Zudi Lu

University of Southampton

University Rd.

Southampton SO17 1BJ, Hampshire SO17 1LP

United Kingdom

SCHOLARLY PAPERS

9

DOWNLOADS

424

SSRN CITATIONS
Rank 15,181

SSRN RANKINGS

Top 15,181

in Total Papers Citations

17

CROSSREF CITATIONS

57

Scholarly Papers (9)

1.

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 97 (375,813)
Citation 6

Abstract:

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

2.

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 95 (380,734)

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

3.

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 89 (396,584)
Citation 7

Abstract:

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

4.

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 49 (538,226)

Abstract:

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

5.

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 46 (552,285)

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

6.

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 44 (562,096)

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

7.

Modeling the Variance of Return Intervals Toward Volatility Prediction

Journal of Time Series Analysis, Vol. 41, Issue 4, pp. 492-519, 2020
Number of pages: 28 Posted: 30 Sep 2020
Utah State University, UBS AG, University of Southampton, Utah State University and Utah State University
Downloads 3 (886,133)

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Interval‐valued time series, stationarity, maximum likelihood estimate, random sets, price range, volatility

8.

On a Semiparametric Data‐Driven Nonlinear Model with Penalized Spatio‐Temporal Lag Interactions

Journal of Time Series Analysis, Vol. 40, Issue 3, pp. 327-342, 2019
Number of pages: 16 Posted: 15 Apr 2019
King Abdulaziz University, University of Southampton, University of Southampton and University of Wisconsin - Madison
Downloads 1 (914,276)

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adaptive Lasso, asymptotic property, nonlinear regression, regularization, spatial statistics, time series

9.

A New Multivariate Nonlinear Time Series Model for Portfolio Risk Measurement: The Threshold Copula‐Based Tar Approach

Journal of Time Series Analysis, Vol. 38, Issue 2, pp. 243-265, 2017
Number of pages: 23 Posted: 08 Feb 2017
Macquarie University, London School of Economics & Political Science (LSE), Macquarie University, Macquarie Business School and University of Southampton
Downloads 0 (929,692)
Citation 7

Abstract:

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Quantitative risk measures, copulas, multivariate nonlinear time series, threshold principle