Z. Cai

发表

Efficient Estimation and Inferences for Varying-Coefficient Models

Jianqing Fan, Runze Li, Z. Cai, 2000 .

Functional coefficient instrumental variables models

Zongwu Cai, Mitali Das, Xizhi Wu, 2006 .

Some Recent Developments in Nonparametric Finance

Z. Cai, Yongmiao Hong, 2013 .

Nonparametric Methods in Continuous-Time Finance: A Selective Review

Z. Cai, Yongmiao Hong, 2003 .

Nonparametric Econometrics: Theory and Applications 1

Z. Cai, 2007 .

Selection of Mixed Copula Model via Penalized Likelihood

Z. Cai, Xian Wang, 2014 .

Nonlinear and time-varying risk premia

Z. Cai, Chaoqun Ma, Xianhua Mi, 2020 .

Adaptive varying‐coefficient linear models

Zongwu Cai, Qiwei Yao, Jianqing Fan, 2000 .

Berry-esseen bounds for smooth estimator of a distribution function under association

Zongwu Cai, George G. Roussas, G. Roussas, 1999 .

Generalized Varying-Coefficient Models

Runze Li, Jianqing Fan, Zongwu Cai, 1999 .

Local Linear Estimation for Time-Dependent Coefficients in Cox's Regression Models

Zongwu Cai, Yanqing Sun, Z. Cai, 2003 .

Z. Cai, C. Hafner, Bingduo Yang, 2018 .

NONPARAMETRIC ESTIMATION OF ADDITIVE NONLINEAR ARX TIME SERIES: LOCAL LINEAR FITTING AND PROJECTIONS

Elias Masry, Zongwu Cai, E. Masry, 2000, Econometric Theory.

Statistical Analysis and Evaluation of Macroeconomic Policies: A Selective Review

Z. Cai, Ying Fang, Zeqin Liu, 2020, Applied Mathematics-A Journal of Chinese Universities.

Nonparametric Approach to Calculate Seasonal Factors For AADT Estimation

Z. Cai, Sheng-Guo Wang, Bingduo Yang, 2011 .

NONPARAMETRIC ESTIMATION OF VARYING COEFFICIENT DYNAMIC PANEL DATA MODELS

Z. Cai, Qi Li, 2008, Econometric Theory.

Nonparametric estimation equations for time series data

Z. Cai, 2003 .

Testing Unconfoundedness Assumption Using Auxiliary Variables

Z. Cai, Ying Fang, Ming Lin, 2019 .

De-noised Least Squares Estimators: an Application to Estimating Advertising Eeectiveness

Chih-Ling Tsai, Z. Cai, P. Naik, 2007 .

Score tests for heteroscedasticity in wavelet regression

Chih-Ling Tsai, Z. Cai, C. Hurvich, 1998 .

Nonparametric Regression with Nearly Integrated Regressors Under Long�?Run Dependence

Z. Cai, Bing-Yi Jing, Xinbing Kong, 2017 .

Functional-coefficient models for nonstationary time series data

Qi Li, Zongwu Cai, Z. Cai, 2009 .

Zongwu Cai, Z. Cai, 2007 .

Advanced Topics in Analysis of Economic and Financial Data Using R and SAS 1

Z. Cai, 2007 .

A New Estimation on Time-Varying Betas in Conditional CAPM ∗

Z. Cai, Yu Ren, 2011 .

A new semiparametric test for superior predictive ability

Z. Cai, Xibin Zhang, Jiancheng Jiang, 2015 .

Semiparametric Estimation of Partially Varying-Coefficient Dynamic Panel Data Models

Z. Cai, Ying Fang, Linna Chen, 2015 .

Econometric modeling of risk measures: A selective review of the recent literature

Z. Cai, Ding-shi Tian, Ying Fang, 2019, Applied Mathematics-A Journal of Chinese Universities.

A semiparametric quantile panel data model with an application to estimating the growth effect of FDI

Z. Cai, Ying Fang, Linna Chen, 2018, Journal of Econometrics.

A Quantile Panel Data Model with Partially Varying Coefficients and Correlated Random Effects ∗

Z. Cai, W. Yanan, Ying Fang, 2015 .

Quantile Panel Data Models with Partially Varying Coefficients: Estimating the Growth Effect of FDI

Z. Cai, Ying Fang, Linna Chen, 2013 .

Panel data models with cross-sectional dependence: a selective review

Z. Cai, Ying Fang, Qiuhua Xu, 2016 .

Forecasting major Asian exchange rates using a new semiparametric STAR model

Z. Cai, Ying Fang, Qiuhua Xu, 2015 .

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

Z. Cai, Ying Fang, Qiuhua Xu, 2020, Journal of Econometrics.

Weak Instrumental Variables Models for Longitudinal Data

Z. Cai, Ying Fang, Henong Li, 2012 .

Functional-coeÆcient Regression Models for Nonlinear Time Series

Jianqing Fan, Z. Cai, 1999 .

