Zhijie Xiao : Citation Profile


Are you Zhijie Xiao?

Boston College

13

H index

18

i10 index

722

Citations

RESEARCH PRODUCTION:

51

Articles

34

Papers

RESEARCH ACTIVITY:

   19 years (1997 - 2016). See details.
   Cites by year: 38
   Journals where Zhijie Xiao has often published
   Relations with other researchers
   Recent citing documents: 107.    Total self citations: 18 (2.43 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pxi26
   Updated: 2017-10-14    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 (25)

GAO, Jiti (18)

Kim, Tae-Hwan (18)

Lima, Luiz (15)

Gaglianone, Wagner (14)

Taylor, Robert (14)

GUPTA, RANGAN (13)

LINTON, OLIVER (12)

Qu, Zhongjun (10)

Selmi, Refk (9)

Li, Degui (9)

Cites to:

Phillips, Peter (58)

Andrews, Donald (14)

Engle, Robert (12)

shin, yongcheol (10)

Ouliaris, Sam (10)

Perron, Pierre (10)

Robinson, Peter (10)

Lucas, Andre (10)

Schwert, G. (9)

Schmidt, Peter (9)

Campbell, John (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 Economic Surveys2
Journal of Macroeconomics2
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 (2017 and 2016)


YearTitle of citing document
2016Analysis and Forecasting of Electricty Price Risks with Quantile Factor Models. (2016). Derek, Arne Andresen . In: The Energy Journal. RePEc:aen:journl:ej37-1-bunn.

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2016On 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.

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2016Unravelling the Asymmetric Volatility Puzzle: A Novel Explanation of Volatility Through Anchoring. (2016). Ormos, Mihály ; Timotity, Dusan . In: Papers. RePEc:arx:papers:1606.03597.

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2016The microstructural foundations of leverage effect and rough volatility. (2016). Euch, EL ; Mathieu, Rosenbaum ; Masaaki, Fukasawa . In: Papers. RePEc:arx:papers:1609.05177.

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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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2016Regresión 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.

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2016Asymmetric 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.

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2016International 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.

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2016Testing 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.

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2016Dual Regression. (2016). Spady, Richard H ; Stouli, Sami . In: Bristol Economics Discussion Papers. RePEc:bri:uobdis:16/669.

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2016Revisiting 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.

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2016Brexit concerns, UK and European equities: A lose-lose scenario?. (2016). Selmi, Refk ; bouoiyour, jamal. In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00480.

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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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2016Spectral 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.

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2016Confidence 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.

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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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2016Regularized 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.

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2016Threshold, 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.

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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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2016A 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.

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2016Detecting structural changes under nonstationary volatility. (2016). Wu, Jilin . In: Economics Letters. RePEc:eee:ecolet:v:146:y:2016:i:c:p:151-154.

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2016Estimation 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.

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2016Improving 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.

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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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2016GEL 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.

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2016Sieve 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.

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2016Testing for (in)finite moments. (2016). Trapani, Lorenzo . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:57-68.

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2016Predictive 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.

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2016Local 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.

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2016Conditional 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.

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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). Dong, Chaohua ; Yin, Jiying ; Tjostheim, Dag ; Gao, Jiti . In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:1:p:104-117.

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2016Unravelling 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.

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2016Environmental 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.

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2016Energy, 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.

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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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2016Implied 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.

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2016Modeling 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.

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2016Quantile 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.

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2016Extreme 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.

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2016Frontiers 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.

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2016How 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.

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2016Efficiency 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.

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2016Multivariate 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.

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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 ; Baharumshah, Ahmad Zubaidi ; Lau, Evan . In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:39:y:2017:i:1:p:99-113.

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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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2016Quantile 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.

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2016Recursive 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.

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2016Artifactual 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.

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2016Local 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.

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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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2016GOSTERGE 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.

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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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2016Stock 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.

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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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2016On 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.

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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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2016Dual regression. (2016). Spady, Richard ; Stouli, Sami . In: CeMMAP working papers. RePEc:ifs:cemmap:04/16.

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2016A 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.

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2016Generic 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.

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2016On the Boundaries of the Shadow Economy: An Empirical Investigation. (2016). schneider, friedrich ; Tchetchik, Anat ; Manes, Eran . In: IZA Discussion Papers. RePEc:iza:izadps:dp10067.

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2017South Africa’s inflation persistence: a quantile regression framework. (2017). Gupta, Rangan ; Ranjbar, Omid ; 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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2016Persistency 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.

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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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2016Specification Testing for Nonlinear Multivariate Cointegrating Regressions. (2016). GAO, Jiti ; Yin, Jiying ; Tjostheim, Dag ; Dong, Chaohua . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2016-14.

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2016The 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.

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2016On 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.

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2016Brexit concerns, UK and European equities: A lose-lose scenario?. (2016). Selmi, Refk ; bouoiyour, jamal. In: MPRA Paper. RePEc:pra:mprapa:70519.

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2016Is uncertainty over Brexit damaging the UK and European equities?. (2016). Selmi, Refk ; bouoiyour, jamal. In: MPRA Paper. RePEc:pra:mprapa:70520.

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2016Nonlinear Dependence between Stock Prices and Exchange Rate in Nigeria. (2016). EFFIONG, EKPENO. In: MPRA Paper. RePEc:pra:mprapa:74336.

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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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2016On The Fisher Effect: A Review. (2016). Bosupeng, Mpho. In: MPRA Paper. RePEc:pra:mprapa:77916.

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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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2016Testing the Efficiency of the Art Market using Quantile-Based Unit Root Tests with Sharp and Smooth Breaks. (2016). Wohar, Mark ; GUPTA, RANGAN ; Chang, Tsangyao ; Chen, Wen-Yi ; Aye, Goodness C. In: Working Papers. RePEc:pre:wpaper:201625.

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2016Does 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.

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2016Does U.S. Macroeconomic News Make the South African Stock Market Riskier?. (2016). GUPTA, RANGAN ; Cakan, Esin . In: Working Papers. RePEc:pre:wpaper:201646.

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

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2016Bring 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.

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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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2016Comparison 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.

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2016Estimation 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.

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2016Foreign 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.

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2016Inflation 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.

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

Works by Zhijie Xiao:


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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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2008TESTS FOR CHANGING MEAN WITH MONOTONIC POWER.(2008) In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
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2009Tests for changing mean with monotonic power.(2009) In: Journal of Econometrics.
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2009Conditional Quantile Estimation for GARCH Models In: Boston College Working Papers in Economics.
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2010Semiparametric Quantile Regression Estimation in Dynamic Models with Partially Varying Coefficients In: Boston College Working Papers in Economics.
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2012Semiparametric quantile regression estimation in dynamic models with partially varying coefficients.(2012) In: Journal of Econometrics.
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2010A Semiparametric Panel Model for unbalanced data with Application to Climate Change in the United Kingdom In: Boston College Working Papers in Economics.
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2011A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom.(2011) In: 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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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.
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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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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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