Zudi Lu

University of Southampton

University Rd.

Southampton SO17 1BJ, Hampshire SO17 1LP

United Kingdom

SCHOLARLY PAPERS

6

DOWNLOADS

649

SSRN CITATIONS
Rank 49,251

SSRN RANKINGS

Top 49,251

in Total Papers Citations

14

CROSSREF CITATIONS

3

Scholarly Papers (6)

1.

Semiparametric Dynamic Portfolio Choice with Multiple Conditioning Variables

Number of pages: 25 Posted: 11 Feb 2015
University of York - Department of Economics and Related Studies, University of York, University of Cambridge and University of Southampton
Downloads 145 (370,853)
Citation 1

Abstract:

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Conditioning variables, kernel smoothing, model averaging, portfolio choice, utility function

2.

A Flexible Semiparametric Model for Time Series

Number of pages: 45 Posted: 06 Aug 2012
Oliver B. Linton, Degui Li and Zudi Lu
University of Cambridge, University of York and University of Southampton
Downloads 117 (437,316)
Citation 6

Abstract:

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Asymptotic normality, model averaging, Nadaraya-Watson kernel estimation, near epoch dependence, semiparametric method

3.

Local Linear Quantile Regression for Time Series Under Near Epoch Dependence

Number of pages: 44 Posted: 07 Apr 2020 Last Revised: 18 Jun 2020
Xiaohang Ren and Zudi Lu
University of Southampton and University of Southampton
Downloads 107 (466,994)

Abstract:

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Local linear fitting; Quantile regression; Near epoch dependence; Bahadur representation

4.

Semiparametric Ultra-High Dimensional Model Averaging of Nonlinear Dynamic Time Series

Number of pages: 55 Posted: 07 Jan 2016
University of York - Department of Economics and Related Studies, University of York, University of Cambridge and University of Southampton
Downloads 107 (466,994)
Citation 7

Abstract:

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Kernel smoother, penalised MAMAR, principal component analysis, semiparametric approximation, sure independence screening, ultra-high dimensional time series

5.

the Determinants of Retail Fuel Prices in the EU Evidence from the Spatial Panel Quantile Regression

Number of pages: 37 Posted: 25 Jan 2019
University of Southampton, University of Southampton, University of Glasgow and Durham Business School
Downloads 88 (531,472)

Abstract:

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spatial panel quantile model, retail fuel price, carbon futures price, oil market, cross-market integration

6.

An Extended MRR Model for Transaction-Level Analysis of High Frequency Trading Processes

Number of pages: 22 Posted: 09 Oct 2017
Qiang Zhang, Zudi Lu and Shancun Liu
Beijing University of Chemical Technology - School of Economics & Management, University of Southampton and Beihang University (BUAA) - School of Economic and Management Science
Downloads 85 (542,857)

Abstract:

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spread decomposition; adverse selection risk; an extended MRR model; information lag