Trending time-varying coefficient time series models with serially correlated errors

von Cai, Zongwu
Veröffentlicht in Journal of econometrics (2007)

Regression quantiles for time series

von Cai, Zongwu
Veröffentlicht in Econometric theory (2002)

Nonparametric quantile estimations for dynamic smooth coefficient models

von Cai, Zongwu
Veröffentlicht in American Statistical Association Journal of the American Statistical Association (2009)

Nonparametric estimation of additive nonlinear ARX time series : local linear fitting and projections

von Cai, Zongwu
Veröffentlicht in Econometric theory (2000)

Semiparametric quantile regression estimation in dynamic models with partially varying coefficients

von Cai, Zongwu
Veröffentlicht in Journal of econometrics (2012)

Nonparametric estimation of conditional VaR and expected shortfall

von Cai, Zongwu
Veröffentlicht in Journal of econometrics (2008)

Nonparametric quantile estimations for dynamic smooth coefficient models

von Cai, Zongwu
Veröffentlicht in American Statistical Association Journal of the American Statistical Association (2008)

Nonparametric estimation of varying coefficient dynamic panel data models

von Cai, Zongwu
Veröffentlicht in Econometric theory (2008)

Some recent developments in nonparametric finance

von Cai, Zongwu
Veröffentlicht in Nonparametric econometric methods (2010)

Flexible seasonal time series models

von Cai, Zongwu
Veröffentlicht in Econometric analysis of financial and economic time series ; part B (2006)

The distribution of rolling regression estimators

von Cai, Zongwu
Veröffentlicht in Journal of econometrics (2023)

Testing predictive regression models with nonstationary regressors

von Cai, Zongwu
Veröffentlicht in Journal of econometrics (2014)

Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence

von Cai, Zongwu
Veröffentlicht in Journal of econometrics (2022)

Does relative risk aversion vary with wealth? : evidence from households׳ portfolio choice data

von Liu, Xuan
Veröffentlicht in Journal of economic dynamics & control (2016)

Pricing kernel estimation : a local estimating equation approach

von Cai, Zongwu
Veröffentlicht in Econometric theory (2015)

Semiparametric estimation of partially varying-coefficient dynamic panel data models

von Cai, Zongwu
Veröffentlicht in Econometric reviews (2015)

Nonlinear and time-varying risk premia

von Ma, Chaoqun
Veröffentlicht in China economic review (2020)

Adaptive varying-coefficient linear models

von Fan, Jianqing
Veröffentlicht 2000

Pricing kernel estimation : a local estimating equation approach

von Cai, Zongwu
Veröffentlicht in Econometric theory (2015)

Some recent developments on nonparametric econometrics

von Cai, Zongwu
Veröffentlicht in Nonparametric econometric methods (2010)