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Title
Conditional quantile estimation for generalized autoregressive conditional heteroscedasticity models
Author
Xiao, Zhijie
,
Koenker, Roger
Date
2009
Genre
article
Version
Post-print version of an article published in Journal of the American Statistical Association 104(488): 1696-1712. doi:10.1198/jasa.2009.tm09170.
Title
Conditional Quantile Estimation for GARCH Models
Author
Xiao, Zhijie
,
Koenker, Roger
Date
2009
Genre
working paper
Title
Copula-Based Nonlinear Quantile Autoregression
Author
Chen, Xiaohong
,
Koenker, Roger
,
Xiao, Zhijie
Date
2008
Genre
working paper
Title
Quantile Cointegrating Regression
Author
Xiao, Zhijie
Date
2009
Genre
working paper
Title
Testing the null hypothesis of stationarity against an autoregressive unit root alternative
Author
Xiao, Zhijie
Date
2001
Genre
article
Version
Pre-print version of an article published in Journal of Time Series Analysis 22(1): 87-105. doi:10.1111/1467-9892.00213.
Title
Copula-based nonlinear quantile autoregression
Author
Chen, Xiaohong
,
Koenker, Roger
,
Xiao, Zhijie
Date
2009
Genre
article
Version
Pre-print version of an article published in Econometrics Journal 12(1): S50-S67. doi:10.1111/j.1368-423X.2008.00274.x.
Title
Efficient detrending in cointegrating regression
Author
Xiao, Zhijie
,
Phillips, Peter C.B.
Date
1999
Genre
article
Version
Version of record.
Title
Quantile cointegrating regression
Author
Xiao, Zhijie
Date
2009
Genre
article
Version
Post-print version of an article published in Journal of Econometrics 150(2): 248-260. doi:10.1016/j.jeconom.2008.12.005.
Title
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
Author
Xiao, Zhijie
Date
2009
Genre
article
Version
Version of record.
Title
A Semiparametric Panel Model for unbalanced data with Application to Climate Change in the United Kingdom
Author
Atak, Alev
,
Linton, Oliver
,
Xiao, Zhijie
Date
2010
Genre
working paper
Pages
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