Zhibiao Zhao

    • 256 Citations
    • 8 h-Index
    20072019
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    Research Output 2007 2019

    • 256 Citations
    • 8 h-Index
    • 23 Article
    • 1 Review article
    2019

    A time varying approach to the stock return–inflation puzzle

    Li, X. & Zhao, Z., Jan 1 2019, (Accepted/In press) In : Journal of the Royal Statistical Society. Series C: Applied Statistics.

    Research output: Contribution to journalArticle

    Change-point Analysis
    Inflation
    Time-varying
    Local Stationarity
    Stock Returns
    2018

    Efficient estimation for time-varying coefficient longitudinal models

    Kim, S., Zhao, Z. & Xiao, Z., Jul 3 2018, In : Journal of Nonparametric Statistics. 30, 3, p. 680-702 23 p.

    Research output: Contribution to journalArticle

    Time-varying Coefficients
    Efficient Estimation
    Quantile
    Least Squares
    Estimator
    2016
    5 Citations (Scopus)

    Conditional Value-at-Risk: Semiparametric estimation and inference

    Wang, C. S. & Zhao, Z., Nov 1 2016, In : Journal of Econometrics. 195, 1, p. 86-103 18 p.

    Research output: Contribution to journalArticle

    Semiparametric estimation
    Conditional value at risk
    Semiparametric inference
    Confidence
    Convergence rate
    2015
    1 Citation (Scopus)

    Inference for Local Autocorrelations in Locally Stationary Models

    Zhao, Z., Apr 3 2015, In : Journal of Business and Economic Statistics. 33, 2, p. 296-306 11 p.

    Research output: Contribution to journalArticle

    Autocorrelation
    Time-varying
    Efficient Market Hypothesis
    hypothesis testing
    Simultaneous Confidence Bands
    5 Citations (Scopus)
    Functional Central Limit Theorem
    Confidence interval
    Time series
    Regression
    Variance Function
    2014

    Asymptotics of nonparametric L-1 regression models with dependent data

    Zhao, Z., Wei, Y. & Lin, D. K. J., Aug 2014, In : Bernoulli. 20, 3, p. 1532-1559 28 p.

    Research output: Contribution to journalArticle

    Dependent Data
    Bahadur Representation
    Regression Model
    Quantile
    Weighted Empirical Processes
    32 Citations (Scopus)

    Efficient regressions via optimally combining quantile information

    Zhao, Z. & Xiao, Z., Apr 29 2014, In : Econometric Theory. 30, 6, p. 1272-1314 43 p.

    Research output: Contribution to journalArticle

    regression
    efficiency
    experiment
    performance
    Estimator
    1 Citation (Scopus)

    Non-parametric estimation under strong dependence

    Zhao, Z., Zhang, Y. & Li, R., Jan 1 2014, In : Journal of Time Series Analysis. 35, 1, p. 4-15 12 p.

    Research output: Contribution to journalArticle

    Nonparametric Estimation
    Convergence Rate
    Regression Estimation
    Function Estimation
    Dependent
    1 Citation (Scopus)

    Specification test for Markov models with measurement errors

    Kim, S. & Zhao, Z., Jan 1 2014, In : Journal of Multivariate Analysis. 130, p. 118-133 16 p.

    Research output: Contribution to journalArticle

    Specification Test
    Regression Function
    Measurement errors
    Measurement Error
    Markov Model
    2013
    4 Citations (Scopus)

    Inference for modulated stationary processes

    Zhao, Z. & Li, X., Feb 1 2013, In : Bernoulli. 19, 1, p. 205-227 23 p.

    Research output: Contribution to journalArticle

    Self-normalization
    Stationary Process
    Self-normalized Sums
    Wild Bootstrap
    Change-point Problem
    8 Citations (Scopus)

    Kernel density-based linear regression estimate

    Yao, W. & Zhao, Z., Dec 17 2013, In : Communications in Statistics - Theory and Methods. 42, 24, p. 4499-4512 14 p.

    Research output: Contribution to journalArticle

    Kernel Density
    Regression Estimate
    Linear regression
    Least Squares Estimate
    Likelihood Function
    3 Citations (Scopus)

    Testing for changes in autocovariances of nonparametric time series models

    Li, X. & Zhao, Z., Feb 1 2013, In : Journal of Statistical Planning and Inference. 143, 2, p. 237-250 14 p.

    Research output: Contribution to journalArticle

    Autocovariance
    Nonparametric Model
    Time Series Models
    Test Statistic
    Time series
    10 Citations (Scopus)

    Unified inference for sparse and dense longitudinal models

    Kim, S. & Zhao, Z., Mar 1 2013, In : Biometrika. 100, 1, p. 203-212 10 p.