Realized Volatility Forecasting Based on Dynamic Quantile Model Averaging

Z. Cai, Chaoqun Ma, Xianhua Mi, 2020 .

Nonparametric Time-Varying Mixture Copula Models

Z. Cai, Jiancheng Jiang, Bingduo Yang, 2016 .

Kernel Density and Hazard Rate Estimation for Censored Dependent Data

Z. Cai, 1998 .

Functional coefficient seasonal time series models with an application of Hawaii tourism data

Z. Cai, Xialu Liu, Rong Chen, 2015, Computational Statistics.

Forty's years of quantitative research in China: Retrospectives and perspectives

Z. Cai, Ying-Bing Fang, Ying Qi, 2021, Journal of Management Science and Engineering.

A new semiparametric test for superior predictive ability

Z. Cai, Xibin Zhang, Jiancheng Jiang, 2014, Empirical Economics.

Statistical Analysis and Evaluation of Macroeconomic Policies: A Selective Review

Z. Cai, Ying Fang, Ming Lin, 2020, Applied Mathematics-A Journal of Chinese Universities.

A perspective on recent methods on testing predictability of asset returns

Z. Cai, Xiao-sai Liao, Hai-qiang Chen, 2018, Applied Mathematics-A Journal of Chinese Universities.

Econometric modeling of risk measures: A selective review of the recent literature

Z. Cai, Ying Fang, Ding-shi Tian, 2019, Applied Mathematics-A Journal of Chinese Universities.

The distribution of rolling regression estimators

Z. Cai, Ted Juhl, 2022, Journal of Econometrics.

Recent advances in statistical methodologies in evaluating program for high-dimensional data

Z. Cai, M. Zhan, Ying Fang, 2022, Applied Mathematics-A Journal of Chinese Universities.

A Quantitative Evaluation of Interest Rate Liberalization Reform in China

Z. Cai, Jingwen Yuan, Zheng Zhang, 2022 .

A new nonparametric stability test with an application to major Chinese macroeconomic time series

Z. Cai, Ying Fang, Nan Cai, 2013, Applied Mathematics-A Journal of Chinese Universities.

Econometric Modeling and Economic Forecasting

Z. Cai, Yongmiao Hong, Shouyang Wang, 2018, Journal of Management Science and Engineering.

Panel data models with cross-sectional dependence: a selective review

Z. Cai, Ying Fang, Qiuhua Xu, 2016, Applied Mathematics-A Journal of Chinese Universities.

Unified Tests for a Dynamic Predictive Regression

Z. Cai, L. Peng, Xiaohui Liu, 2020, Journal of Business & Economic Statistics.

Selection of Copulas with Applications in Finance

Xiaohong Chen, Z. Cai, Yanqin Fan, 2008 .

A regression analysis of expected shortfall

Z. Cai, J. Su, Sufianti, 2015 .

Nonparametric Methods for Estimating Conditional VaR and Expected Shortfall

Z. Cai, Xian Wang, 2013 .

Nonparametric estimation of conditional VaR and expected shortfall

Zongwu Cai, Z. Cai, Xian Wang, 2008 .

A New Robust Inference for Predictive Quantile Regression

Z. Cai, Hai-qiang Chen, Xiaosai Liao, 2020, SSRN Electronic Journal.

Selection of Copulas for Risk Management ∗

Xiaohong Chen, Z. Cai, Yanqin Fan, 2009 .

Nonparametric Quantile Estimations for Dynamic Smooth Coefficient Models

Zongwu Cai, Z. Cai, Xiaoping Xu, 2008 .

