14
H index
20
i10 index
793
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 |
| Journal of Macroeconomics | 2 |
| Statistics & Probability Letters | 2 |
Recent works citing Zhijie Xiao (2018 and 2017)
| Year | Title of citing document | |
|---|---|---|
| 2017 | The Effect of Transmission Constraints on Electricity Prices. (2017). Hurn, Stan ; Clements, Adam ; Li, Zili . In: The Energy Journal. RePEc:aen:journl:ej38-4-hurn. Full description at Econpapers || Download paper | |
| 2018 | Testing for Common Breaks in a Multiple Equations System. (2018). Perron, Pierre ; Oka, Tatsushi. In: Papers. RePEc:arx:papers:1606.00092. Full description at Econpapers || Download paper | |
| 2017 | Generic Inference on Quantile and Quantile Effect Functions for Discrete Outcomes. (2017). Melly, Blaise ; Chernozhukov, Victor ; Wuthrich, Kaspar ; Fern, Iv'An. In: Papers. RePEc:arx:papers:1608.05142. 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 | |
| 2017 | A nonparametric copula approach to conditional Value-at-Risk. (2017). Geenens, Gery ; Dunn, Richard . In: Papers. RePEc:arx:papers:1712.05527. Full description at Econpapers || Download paper | |
| 2017 | Predicting 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. Full description at Econpapers || Download paper | |
| 2018 | Explaining and Forecasting Euro Area Inflation: the Role of Domestic and Global Factors. (2018). Schmidt, Katja ; Faubert, V ; Bereau, S. In: Working papers. RePEc:bfr:banfra:663. Full description at Econpapers || Download paper | |
| 2017 | Quantile 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. Full description at Econpapers || Download paper | |
| 2017 | Interest Rate Sensitivity of Spanish Industries: A Quantile Regression Approach. (2017). Jareño, Francisco ; Jareo, Francisco ; Ferrer, Roman ; Ferrando, Laura. In: Manchester School. RePEc:bla:manchs:v:85:y:2017:i:2:p:212-242. Full description at Econpapers || Download paper | |
| 2017 | A Simple Approach for Diagnosing Instabilities in Predictive Regressions. (2017). Pitarakis, Jean-Yves. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:79:y:2017:i:5:p:851-874. Full description at Econpapers || Download paper | |
| 2017 | Quantile Factor Models. (2017). Gonzalo, Jesus ; Dolado, Juan ; Chen, Liang ; Muoz, Jesus Gonzalo. In: UC3M Working papers. Economics. RePEc:cte:werepe:25299. Full description at Econpapers || Download paper | |
| 2017 | Thoughts 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. Full description at Econpapers || Download paper | |
| 2017 | Copula-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. Full description at Econpapers || Download paper | |
| 2017 | D-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. Full description at Econpapers || Download paper | |
| 2018 | Quantile 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. Full description at Econpapers || Download paper | |
| 2017 | Assessing DSGE model nonlinearities. (2017). Schorfheide, Frank ; Bocola, Luigi ; Aruoba, S. Boragan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:83:y:2017:i:c:p:34-54. 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 | |
| 2017 | Equity 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. Full description at Econpapers || Download paper | |
| 2017 | Modelling the effect of the geographical environment on Islamic banking performance: A panel quantile regression analysis. (2017). JAWADI, Fredj ; Louhichi, Wael ; ben Ameur, Hachmi ; Cheffou, Abdoulkarim Idi. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:300-306. Full description at Econpapers || Download paper | |
| 2017 | Measuring systemic risk with regime switching in tails. (2017). Liu, Xiaochun. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:55-72. Full description at Econpapers || Download paper | |
| 2018 | Does partisan conflict predict a reduction in US stock market (realized) volatility? Evidence from a quantile-on-quantile regression model☆. (2018). Selmi, Refk ; Pierdzioch, Christian ; GUPTA, RANGAN ; Wohar, Mark E. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:43:y:2018:i:c:p:87-96. 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 | |
| 2018 | Weak convergence of local quantile treatment effect processes. (2018). Hyun, JU ; Park, Byoung G. In: Economics Letters. RePEc:eee:ecolet:v:162:y:2018:i:c:p:49-52. 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). Sun, Yiguo ; Malikov, Emir. In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:1:p:12-34. Full description at Econpapers || Download paper | |
| 2017 | Specification 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. Full description at Econpapers || Download paper | |
| 2017 | Inference 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. Full description at Econpapers || Download paper | |
| 2018 | Nonparametric testing for smooth structural changes in panel data models. (2018). Chen, Bin ; Huang, Liquan. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:2:p:245-267. Full description at Econpapers || Download paper | |
| 2017 | Forecasting 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. 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 | |
| 2017 | Predicting 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. Full description at Econpapers || Download paper | |