    Research output: Contribution to journalArticle

    Statistical Inference
    Self-normalization
    Longitudinal Data Analysis
    Kernel Smoothing
    Variance Function
    2012
    2 Citations (Scopus)

    Sequential design for nonparametric inference

    Zhao, Z. & Yao, W., Jun 1 2012, In : Canadian Journal of Statistics. 40, 2, p. 362-377 16 p.

    Research output: Contribution to journalArticle

    Sequential Design
    Nonparametric Inference
    Semiparametric Inference
    Uniform Design
    Conditional Quantiles
    2011
    3 Citations (Scopus)

    A self-normalized confidence interval for the mean of a class of nonstationary processes

    Zhao, Z., Mar 1 2011, In : Biometrika. 98, 1, p. 81-90 10 p.

    Research output: Contribution to journalArticle

    Nonstationary Processes
    Confidence interval
    confidence interval
    Confidence Intervals
    Consistent Estimation
    3 Citations (Scopus)

    Nonparametric model validations for hidden Markov models with applications in financial econometrics

    Zhao, Z., Jun 1 2011, In : Journal of Econometrics. 162, 2, p. 225-239 15 p.

    Research output: Contribution to journalArticle

    Model validation
    Nonparametric model
    Hidden Markov model
    Financial econometrics
    Confidence
    2010
    9 Citations (Scopus)

    Density estimation for nonlinear parametric models with conditional heteroscedasticity

    Zhao, Z., Mar 1 2010, In : Journal of Econometrics. 155, 1, p. 71-82 12 p.

    Research output: Contribution to journalArticle

    Density estimation
    Conditional heteroscedasticity
    Parametric model
    Parameter estimation
    Dependence structure
    5 Citations (Scopus)

    Profile control charts based on nonparametric L-1 regression methods

    Wei, Y., Zhao, Z. & Lin, D. K. J., Mar 1 2010, In : Annals of Applied Statistics. 4, 1, p. 409-427 19 p.

    Research output: Contribution to journalArticle

    Control Charts
    Regression
    Statistical process control
    Location-scale Model
    Statistical Process Control
    2009
    15 Citations (Scopus)

    Nonparametric inference of discretely sampled stable Lévy processes

    Zhao, Z. & Wu, W. B., Nov 1 2009, In : Journal of Econometrics. 153, 1, p. 83-92 10 p.

    Research output: Contribution to journalArticle

    Foreign Exchange Rates
    Least Absolute Deviation
    Nonparametric Inference
    Stable Process
    Nonparametric Estimator
    2008
    38 Citations (Scopus)

    Confidence bands in nonparametric time series regression

    Zhao, Z. & Wu, W. B., Aug 1 2008, In : Annals of Statistics. 36, 4, p. 1854-1878 25 p.

    Research output: Contribution to journalArticle

    Simultaneous Confidence Bands
    Confidence Bands
    Conditional Variance
    Nonlinear Process
    Dependence Structure
    21 Citations (Scopus)

    Moderate deviations for stationary processes

    Wei, B. W. & Zhao, Z., Apr 1 2008, In : Statistica Sinica. 18, 2, p. 769-782 14 p.

    Research output: Contribution to journalArticle

    Moderate Deviations
    Stationary Process
    Nonlinear Time Series
    Tail Probability
    Linear Process
    2007
    4 Citations (Scopus)

    Asymptotic theory for curve-crossing analysis

    Zhao, Z. & Wu, W. B., Jul 1 2007, In : Stochastic Processes and their Applications. 117, 7, p. 862-877 16 p.

    Research output: Contribution to journalArticle

    Asymptotic Theory
    Time series
    Curve
    Count
    Nonlinear Time Series
    84 Citations (Scopus)

    Inference of trends in time series

    Wu, W. B. & Zhao, Z., Jun 1 2007, In : Journal of the Royal Statistical Society. Series B: Statistical Methodology. 69, 3, p. 391-410 20 p.

    Research output: Contribution to journalArticle

    Time series
    Global Warming
    Strong Invariance Principle
    Simultaneous Confidence Bands
    Structural Breaks
    1 Citation (Scopus)

    Parametric and nonparametric models and methods in financial econometrics

    Zhao, Z., Dec 1 2007, In : Statistics Surveys. 1, p. 1-42 42 p.

    Research output: Contribution to journalReview article

    Nonparametric Methods
    Nonparametric Model
    Parametric Model
    Econometrics
    Model Validation