Zhao, Z. (2009) Density estimation for nonlinear parametric models
with conditional heteroscedasticity. Accepted, Journal of Econometrics.
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.
Zhao, Z. (2007) Nonparametric inference for stochastic diffusion models. PhD Dissertation, University of Chicago.
Submitted Manuscripts
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Zhao, Z. and Wei, Y. (2009) On weighted U-statistics with applications to nonparametric density and variance estimation. (Submitted.)
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Wei, Y, Zhao, Z. and Lin, D. (2009) A general class of nonparametric L-1 regression with its application to profile control charts. (Submitted.)
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Zhao, Z., Zhang, Y. and Li, R. (2009) Efficient nonparametric estimation under long-range dependence. (Submitted.)
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Zhao, Z. (2009) Nonparametric model validations for hidden Markov models with applications in financial econometrics. (Submitted.)
Other Manuscripts
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Zhao, Z. and Wu, W.B. (2007) Kernel quantile regression for nonlinear stochastic models . Technical Report, University of Chicago.
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