Wei Biao Wu

University of Chicago

1101 East 58th Street

Chicago, IL 60637

United States

SCHOLARLY PAPERS

4

DOWNLOADS

251

CITATIONS
Rank 17,775

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Top 17,775

in Total Papers Citations

27

Scholarly Papers (4)

1.

Efficient Estimation of Copula-Based Semiparametric Markov Models

Cowles Foundation Discussion Paper No. 1691
Number of pages: 56 Posted: 26 Feb 2009 Last Revised: 16 Mar 2009
Xiaohong Chen, Wei Biao Wu and Yanping Yi
Yale University - Cowles Foundation, University of Chicago and affiliation not provided to SSRN
Downloads 189 (158,013)
Citation 28

Abstract:

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Copula, Tail dependence, Nonlinear Markov models, Geometric ergodicity, Sieve MLE, Semiparametric efficiency, Sieve likelihood ratio statistics, Value-at-Risk

2.

Simultaneous Confidence Bands in Nonlinear Regression Models with Nonstationarity

Number of pages: 37 Posted: 25 Jul 2015
Degui Li, weidong liu, Qiying Wang and Wei Biao Wu
University of York, Shanghai Jiao Tong University (SJTU), University of Sydney and University of Chicago
Downloads 59 (355,300)

Abstract:

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3.

On Nonparametric Prediction of Linear Processes

Journal of Time Series Analysis, Vol. 30, Issue 6, pp. 652-673, November 2009
Number of pages: 22 Posted: 20 Oct 2009
Jan Mielniczuk, Zhou Zhou and Wei Biao Wu
affiliation not provided to SSRN, University of Toronto and University of Chicago
Downloads 3 (621,266)
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Abstract:

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4.

Kernel Conditional Quantile Estimation for Stationary Processes with Application to Conditional Value-at-Risk

Journal of Financial Econometrics, Vol. 6, Issue 2, pp. 253-270, 2008
Posted: 10 Jul 2008
Wei Biao Wu, Keming Yu and Gautam Mitra
University of Chicago, Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications and Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications

Abstract:

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asymptotic expansion, Bahadur representation, causal process, central limit theorem, kernel estimation, long-range dependence, quantile estimation, short-range dependence, value-at-risk