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Zhijie Xiao : Citation Profile


Are you Zhijie Xiao?

Boston College

13

H index

19

i10 index

761

Citations

RESEARCH PRODUCTION:

51

Articles

34

Papers

RESEARCH ACTIVITY:

   19 years (1997 - 2016). See details.
   Cites by year: 40
   Journals where Zhijie Xiao has often published
   Relations with other researchers
   Recent citing documents: 65.    Total self citations: 18 (2.31 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pxi26
   Updated: 2018-02-17    RAS profile: 2016-03-01    
   Missing citations? Add them    Incorrect content? Let us know

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)

GAO, Jiti (19)

Kim, Tae-Hwan (18)

GUPTA, RANGAN (15)

Gaglianone, Wagner (15)

Lima, Luiz (15)

Taylor, Robert (14)

LINTON, OLIVER (12)

Francq, Christian (10)

Qu, Zhongjun (10)

Selmi, Refk (9)

Cites to:

Phillips, Peter (58)

Andrews, Donald (14)

Engle, Robert (12)

Robinson, Peter (10)

Perron, Pierre (10)

Lucas, Andre (10)

Ouliaris, Sam (10)

shin, yongcheol (10)

Schwert, G. (9)

Schmidt, Peter (9)

Stock, James (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
Statistics & Probability Letters2
Economics Letters2
Journal of Macroeconomics2
Journal of Economic Surveys2

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

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2017Generic Inference on Quantile and Quantile Effect Functions for Discrete Outcomes. (2017). Chernozhukov, Victor ; Wuthrich, Kaspar ; Melly, Blaise ; 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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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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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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2017Quantile Factor Models. (2017). Dolado, Juan ; Chen, Liang ; Muoz, Jesus Gonzalo. In: UC3M Working papers. Economics. RePEc:cte:werepe:25299.

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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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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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2017Assessing DSGE model nonlinearities. (2017). Schorfheide, Frank ; Aruoba, S. Boragan ; Bocola, Luigi. 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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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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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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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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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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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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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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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). 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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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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2017An integrated macro-financial risk-based approach to the stressed capital requirement. (2017). Liu, Xiaochun. In: Review of Financial Economics. RePEc:eee:revfin:v:34:y:2017:i:c:p:86-98.

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2017Testing the inflation rates in MENA countries: Evidence from quantile regression approach and seasonal unit root test. (2017). Tiwari, Aviral Kumar ; Kyophilavong, Phouphet ; Bolat, Suleyman . In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:1089-1095.

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2017Variable 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.

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2017Distribution free testing for conditional distributions given covariates. (2017). Khmaladze, Estate. In: Statistics & Probability Letters. RePEc:eee:stapro:v:129:y:2017:i:c:p:348-354.

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2017The Impact of Major Oil, Financial and Uncertainty Factors on Sovereign CDS Spreads: Evidence from GCC, Other Oil-Exporting Countries and Regional Markets. (2017). Shahzad, Syed Jawad Hussain ; Hammoudeh, Shawkat ; Hussain, Syed Jawad ; Naifar, Nader. In: Working Papers. RePEc:erg:wpaper:1129.

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2017Global Investigation of Return Autocorrelation and its Determinants. (2017). Jain, Pawan ; Xue, Wen-Jun . In: Working Papers. RePEc:fiu:wpaper:1704.

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2017Selecting the Lag Length for the M GLS Unit Root Tests with Structural Change: A Warning Note for Practitioners Based on Simulations. (2017). Rodríguez, Gabriel ; Rodriguez, Gabriel ; Quineche, Ricardo . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:17-:d:95932.

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2017Stress Testing German Industry Sectors: Results from a Vine Copula Based Quantile Regression. (2017). Fischer, Matthias ; Czado, Claudia ; Pfeuffer, Marius ; Kraus, Daniel . In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:3:p:38-:d:105140.

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2017The Bitcoin price formation: Beyond the fundamental sources. (2017). bouoiyour, jamal ; Selmi, Refk. In: Working Papers. RePEc:hal:wpaper:hal-01548710.

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2017Power Properties of the Modified CUSUM Tests. (2017). Jiang, Peiyun ; Kurozumi, Eiji. In: Discussion Papers. RePEc:hit:econdp:2017-05.

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2017Tail 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.

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2017Semiparametric estimation of structural functions in nonseparable triangular models. (2017). Chernozhukov, Victor ; Vella, Francis ; Stouli, Sami ; Newey, Whitney K ; Fernandez-Val, Ivan. In: CeMMAP working papers. RePEc:ifs:cemmap:48/17.

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2017South Africa’s inflation persistence: a quantile regression framework. (2017). Ranjbar, Omid ; GUPTA, RANGAN ; Jooste, Charl. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:50:y:2017:i:4:d:10.1007_s10644-016-9192-z.

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2017Resilience, 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.

