | |
| 2008 | Copula-based nonlinear quantile autoregression.(2008) In: CeMMAP working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
| 2009 | Quantile Cointegrating Regression In: Boston College Working Papers in Economics. [Full Text][Citation analysis] | paper | 35 |
| 2009 | Quantile cointegrating regression.(2009) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 35 | article | |
| 2009 | Tests for Changing Mean with Monotonic Power In: Boston College Working Papers in Economics. [Full Text][Citation analysis] | paper | 8 |
| 2009 | Tests for changing mean with monotonic power.(2009) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | 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: 8 | paper | |
| 2009 | Conditional Quantile Estimation for GARCH Models In: Boston College Working Papers in Economics. [Full Text][Citation analysis] | paper | 3 |
| 2010 | Semiparametric Quantile Regression Estimation in Dynamic Models with Partially Varying Coefficients In: Boston College Working Papers in Economics. [Full Text][Citation analysis] | paper | 17 |
| 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: 17 | 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 | 12 |
| 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: 12 | article | |
| 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: 12 | paper | |
| 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: 12 | paper | |
| 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 | 8 |
| 2007 | A NONPARAMETRIC REGRESSION ESTIMATOR THAT ADAPTS TO ERROR DISTRIBUTION OF UNKNOWN FORM.(2007) In: Econometric Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | article | |
| 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: 8 | 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: 8 | 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 | 11 |
| 2001 | HOW TO ESTIMATE AUTOREGRESSIVE ROOTS NEAR UNITY In: Econometric Theory. [Full Text][Citation analysis] | article | 18 |
| 1998 | How to Estimate Autoregressive Roots Near Unity.(1998) In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
| 2001 | SECOND-ORDER APPROXIMATION FOR ADAPTIVE REGRESSION ESTIMATORS In: Econometric Theory. [Full Text][Citation analysis] | article | 4 |
| 2001 | Second-order approximation for adaptive regression estimators.(2001) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
| 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 | 7 |
| 2005 | PARTIALLY LINEAR MODELS WITH UNIT ROOTS In: Econometric Theory. [Full Text][Citation analysis] | article | 7 |
| 2002 | Partially Linear Models with Unit Roots.(2002) In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 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 | 5 |
| 2013 | A SMOOTH TEST FOR THE EQUALITY OF DISTRIBUTIONS In: Econometric Theory. [Full Text][Citation analysis] | article | 1 |
| 2013 | ESTIMATION OF AND INFERENCE ABOUT THE EXPECTED SHORTFALL FOR TIME SERIES WITH INFINITE VARIANCE In: Econometric Theory. [Full Text][Citation analysis] | article | 3 |
| 2014 | RIGHT-TAIL INFORMATION IN FINANCIAL MARKETS In: Econometric Theory. [Full Text][Citation analysis] | article | 0 |
| 2014 | UNIT ROOTS: A SELECTIVE REVIEW OF THE CONTRIBUTIONS OF PETER C. B. PHILLIPS In: Econometric Theory. [Full Text][Citation analysis] | article | 1 |
| 2014 | EFFICIENT REGRESSIONS VIA OPTIMALLY COMBINING QUANTILE INFORMATION In: Econometric Theory. [Full Text][Citation analysis] | article | 6 |
| 2015 | ADAPTIVE NONPARAMETRIC REGRESSION WITH CONDITIONAL HETEROSKEDASTICITY In: Econometric Theory. [Full Text][Citation analysis] | article | 0 |
| 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 | 15 |
| 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 | 20 |
| 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: 20 | article | |
| 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. [Full Text][Citation analysis] | article | 113 |
| 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 | 10 |
| 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 | 4 |
| 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 | 28 |
| 2012 | Robust inference in nonstationary time series models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1 |
| 1998 | Higher-order approximations for frequency domain time series regression In: Journal of Econometrics. [Full Text][Citation analysis] | article | 11 |
| 2002 | A generalized partially linear model of asymmetric volatility In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 23 |
| 2007 | Do shocks last forever? Local persistency in economic time series In: Journal of Macroeconomics. [Full Text][Citation analysis] | article | 8 |
| 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 | 9 |
| 2007 | An analysis of risk for defaultable bond portfolios In: Journal of Risk Finance. [Full Text][Citation analysis] | article | 0 |
| 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 | 2 |
| 2016 | Tests for normality based on the quantile-mean covariance In: Stata Journal. [Full Text][Citation analysis] | article | 0 |
| 2012 | Weak instrument inference in the presence of parameter instability In: Econometrics Journal. [Full Text][Citation analysis] | article | 0 |
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