Zudi Lu

University of Southampton

University Rd.

Southampton SO17 1BJ, Hampshire SO17 1LP

United Kingdom

SCHOLARLY PAPERS

7

DOWNLOADS

285

SSRN CITATIONS
Rank 14,297

SSRN RANKINGS

Top 14,297

in Total Papers Citations

3

CROSSREF CITATIONS

57

Scholarly Papers (7)

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 91 (283,878)
Citation 2

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 84 (298,411)

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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 69 (334,247)
Citation 3

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 27 (486,051)

Abstract:

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

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 13 (567,710)

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

6.

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 (656,487)
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adaptive Lasso, asymptotic property, nonlinear regression, regularization, spatial statistics, time series

7.

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 (673,801)
Citation 1
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Quantitative risk measures, copulas, multivariate nonlinear time series, threshold principle