Bo Zhou

Durham University Business School

Mill Hill Lane

Durham, DH1 3LB

United Kingdom

http://https://sites.google.com/view/bo-zhou

SCHOLARLY PAPERS

6

DOWNLOADS

318

SSRN CITATIONS

3

CROSSREF CITATIONS

0

Scholarly Papers (6)

1.

Semiparametrically Point-Optimal Hybrid Rank Tests for Unit Roots

Number of pages: 39 Posted: 12 Mar 2016 Last Revised: 08 Sep 2019
Durham University Business School, Tilburg University - CentER and department of Econometrics & OR and Tilburg University - Center for Economic Research (CentER)
Downloads 109 (300,893)
Citation 2

Abstract:

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unit root test, semiparametric power envelope, limit experiment, LABF, maximal invariant, rank statistic

2.

Volatility Measurement with Pockets of Extreme Return Persistence

Number of pages: 48 Posted: 04 Nov 2020
Northwestern University - Kellogg School of Management, Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of Finance, Northwestern University and Durham University Business School
Downloads 98 (323,063)
Citation 1

Abstract:

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extreme return persistence, high-frequency data, integrated volatility estimation, market microstructure noise, volatility forecasting.

3.

A general semiparametric approach when innovation distribution is considered a nuisance parameter

Number of pages: 34 Posted: 13 Nov 2018 Last Revised: 17 Feb 2021
Bo Zhou
Durham University Business School
Downloads 46 (480,731)

Abstract:

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semiparametric power envelope, limit experiment, maximal invariant, semiparametric inference, componentwise rank statistic, cointegration

4.

Semiparametric Testing With Highly Persistent Predictors

Number of pages: 58 Posted: 02 Aug 2018 Last Revised: 13 Jan 2021
Bas J. M. Werker and Bo Zhou
Tilburg University - Center for Economic Research (CentER) and Durham University Business School
Downloads 42 (498,182)

Abstract:

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predictive regression, limit experiment, LABF, maximal invariant, rank statistics

5.

Supplemental Appendix to 'Semiparametrically Point-Optimal Hybrid Rank Tests for Unit Roots'

Number of pages: 21 Posted: 12 Jul 2018 Last Revised: 27 Nov 2018
Durham University Business School, Tilburg University - CentER and department of Econometrics & OR and Tilburg University - Center for Economic Research (CentER)
Downloads 18 (635,973)

Abstract:

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6.

Supplement to "A general semiparametric approach when innovation distribution is considered a nuisance parameter"

Number of pages: 15 Posted: 17 Sep 2019 Last Revised: 17 Feb 2021
Bo Zhou
Durham University Business School
Downloads 5 (733,592)

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