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2017Mean and quantile regression Oaxaca-Blinder decompositions with an application to caste discrimination. (2017). Montes-Rojas, Gabriel ; Mainali, Ram ; Siga, Lucas . In: The Journal of Economic Inequality. RePEc:kap:jecinq:v:15:y:2017:i:3:d:10.1007_s10888-017-9355-9.

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2017Semiparametric Estimation and Testing of Smooth Coefficient Spatial Autoregressive Models. (2017). Sun, Yiguo ; Malikov, Emir. In: MPRA Paper. RePEc:pra:mprapa:77253.

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2017Inflation persistence in BRICS countries: A quantile autoregressive (QAR) model. (2017). Phiri, Andrew. In: MPRA Paper. RePEc:pra:mprapa:79956.

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2017Purchasing Power Parity in the 34 OECD Countries: Evidence from Quantile-Based Unit Root Tests with both Smooth and Sharp Breaks. (2017). Bahmani-Oskooee, Mohsen ; Wu, Tsung-Pao. In: MPRA Paper. RePEc:pra:mprapa:81820.

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2017Do 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.

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2017Does Partisan Conflict Predict a Reduction in US Stock Market (Realized) Volatility? Evidence from a Quantile-on-Quantile Regression Model. (2017). Wohar, Mark ; Selmi, Refk ; Pierdzioch, Christian ; GUPTA, RANGAN. In: Working Papers. RePEc:pre:wpaper:201744.

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2017A 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 ; Kollias, Christos ; GUPTA, RANGAN. In: Working Papers. RePEc:pre:wpaper:201747.

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2017Inflation Dynamics in Uganda: A Quantile Regression Approach. (2017). GUPTA, RANGAN ; Kotze, Kevin ; Anguyo, Francis Leni . In: Working Papers. RePEc:pre:wpaper:201772.

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2017Composite 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.

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2017Smoothed 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.

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2017Revisiting 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.

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2017Housing 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.

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2017Diesel 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.

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2017Robust 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.

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2017Quantile relationships between standard, diffusion and jump betas across Japanese banks. (2017). Dungey, Mardi ; Jeyasreedharan, Nagaratnam ; Chowdhury, Biplob . In: Working Papers. RePEc:tas:wpaper:23638.

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2017Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas. (2017). Einmahl, John ; Laeven, R. J. A., ; Can, S U. In: Discussion Paper. RePEc:tiu:tiucen:feb9a064-2a9f-47d6-a02b-7e5bfeeb9a63.

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2017Unmasking the Relationships Between Exchange Rate Exposure and Its Determinants: A More Complete Picture from Quantile Regressions. (2017). Lin, Luke ; Lee, Chun I. In: Review of Pacific Basin Financial Markets and Policies (RPBFMP). RePEc:wsi:rpbfmp:v:20:y:2017:i:04:n:s0219091517500230.

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Works by Zhijie Xiao:


YearTitleTypeCited
2006Rejoinder In: Journal of the American Statistical Association.
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article0
2006Quantile Autoregression In: Journal of the American Statistical Association.
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article109
2009Conditional Quantile Estimation for Generalized Autoregressive Conditional Heteroscedasticity Models In: Journal of the American Statistical Association.
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article16
2003More Efficient Local Polynomial Estimation in Nonparametric Regression With Autocorrelated Errors In: Journal of the American Statistical Association.
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article16
2004Unit Root Quantile Autoregression Inference In: Journal of the American Statistical Association.
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article64
1998A Primer on Unit Root Testing In: Journal of Economic Surveys.
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article96
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: CeMMAP working papers.
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2008Copula-Based Nonlinear Quantile Autoregression.(2008) In: Cowles Foundation Discussion Papers.
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paper
2009Copula-based nonlinear quantile autoregression.(2009) In: Econometrics Journal.
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2009Quantile Cointegrating Regression In: Boston College Working Papers in Economics.
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paper37
2009Quantile cointegrating regression.(2009) In: Journal of Econometrics.
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article
2009Tests for Changing Mean with Monotonic Power In: Boston College Working Papers in Economics.
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paper9
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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paper18
2012Semiparametric quantile regression estimation in dynamic models with partially varying coefficients.(2012) In: Journal of Econometrics.
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2010A Semiparametric Panel Model for unbalanced data with Application to Climate Change in the United Kingdom In: Boston College Working Papers in Economics.
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paper13
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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2011A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom.(2011) In: Post-Print.
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2010A Semiparametric Panel Model for Unbalanced Data with Application to Climate Change in the United Kingdom.(2010) In: MPRA Paper.
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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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article11
2001HOW TO ESTIMATE AUTOREGRESSIVE ROOTS NEAR UNITY In: Econometric Theory.
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article20
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.
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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.
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article2
2003POWER FUNCTIONS AND ENVELOPES FOR UNIT ROOT TESTS In: Econometric Theory.
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article7
2005PARTIALLY LINEAR MODELS WITH UNIT ROOTS In: Econometric Theory.
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