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Selected publications
Hu, S., D.S. Poskitt, and X. Zhang (2021), Bayesian estimation for a semiparametric nonlinear volatility model, Economic Modelling, 98, 361-370.
Cheng, T., J. Gao, and X. Zhang (2019), Nonparametric localized bandwidth selection for kernel density estimation, Econometric Reviews, 38(7), 733-762.
Li, S., M. Silvapulle, P. Silvapulle, and X. Zhang (2015), Bayesian approaches to nonparametric estimation of densities on the unit interval, Econometric Reviews, 34(3), 394-412.
Dark, J., X. Zhang, and N. Qu (2010), Influence diagnostics for multivariate GARCH processes, Journal of Time Series Analysis, 31, 278-291.
Zhang, X., R.D. Brooks and M.L. King (2009), A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation, Journal of Econometrics, 153, 21-32 (R Package).
Zhang, X. and M.L. King (2008), Box-Cox stochastic volatility models with heavy-tails and correlated errors, Journal of Empirical Finance, 15, 549-566.
Brooks, R.D., X. Zhang, and E. Bissoondoyal-Bheenick (2007), Country risk and the estimation of asset return distributions, Quantitative Finance, 7, 261-265.
Yu, J., Z. Yang and X. Zhang (2006), A class of nonlinear stochastic volatility models and its implications for pricing currency options, Computational Statistics & Data Analysis, 51, 2218-2231.
Zhang, X. and M.L. King (2005), Influence diagnostics in generalized autoregressive conditional heteroskedasticity processes, Journal of Business & Economic Statistics, 23, 118-129 (Errata).
Zhang, X. (2004), Assessment of local influence in GARCH processes, Journal of Time Series Analysis, 25, 301-313.
Tse, Y.K., K.W. Ng, and X. Zhang (2004), A small-sample overlapping variance-ratio test, Journal of Time Series Analysis, 25, 127-135.
Tse, Y.K., X. Zhang, and J. Yu (2004), Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method, Quantitative Finance, 4, 158-169.
Papers submitted or work in progress
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