Nonparametric Quantile Estimations for Dynamic Smooth Coefficient Models

Z. Cai, Xiaoping Xu, 2008 .

Does Relative Risk Aversion Vary with Wealth? Evidence from Households' Portfolio Choice Data

Z. Cai, Xuan Liu, Fang Yang, 2016 .

Title Generalized Varying-coefficient models Permalink

Z. Cai, 1999 .

Generalized Varying-CoeÆcient Models

Jianqing Fan, Z. Cai, 1999 .

Eecient Estimation and Inferences for Varying-coeecient Models

Zongwu Cai, Jianqing Fan, Jianqing Fan, 1999 .

Nonparametric Approach to Calculate Seasonal Factors For AADT Estimation

Z. Cai, Sheng-Guo Wang, Bingduo Yang, 2011 .

Average Regression Surface for Dependent Data

Zongwu Cai, Jianqing Fan, Jianqing Fan, 2000 .

Strong consistency and rates for recursive nonparametric conditional probability density estimates under (α, β)-mixing conditions

Z. Cai, 1991 .

Strong uniform consistency of nonparametric estimation of the censored conditional mode function

Z. Cai, Elias Ould-Saïd, 2005 .

Weighted Local Linear Approach to Censored Nonparametric Regression

Z. Cai, 2003 .

Estimating a Distribution Function for Censored Time Series Data

Zongwu Cai, Z. Cai, 2001 .

Kaplan-Meier Estimator under Association

G. Roussas, Z. Cai, 1998 .

Asymptotic properties of Kaplan-Meier estimator for censored dependent data

Z. Cai, 1998 .

Inferences for Partially Conditional Quantile Treatment Effect Model

Z. Cai, Ying Fang, Ming Lin, 2020 .

A new quantile treatment effect model for studying smoking effect on birth weight during Mother's pregnancy

Z. Cai, Ying Fang, Ming Lin, 2020 .

The examination of residual plots

Chih-Ling Tsai, Zongwu Cai, Xizhi Wu, 1998 .

A New Forecasting Model for USD/CNY Exchange Rate

Z. Cai, Ying Fang, Linna Chen, 2010 .

Functional-Coefficient Regression Models for Nonlinear Time Series

Jianqing Fan, Qiwei Yao, Zongwu Cai, 2000 .

TESTING INSTABILITY IN A PREDICTIVE REGRESSION MODEL WITH NONSTATIONARY REGRESSORS

Z. Cai, Yunfei Wang, Yonggang Wang, 2014, Econometric Theory.

Functional index coefficient models with variable selection

Zongwu Cai, Ted Juhl, Bingduo Yang, 2015 .

A New Conditional Capital Asset Pricing Model with Variable Selection

Z. Cai, Yu Ren, 2010 .

The estimation for Lévy processes in high frequency data

Z. Cai, Jing Zheng, Wentao Gu, 2018 .

A Semiparametric Conditional Capital Asset Pricing Model

Z. Cai, Bingduo Yang, Yu Ren, 2015 .

A perspective on recent methods on testing predictability of asset returns

Z. Cai, Hai-qiang Chen, Xiao-sai Liao, 2018, Applied Mathematics-A Journal of Chinese Universities.

Local M-estimator for nonparametric time series

Zongwu Cai, Elias Ould-Saïd, Z. Cai, 2003 .

Regression Quantiles for Time Series Data

Z. Cai, 1999 .

Diagnostics for nonlinearity in generalized linear models

Zongwu Cai, Chih-Ling Tsai, Chih-Ling Tsai, 1999 .

Forecasting major Asian exchange rates using a new semiparametric STAR model

Z. Cai, Ying Fang, Qiuhua Xu, 2014, Empirical Economics.

Semiparametric quantile regression estimation in dynamic models with partially varying coefficients

Zongwu Cai, Zhijie Xiao, Z. Cai, 2012 .

Semiparametric estimation and model selection for conditional mixture copula models

Zongwu Cai, Bingduo Yang, Guannan Liu, 2021, Scandinavian Journal of Statistics.

Time-Varying Mixture Copula Models with Copula Selection

Christian M. Hafner, Zongwu Cai, Guannan Liu, 2021 .

PRICING KERNEL ESTIMATION: A LOCAL ESTIMATING EQUATION APPROACH

Z. Cai, Yu Ren, Linman Sun, 2015, Econometric Theory.

Recent advances in statistical methodologies in evaluating program for high-dimensional data

Z. Cai, M. Zhan, Ying Fang, 2022, Applied Mathematics-A Journal of Chinese Universities.

Time-Varying Relative Risk Aversion: Mechanisms and Evidence

Z. Cai, Xuan Liu, Haiyong Liu, 2020 .

REGRESSION QUANTILES FOR TIME SERIES

Zongwu Cai, Z. Cai, 2002, Econometric Theory.

