English | 繁體

Search in the results

UM

Browse/Search Results:  1-10 of 11 Help

Selected(0)Clear Items/Page:    Sort:
Tests for equal forecast accuracy under heteroskedasticity Journal article
Harvey, David I., Leybourne, Stephen J., Zu, Yang. Tests for equal forecast accuracy under heteroskedasticity[J]. Journal of Applied Econometrics, 2024, 1-20.
Authors:  Harvey, David I.;  Leybourne, Stephen J.;  Zu, Yang
Adobe PDF | Favorite | TC[WOS]:0 TC[Scopus]:0  IF:2.3/3.0 | Submit date：2024/05/16
Diebold–mariano Test  Forecast Accuracy  Nonparametric Volatility Estimation  
A multi-kink quantile regression model with common structure for panel data Analysis Journal article
Sun, Y., Wan, C., Zhang, W., Zhong, W.. A multi-kink quantile regression model with common structure for panel data Analysis[J]. Journal of Econometrics, 2024.
Authors:  Sun, Y.;  Wan, C.;  Zhang, W.;  Zhong, W.
Favorite |   IF:9.9/6.7 | Submit date：2024/08/05
Robust testing for explosive behavior with strongly dependent errors Journal article
Lui, Yiu Lim, Phillips, Peter C.B., Yu, Jun. Robust testing for explosive behavior with strongly dependent errors[J]. Journal of Econometrics, 2024, 238(2), 105626.
Authors:  Lui, Yiu Lim;  Phillips, Peter C.B.;  Yu, Jun
Favorite | TC[WOS]:3 TC[Scopus]:3  IF:9.9/6.7 | Submit date：2024/02/22
Explosiveness  Har Test  Long Memory  s&p 500  Unit Root Test  
Stock co-jump networks Journal article
Yi Ding, Yingying Li, Guoli Liu, Xinghua Zheng. Stock co-jump networks[J]. Journal of Econometrics, 2023, 239(2), 105420.
Authors:  Yi Ding;  Yingying Li;  Guoli Liu;  Xinghua Zheng
Favorite | TC[WOS]:6 TC[Scopus]:7  IF:9.9/6.7 | Submit date：2023/08/03
Co-jumps  Community Detection  High-frequency Data  Jumps  Network  Stock Dependence  
Regression-adjusted estimation of quantile treatment effects under covariate-adaptive randomizations Journal article
Liang Jiang, Peter C.B. Phillips, Yubo Tao, Yichong Zhang. Regression-adjusted estimation of quantile treatment effects under covariate-adaptive randomizations[J]. Journal of Econometrics, 2022, 234(2), 758-776.
Authors:  Liang Jiang;  Peter C.B. Phillips;  Yubo Tao;  Yichong Zhang
Favorite | TC[WOS]:2 TC[Scopus]:6  IF:9.9/6.7 | Submit date：2023/07/26
Covariate-adaptive Randomization  High-dimensional Data  Quantile Treatment Effects  Regression Adjustment  
Regression-Adjusted Estimation of Quantile Treatment Effects under Covariate-Adaptive Randomizations Journal article
Liang Jiang, Peter C.B. Phillips, Yubo Tao, Yichong Zhang. Regression-Adjusted Estimation of Quantile Treatment Effects under Covariate-Adaptive Randomizations[J]. Journal of Econometrics, 2022, 234(2), 758-776.
Authors:  Liang Jiang;  Peter C.B. Phillips;  Yubo Tao;  Yichong Zhang
Favorite | TC[WOS]:2 TC[Scopus]:6  IF:9.9/6.7 | Submit date：2022/09/15
Covariate-adaptive Randomization  High-dimensional Data  Regression Adjustment  Quantile Treatment Effects  
Statistical Inference for spot correlation and spot market Beta under infinite variation jumps Journal article
Liu, Q., Liu, Z.. Statistical Inference for spot correlation and spot market Beta under infinite variation jumps[J]. Journal of Financial Econometrics, 2022, 20(4), 612-654.
Authors:  Liu, Q.;  Liu, Z.
Favorite | TC[WOS]:1 TC[Scopus]:1 | Submit date：2022/07/27
Semimartingale  High Frequency Data  Infinite Variation Jump  Spot Covariance  Spot Correlation  Spot Market Beta  Central Limit Theorem  
High dimensional minimum variance portfolio under statistical factor model Journal article
Ding Y(丁一), Yingying Li, Xinghua Zheng. High dimensional minimum variance portfolio under statistical factor model[J]. Journal of Econometrics, 2021, 222(1), 502-515.
Authors:  Ding Y(丁一);  Yingying Li;  Xinghua Zheng
Favorite |  | Submit date：2023/08/22
A rank test for the number of factors with high-frequency data Journal article
Kong,Xin Bing, Liu,Zhi, Zhou,Wang. A rank test for the number of factors with high-frequency data[J]. Journal of Econometrics, 2019, 211(2), 439-460.
Authors:  Kong,Xin Bing;  Liu,Zhi;  Zhou,Wang
Favorite | TC[WOS]:5 TC[Scopus]:5  IF:9.9/6.7 | Submit date：2021/03/11
Continuous-time Factor Model  High-dimensional Itô Process  Idiosyncratic Process  
Estimating the integrated volatility using high-frequency data with zero durations Journal article
Liu, Zhi, Kong, Xin-Bing, Jing, Bing-Yi. Estimating the integrated volatility using high-frequency data with zero durations[J]. JOURNAL OF ECONOMETRICS, 2018, 204(1), 18-32.
Authors:  Liu, Zhi;  Kong, Xin-Bing;  Jing, Bing-Yi
Favorite | TC[WOS]:8 TC[Scopus]:9  IF:9.9/6.7 | Submit date：2018/10/30
Ito Semimartingale  High Frequency Data  Multiple Transactions  Realized Power Variations  Microstructure Noise  Central Limit Theorem