| 2017 | The 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. Full description at Econpapers || Download paper | |
| 2018 | Distribution specific dependence and causality between industry-level U.S. credit and stock markets. (2018). Shahzad, Syed Jawad Hussain ; Shahbaz, Muhammad ; Balcilar, Mehmet ; Hammoudeh, Shawkat ; Mensi, Walid ; Hussain, Syed Jawad. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:52:y:2018:i:c:p:114-133. 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 ; Lau, Evan ; Baharumshah, Ahmad Zubaidi. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:39:y:2017:i:1:p:99-113. Full description at Econpapers || Download paper | |
| 2017 | Can economic policy uncertainty and investors sentiment predict commodities returns and volatility?. (2017). Shahzad, Syed Jawad Hussain ; Shahbaz, Muhammad ; Balcilar, Mehmet ; Hussain, Syed Jawad ; Raza, Naveed ; Ali, Sajid. In: Resources Policy. RePEc:eee:jrpoli:v:53:y:2017:i:c:p:208-218. Full description at Econpapers || Download paper | |
| 2017 | Global 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. Full description at Econpapers || Download paper | |
| 2017 | Empirical 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. Full description at Econpapers || Download paper | |
| 2017 | An 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. Full description at Econpapers || Download paper | |
| 2017 | Testing 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. 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 | |
| 2017 | Distribution 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. Full description at Econpapers || Download paper | |
| 2017 | The 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 ; Naifar, Nader ; Hammoudeh, Shawkat ; Hussain, Syed Jawad. In: Working Papers. RePEc:erg:wpaper:1129. 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 | |
| 2017 | Selecting the Lag Length for the M GLS Unit Root Tests with Structural Change: A Warning Note for Practitioners Based on Simulations. (2017). RodrÃÂguez, Gabriel ; Rodriguez, Gabriel ; Quineche, Ricardo . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:17-:d:95932. Full description at Econpapers || Download paper | |
| 2017 | Stress 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. Full description at Econpapers || Download paper | |
| 2017 | The Bitcoin price formation: Beyond the fundamental sources. (2017). bouoiyour, jamal ; Selmi, Refk . In: Working Papers. RePEc:hal:wpaper:hal-01548710. Full description at Econpapers || Download paper | |
| 2017 | Power Properties of the Modified CUSUM Tests. (2017). Jiang, Peiyun ; Kurozumi, Eiji. In: Discussion Papers. RePEc:hit:econdp:2017-05. 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 | |
| 2017 | Semiparametric estimation of structural functions in nonseparable triangular models. (2017). Stouli, Sami ; Fernandez-Val, Ivan ; Chernozhukov, Victor ; Vella, Francis ; Newey, Whitney K. In: CeMMAP working papers. RePEc:ifs:cemmap:48/17. Full description at Econpapers || Download paper | |
| 2017 | South 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. 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 | |
| 2017 | Mean 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. Full description at Econpapers || Download paper | |
| 2017 | Inflation persistence in BRICS countries: A quantile autoregressive (QAR) approach. (2017). Phiri, Andrew. In: Working Papers. RePEc:mnd:wpaper:1702. Full description at Econpapers || Download paper | |
| 2018 | Testing for common breaks in a multiple equations system. (2018). Perron, Pierre ; Oka, Tatsushi. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2018-3. Full description at Econpapers || Download paper | |
| 2018 | Saving, Investment and Growth in India: Evidence from Cointegration and Causality Tests. (2018). Yadav, Inder Sekhar ; Mishra, R K ; Goyari, Phanindra . In: Economic Alternatives. RePEc:nwe:eajour:y:2018:i:1:p:55-68. 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 | |
| 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 | |
| 2017 | Purchasing 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. Full description at Econpapers || Download paper | |
| 2018 | Renewable Energy, Oil Prices, and Economic Activity: A Granger-causality in Quantiles Analysis. (2018). Uddin, Gazi ; Troster, Victor ; Shahbaz, Muhammad. In: MPRA Paper. RePEc:pra:mprapa:84194. Full description at Econpapers || Download paper | |
| 2018 | The Role of Globalization in Energy Consumption: A Quantile Cointegrating Regression Approach. (2018). Shahbaz, Muhammad ; Hammoudeh, Shawkat ; Abosedra, Salah ; Lahiani, Amine. In: MPRA Paper. RePEc:pra:mprapa:84682. 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 ; Pierdzioch, Christian ; GUPTA, RANGAN. 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 ; Kollias, Christos ; GUPTA, RANGAN. In: Working Papers. RePEc:pre:wpaper:201747. Full description at Econpapers || Download paper | |
| 2017 | Inflation Dynamics in Uganda: A Quantile Regression Approach. (2017). GUPTA, RANGAN ; Kotze, Kevin ; Anguyo, Francis Leni . In: Working Papers. RePEc:pre:wpaper:201772. 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 | |
| 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 | |