Some Recent Developments on Nonparametric Econometrics

Qi Li, Zongwu Cai, Jingping Gu, 2013 .

Effient Estimation of Partially Varying Coefficient Instrumental Variables Models

Z. Cai, Huaiyu Xiong, 2013 .

Convergency and Divergency of Functional Coefficient Weak Instrumental Variables Models

Z. Cai, Henong Li, 2013 .

SOME RECENT DEVELOPMENTS ON NONPARAMETRIC

Z. Cai, Qi Li, Jingping Gu, 2009 .

Inferences for a Partially Varying Coefficient Model With Endogenous Regressors

Z. Cai, Ying Fang, Ming Lin, 2019 .

Application of a local linear autoregressive model to BOD time series

Zongwu Cai, Ram C. Tiwari, R. Tiwari, 2000 .

Functional coefficient seasonal time series models with an application of Hawaii tourism data

Zongwu Cai, Rong Chen, Xialu Liu, 2015, Computational statistics (Zeitschrift).

GHH Preferences on Households' Portfolio Choices: Theoretical Implications and Empirical Evidence

Z. Cai, Xuan Liu, Haiyong Liu, 2019, SSRN Electronic Journal.

Testing predictive regression models with nonstationary regressors

Z. Cai, Yunfei Wang, 2014 .

Functional Coefficient Models for Economic and Financial Data

Z. Cai, 2018, Oxford Handbooks Online.

A new nonparametric stability test with an application to major Chinese macroeconomic time series

Z. Cai, Ying Fang, Nan Cai, 2013 .

Instability of Predictability of Asset Returns ∗

Zongwu Cai, Z. Cai, Yunfei Wang, 2008 .

Z. Cai, 2003 .

Denoised least squares estimators: An application to estimating advertising effectiveness

Zongwu Cai, Prasad A. Naik, Chih-Ling Tsai, 2000 .

Weighted Nadaraya–Watson regression estimation

Zongwu Cai, Z. Cai, 2001 .

Two-Step Likelihood Estimation Procedure for Varying-Coefficient Models

Zongwu Cai, Z. Cai, 2002 .

Optimal smoothing in nonparametric conditional quantile derivative function estimation

Z. Cai, Wei Lin, Zheng Li, 2015 .

Weak convergence for smooth estimator of a distribution function under negative association

G. Roussas, Z. Cai, 1999 .

Some Recent Developments on Nonparametric Econometrics

Z. Cai, Qi Li, Jingping Gu, 2013 .

A new test on the conditional capital asset pricing model

Z. Cai, Yu Ren, Xia-fei Li, 2015 .

A new test on the conditional capital asset pricing model

Z. Cai, Yu Ren, Xia-fei Li, 2015, Applied Mathematics-A Journal of Chinese Universities.

Assessing Tail Risk Using Expectile Regressions with Partially Varying Coefficients

Z. Cai, Ding-shi Tian, Ying Fang, 2018, Journal of Management Science and Engineering.

Local quasi-likelihood approach to varying-coefficient discrete-valued time series models

Z. Cai, 2003 .

Predictive regressions for macroeconomic data

Z. Cai, L. Peng, Fukang Zhu, 2014, 1404.7642.

A New Test In A Predictive Regression with Structural Breaks

Seong Yeon Chang, Z. Cai, 2018 .

Uniform strong estimation under α-mixing, with rates

G. Roussas, Z. Cai, 1992 .

Smooth estimate of quantiles under association

G. Roussas, Z. Cai, 1997 .

Flexible Seasonal Time Series Models

Rong Chen, Z. Cai, 2006 .

Testing for Structural Change of Predictive Regression Model to Threshold Predictive Regression Model

Z. Cai, S. Ling, Fukang Zhu, 2021, Journal of Business & Economic Statistics.

Testing the Predictability of U.S. Housing Price Index Returns Based on an IVX-AR Model

Z. Cai, L. Peng, Bingduo Yang, 2020 .

Efficient Estimation of a Distribution Function under Quadrant Dependence

G. Roussas, Z. Cai, 1998 .