Ke-Li Xu

发表

MODEL-FREE INFERENCE FOR TAIL RISK MEASURES

Ke-Li Xu, 2014, Econometric Theory.

Re-Weighted Functional Estimation of Diffusion Models

Ke-Li Xu, 2007 .

Empirical Likelihood-Based Inference for Nonparametric Recurrent Diffusions

Ke-Li Xu, 2009 .

Adaptive Estimation of Autoregressive Models with Time-Varying Variances

Ke-Li Xu, Peter C. B. Phillips, P. Phillips, 2006 .

Bootstrapping Auto-regression Under Non-Stationary Volatility

Ke-Li Xu, 2008 .

Robustifying Multivariate Trend Tests to Nonstationary Volatility

Ke-Li Xu, Ke-Li Xu, 2009 .

Subvector Inference in Local Regression

Ke-Li Xu, 2014 .

Estimation and Inference under Weak IdentiÂ cation and Persistence: An Application on Forecast-Based Monetary Policy Reaction Function

Ke-Li Xu, Jui-Chung Yang, Jui‐Chung Yang, 2013 .

Towards Uniformly Efficient Trend Estimation Under Weak/Strong Correlation and Nonstationary Volatility

Ke-Li Xu, Jui-Chung Yang, Ke-Li Xu, 2014 .

Inference of Local Regression in the Presence of Nuisance Parameters

Ke-Li Xu, 2017, Journal of Econometrics.

Economic Signiﬁcance of Commodity Return Forecasts from the Fractionally Cointegrated VAR Model

P. Narayan, Ke-Li Xu, M. Nielsen, 2017 .

A Global Estimator of Discontinuity-Based Design with Ordered Discrete Outcomes

Ke-Li Xu, 2015 .

Testing for Multiple-Horizon Predictability: Direct Regression Based versus Implication Based

Ke-Li Xu, 2019, The Review of Financial Studies.

A Dimensionality-Robust Test in Multiple Predictive Regression

Ke-Li Xu, Junjie Guo, 2019, SSRN Electronic Journal.

Multi-scale Attention Flow for Probabilistic Time Series Forecasting

Jiaxiang Wu, P. Zhao, Ke-Li Xu, 2022, ArXiv.

A Semi-Nonparametric Estimator of Regression Discontinuity Design with Discrete Duration Outcomes

Ke-Li Xu, 2018, Journal of Econometrics.

COVID-19 vaccine and post-pandemic recovery: Evidence from Bitcoin cross-asset implied volatility spillover

Ke-Li Xu, Michael Di, 2022, Finance Research Letters.

Dynamic Cross-Correlations between Investors’ Attention and CSI300 Index Futures

Ke-Li Xu, Dehua Shen, Xiong Xiong, 2019 .

Multi-Level Order-Flow Imbalance in a Limit Order Book

S. Howison, M. Gould, Ke-Li Xu, 2018, SSRN Electronic Journal.

Multi-scale Attention Flow for Probabilistic Time Series Forecasting

Jiaxiang Wu, P. Zhao, Ke-Li Xu, 2022, ArXiv.

Inference in Autoregression under Heteroskedasticity

P. Phillips, Ke-Li Xu, 2006 .

Power monotonicity in detecting volatility levels change

Ke-Li Xu, 2013 .

Powerful Tests for Structural Changes in Volatility

Ke-Li Xu, 2012 .

A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets

Ke-Li Xu, M. Nielsen, Sepideh Dolatabadi, 2015 .

Towards Uniformly Efficient Trend Estimation Under Weak/Strong Correlation and Non‐stationary Volatility

Ke-Li Xu, Jui-Chung Yang, Ke-Li Xu, 2015 .

STOCK MARKET OPENNESS AND MARKET QUALITY: EVIDENCE FROM THE SHANGHAI–HONG KONG STOCK CONNECT PROGRAM

Ke-Li Xu, Xuekui Zhang, Deng Pan, 2020 .

A Fractionally Cointegrated VAR Model with Deterministic Trends and Application to Commodity Futures Markets

Ke-Li Xu, M. Nielsen, Sepideh Dolatabadi, 2015 .

Estimation and Inference under Weak Identification and Persistence in Dynamic Nonlinear Regression

Ke-Li Xu, Jui‐Chung Yang, 2015 .

Testing for Return Predictability with Co-Moving Predictors of Unknown Form

Ke-Li Xu, 2016 .

Regression Discontinuity with Categorical Outcomes

Ke-Li Xu, Ke-Li Xu, 2017 .

Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications

P. Phillips, Ke-Li Xu, 2009 .

NONPARAMETRIC INFERENCE FOR CONDITIONAL QUANTILES OF TIME SERIES

Ke-Li Xu, Ke-Li Xu, 2012, Econometric Theory.

Estimation and Inference of Discontinuity in Density

Ke-Li Xu, Taisuke Otsu, Yukitoshi Matsushita, 2013 .

Empirical Likelihood-Based Inference for Nonlinear Di ¤ usions

Ke-Li Xu, 2007 .

Robust Inference of Long-Horizon Predictability

Ke-Li Xu, 2017 .

Empirical Likelihood for Regression Discontinuity Design

Ke-Li Xu, Taisuke Otsu, 2011 .

Tilted Nonparametric Estimation of Volatility Functions

P. Phillips, Ke-Li Xu, 2010 .

Non-Standard Errors

Charles S. Bos, Robert A. Korajczyk, Neil D. Pearson, 2021, SSRN Electronic Journal.

Novel modelling strategies for high-frequency stock trading data

Ke-Li Xu, Xuekui Zhang, Li Xing, 2022, Financial Innovation.

Multi-Scale Attention Flow for Probabilistic Time Series Forecasting

Jiaxiang Wu, P. Zhao, Ke-Li Xu, 2022, IEEE Transactions on Knowledge and Data Engineering.

Fractional cointegration in bitcoin spot and futures markets

Ke-Li Xu, Jinghong Wu, Jian Chen, 2021 .

Matsushita Estimation and inference of discontinuity in density

Ke-Li Xu, Taisuke Otsu, Yukitoshi, 2017 .

Estimation and Inference of Discontinuity in Density Taisuke Otsu

Ke-Li Xu, 2010 .

Trade Friction and Price Discovery in the USD–CAD Spot and Forward Markets

Ke-Li Xu, Jian Chen, Meng-Long Yan, 2021, The North American Journal of Economics and Finance.

Detection of Mutual Exciting Structure in Stock Price Trend Dynamics

Ke-Li Xu, Junran Wu, Shangzhe Li, 2021, Entropy.

High Frequency Market Making During Stressed Periods

Ke-Li Xu, 2019, International Review of Economics & Finance.

Re-Weighted Functional Estimation of Diffusion Models, 2nd Version

Ke-Li Xu, 2008 .

Market Cycle Turning Point Forecasts by a Two-Parameter Learning Algorithm as a Trading Tool for S&P Futures

Ke-Li Xu, B. Giessen, Zhaoyang Zhao, 2006 .

The maturity effect of stock index futures: Speculation or carry arbitrage?

Ke-Li Xu, Xiong Xiong, Xiao Li, 2021 .

Local Projection Based Inference under General Conditions

Ke-Li Xu, 2023, Social Science Research Network.

Non-Standard Errors

Charles S. Bos, Robert A. Korajczyk, Neil D. Pearson, 2021, SSRN Electronic Journal.