Zhijie Xiao

Boston College - Department of Finance and Department of Economics

United States

SCHOLARLY PAPERS

10

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917

SSRN CITATIONS
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SSRN RANKINGS

Top 29,110

in Total Papers Citations

11

CROSSREF CITATIONS

11

Scholarly Papers (10)

1.
Downloads 314 ( 96,736)

The Reluctant Analyst

Number of pages: 60 Posted: 14 Mar 2016 Last Revised: 15 Mar 2016
Dan Bernhardt, Zhijie Xiao and Chi Wan
University of Illinois at Urbana-Champaign - Department of Economics, Boston College - Department of Finance and Department of Economics and University of Massachusetts Boston - Department of Accounting and Finance
Downloads 314 (96,165)
Citation 2

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Financial Analysts, Recommendation Revisions, Recommendation Stickiness, Asymmetric Frictions, Duration, MCMC

The Reluctant Analyst

Journal of Accounting Research, Vol. 54, No. 4, 2016
Posted: 27 Apr 2017
Dan Bernhardt, Zhijie Xiao and Chi Wan
University of Illinois at Urbana-Champaign - Department of Economics, Boston College - Department of Finance and Department of Economics and University of Massachusetts Boston - Department of Accounting and Finance

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Financial Analysts, Recommendation Revisions, Recommendation Stickiness, Asymmetric Frictions, Duration, MCMC

2.

Risk Analysis Using Regression Quantiles: Evidence from International Equity Markets

The International Journal of Business and Finance Research, v. 7 (2) p. 1-15
Number of pages: 16 Posted: 29 Jan 2013
Winston-Salem State University, Winston-Salem State University, University of Houston and Boston College - Department of Finance and Department of Economics
Downloads 246 (125,269)

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Value at risk, international equities, quantile regression, risk analysis

3.

A New Characterization of the Normal Distribution and Test for Normality

Number of pages: 48 Posted: 03 Apr 2015
University of Illinois, University of Arizona, University of Wisconsin - Milwaukee and Boston College - Department of Finance and Department of Economics
Downloads 121 (233,534)
Citation 1

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Asymptotic covariance, characterization of distribution, normality, quantile process, mean, testing

4.

Efficient Estimation of Nonparametric Regression in the Presence of Dynamic Heteroskedasticity

Number of pages: 75 Posted: 26 May 2015 Last Revised: 09 May 2016
Oliver B. Linton and Zhijie Xiao
University of Cambridge and Boston College - Department of Finance and Department of Economics
Downloads 99 (269,033)

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GARCH; Kernel; Prediction

5.

Estimation of and Inference about the Expected Shortfall for Time Series with Infinite Variance

Number of pages: 41 Posted: 04 Nov 2011
Oliver B. Linton and Zhijie Xiao
University of Cambridge and Boston College - Department of Finance and Department of Economics
Downloads 83 (300,952)
Citation 6

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6.

Hybrid Quantile Regression Estimation for Time Series Models with Conditional Heteroscedasticity

Number of pages: 53 Posted: 25 Oct 2016 Last Revised: 26 Oct 2016
Yao Zheng, Qianqian Zhu, Guodong Li and Zhijie Xiao
The University of Hong Kong - Department of Statistics & Actuarial Science, The University of Hong Kong - Department of Statistics and Actuarial Science, The University of Hong Kong - Department of Statistics & Actuarial Science and Boston College - Department of Finance and Department of Economics
Downloads 51 (388,160)
Citation 2

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Bootstrap Method, Conditional Quantile, GARCH, Nonlinear Time Series, Quantile Regression

7.

A Powerful Test for Changing Trends in Time Series Models

Journal of Time Series Analysis, Vol. 39, Issue 4, pp. 488-501, 2018
Number of pages: 14 Posted: 12 Jun 2018
Jilin Wu and Zhijie Xiao
Shandong University - Center for Economic Research and Boston College - Department of Finance and Department of Economics
Downloads 1 (656,915)
Citation 1
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non‐monotonic power, structural change, bandwidth selection, local power

8.

Square‐Root Lasso for High‐Dimensional Sparse Linear Systems with Weakly Dependent Errors

Journal of Time Series Analysis, Vol. 39, Issue 2, pp. 212-238, 2018
Number of pages: 27 Posted: 14 Feb 2018
Fang Xie and Zhijie Xiao
University of Macau - Department of Mathematics and Boston College - Department of Finance and Department of Economics
Downloads 1 (656,915)
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high‐dimensional linear model, square‐root LASSO, ‐mixing, ‐mixing, ‐mixing, ‐dependent, estimation consistency

9.

Weak Instrument Inference in the Presence of Parameter Instability

The Econometrics Journal, Vol. 15, Issue 3, pp. 395-419, 2012
Number of pages: 25 Posted: 30 Nov 2012
Hong Li and Zhijie Xiao
Brandeis University and Boston College - Department of Finance and Department of Economics
Downloads 1 (656,915)
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GMM, Parameter instability, Weak instruments

10.

Testing for Changing Volatility

The Econometrics Journal, Vol. 21, Issue 2, pp. 192-217, 2018
Number of pages: 26 Posted: 02 Jul 2018
Jilin Wu and Zhijie Xiao
Shandong University - Center for Economic Research and Boston College - Department of Finance and Department of Economics
Downloads 0 (674,275)
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Cross‐validation, Nonparametric, U‐statistic, Volatility changes