*Xu, Z. and Zhao, Z. (2021) Efficient estimation for models with nonlinear heteroscedasticity.
Journal of Business and Economic Statistics , To appear.
*Xu, Z., *Kim, S. and Zhao, Z. (2020) Locally stationary quantile regression for inflation and interest rates.
Journal of Business and Economic Statistics , To appear.
*Ou, L. and Zhao, Z. (2020) Value-at-Risk forecasting via dynamic asymmetric exponential power distributions.
Journal of Forecasting 40, 291-300.
*Li, X. and Zhao, Z. (2019) A Time-varying Approach to the Stock Return-Inflation Puzzle.
Journal of the Royal Statistical Society: Series C 68, 1509-1528.
*Kim, S., Zhao, Z. and Xiao, Z. (2018) Efficient estimation for time-varying coefficient longitudinal models.
Journal of Nonparametric Statistics 30, 680-702.
*Wang, C. and Zhao, Z. (2016) Conditional Value-at-Risk: Semiparametric estimation and inference.
Journal of Econometrics 195, 86-103.
Longer version of the JoE paper.
R code for SP500 index.
*Kim, S, Zhao, Z. and Shao, X. (2015)
Nonparametric functional central limit theorem for time series
with application to self-normalized confidence interval.
Journal of Multivariate Analysis 133, 277-290.
Zhao, Z. (2015)
Inference for local autocorrelation process in locally stationary models.
Journal of Business and Economic Statistics 33, 296-306.
Zhao, Z. and Xiao, Z. (2014)
Efficient regressions via optimally combining quantile information.
Econometric Theory 30, 1272-1314.
*Kim, S. and Zhao, Z. (2014)
Specification test for Markov models with measurement errors.
Journal of Multivariate Analysis 130, 118-133.
Zhao, Z., Zhang, Y. and Li, R. (2014)
Nonparametric estimation under strong dependence.
Journal of Time Series Analysis 35, 4-15.
Zhao, Z., Wei, Y. and Lin, D. (2014)
Asymptotics of nonparametric L-1 regression models with dependent data.
Bernoulli 20, 1532-1559.
Yao, W. and Zhao, Z. (2013)
Kernel density based linear regression estimates.
Communications in Statistics: Theory and Methods 42, 4499-4512.
*Li, X. and Zhao, Z. (2013) Testing for changes in autocovariances of nonparametric time series models.
Journal of Statistical Planning and Inference 143, 237-250.
Zhao, Z. and *Li, X. (2013) Inference for modulated stationary processes.
Bernoulli 19, 205-227.
*Kim, S. and Zhao, Z. (2013) Unified inference for sparse and dense longitudinal models.
Biometrika 100, 203-212.
Zhao, Z. and Yao, W. (2012) Sequential design for nonparametric inference.
Canadian Journal of Statistics 40, 362-377.
Wei, Y., Zhao, Z. and Lin, D. (2012) Profile control charts based on nonparametric L-1 regression methods.
Annals of Applied Statistics 6, 409-427.
Zhao, Z. (2011) A self-normalized confidence interval for the mean
of a class of non-stationary processes.
Biometrika 98, 81-90. Supplementary materials.
Zhao, Z. (2011) Nonparametric model validations for hidden Markov models with applications in financial econometrics.
Journal of Econometrics 162, 225-239.
Zhao, Z. (2010) Density estimation for nonlinear parametric models
with conditional heteroscedasticity.
Journal of Econometrics 155, 71-82.
Zhao, Z. and Wu, W.B. (2009) Nonparametric inference of discretely sampled stable Levy
processes.
Journal of Econometrics 153, 83-92.
Zhao, Z. (2008) Parametric and nonparametric models and
methods in financial econometrics.
Statistics Surveys 2, 1-42.
Zhao, Z. and Wu, W.B. (2008) Confidence bands in nonparametric time series regression.
Annals of Statistics 36, 1854-1878.
Wu, W.B. and Zhao, Z. (2008) Moderate deviations for stationary processes.
Statistica Sinica 18, 769-782.
Wu, W.B. and Zhao, Z. (2007) Inference of trends in time series.
Journal of the Royal Statistical Society: Series B 69, 391-410.
Zhao, Z. and Wu, W.B. (2007) Asymptotic theory for curve-crossing analysis.
Stochastic Processes and their Applications 117, 862-877.
PhD Thesis
| Zhao, Z. (2007) Nonparametric inference for stochastic diffusion models.
University of Chicago.
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