| 2018 | Investigating the Persistence of Suicide in the United States: Evidence from the Quantile Unit Root Test. (2018). Chen, Wen-Yi ; Lin, Yu-Hui ; Chang, Tsangyao. In: Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement. RePEc:spr:soinre:v:135:y:2018:i:2:d:10.1007_s11205-016-1492-1. 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 | |
| 2018 | Performance Evaluation of four Statistical Tests for Trend and Non-stationarity and Assessment of Observed and Projected Annual Maximum Precipitation Series in Major United States Cities. (2018). Um, Myoung-Jin ; Wuebbles, Donald J ; Markus, Momcilo ; Heo, Jun-Haeng. In: Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA). RePEc:spr:waterr:v:32:y:2018:i:3:d:10.1007_s11269-017-1846-8. Full description at Econpapers || Download 2018 | A novel approach to modelling the distribution of financial returns. (2018). Cai, Yuzhi ; Li, Guodong. In: Working Papers. RePEc:swn:wpaper:2018-22. Full description at Econpapers || Download paper |
| 2017 | Quantile relationships between standard, diffusion and jump betas across Japanese banks. (2017). Dungey, Mardi ; Jeyasreedharan, Nagaratnam ; Chowdhury, Biplob . In: Working Papers. RePEc:tas:wpaper:23638. Full description at Econpapers || Download paper | |
| 2017 | Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas. (2017). Laeven, Roger ; Einmahl, John ; Laeven, R. J. A., ; Can, S U. In: Discussion Paper. RePEc:tiu:tiucen:feb9a064-2a9f-47d6-a02b-7e5bfeeb9a63. Full description at Econpapers || Download paper | |
| 2017 | Unmasking 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. 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 | 115 |
| 2009 | Conditional Quantile Estimation for Generalized Autoregressive Conditional Heteroscedasticity Models In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 19 |
| 2003 | More Efficient Local Polynomial Estimation in Nonparametric Regression With Autocorrelated Errors In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 16 |
| 2004 | Unit Root Quantile Autoregression Inference In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 68 |
| 1998 | A Primer on Unit Root Testing In: Journal of Economic Surveys. [Full Text][Citation analysis] | article | 97 |
| 1998 | A Primer on Unit Root Testing..(1998) In: Journal of Economic Surveys. [Full Text][Citation analysis] This paper has another version. Agregated cites: 97 | 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: 97 | paper | |
| 2008 | Copula-Based Nonlinear Quantile Autoregression In: Boston College Working Papers in Economics. [Full Text][Citation analysis] | paper | 12 |
| 2008 | Copula-Based Nonlinear Quantile Autoregression.(2008) In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
| 2009 | Copula-based nonlinear quantile autoregression.(2009) In: Econometrics Journal. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | article | |
| 2008 | Copula-based nonlinear quantile autoregression.(2008) In: CeMMAP working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
| 2009 | Quantile Cointegrating Regression In: Boston College Working Papers in Economics. [Full Text][Citation analysis] | paper | 39 |
| 2009 | Quantile cointegrating regression.(2009) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 39 | article | |
| 2009 | Tests for Changing Mean with Monotonic Power In: Boston College Working Papers in Economics. [Full Text][Citation analysis] | paper | 11 |
| 2009 | Tests for changing mean with monotonic power.(2009) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | 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: 11 | paper | |
| 2009 | Conditional Quantile Estimation for GARCH Models In: Boston College Working Papers in Economics. [Full Text][Citation analysis] | paper | 4 |
| 2010 | Semiparametric Quantile Regression Estimation in Dynamic Models with Partially Varying Coefficients In: Boston College Working Papers in Economics. [Full Text][Citation analysis] | paper | 18 |
| 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: 18 | 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 | 14 |
| 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: 14 | 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: 14 | 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: 14 | 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 | 12 |
| 2001 | HOW TO ESTIMATE AUTOREGRESSIVE ROOTS NEAR UNITY In: Econometric Theory. [Full Text][Citation analysis] | article | 20 |
| 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: 20 | 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 | 8 |
| 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 | 6 |
| 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 | 4 |
| 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 | 8 |
| 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 | 23 |
| 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: 23 | 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 | 129 |
| 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 | 11 |
| 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 | 5 |
| 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 | 29 |
| 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 | 9 |
| 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 | 11 |
| 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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