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1

ARIMAX-GARCH-WAVELET model for forecasting volatile data

Paul, Ranjit Kumar, Gao, Jiti, King, Maxwell L.

Journal:

Model Assisted Statistics and Applications

Année:

2015

Langue:

english

Fichier:

PDF, 459 KB

english, 2015

2

Semiparametric Regression Smoothing of Non-linear Time Series

Journal:

Scandinavian Journal of Statistics

Année:

1998

Langue:

english

Fichier:

PDF, 280 KB

english, 1998

3

Nonparametric Estimation and Forecasting for Time-Varying Coefficient Realized Volatility Models

Chen, Xiangjin B., Gao, Jiti, Li, Degui, Silvapulle, Param

Journal:

Journal of Business and Economic Statistics

Année:

2016

Langue:

english

Fichier:

PDF, 470 KB

english, 2016

4

A varying-coefficient panel data model with fixed effects: Theory and an application to US commercial banks

Feng, Guohua, Gao, Jiti, Peng, Bin, Zhang, Xiaohui

Journal:

Journal of Econometrics

Année:

2017

Langue:

english

Fichier:

PDF, 608 KB

english, 2017

5

Model Specification Tests in Nonparametric Stochastic Regression Models

Jiti Gao, Howell Tong, Rodney Wolff

Journal:

Journal of Multivariate Analysis

Année:

2002

Langue:

english

Fichier:

PDF, 235 KB

english, 2002

6

Specification testing in discretized diffusion models: Theory and practice

Jiti Gao, Isabel Casas

Journal:

Journal of Econometrics

Année:

2008

Langue:

english

Fichier:

PDF, 1.98 MB

english, 2008

7

Semiparametric trending panel data models with cross-sectional dependence

Jia Chen, Jiti Gao, Degui Li

Journal:

Journal of Econometrics

Année:

2012

Langue:

english

Fichier:

PDF, 722 KB

english, 2012

8

Testing for a Structural Break in Dynamic Panel Data Models with Common Factors

Zhu, Huanjun, Sarafidis, Vasilis, Silvapulle, Mervyn J, Gao, Jiti

Journal:

SSRN Electronic Journal

Année:

2015

Langue:

english

Fichier:

PDF, 444 KB

english, 2015

9

Semiparametric Approximation Methods in Multivariate Model Selection

Jiti Gao, Rodney Wolff, Vo Anh

Journal:

Journal of Complexity

Année:

2001

Langue:

english

Fichier:

PDF, 210 KB

english, 2001

10

Asymptotic normality of pseudo-LS estimator for partly linear autoregression models

Jiti Gao, Hua Liang

Journal:

Statistics & Probability Letters

Année:

1995

Langue:

english

Fichier:

PDF, 307 KB

english, 1995

11

Econometric modelling in finance and risk management: An overview

Jiti Gao, Michael McAleer, David E. Allen

Journal:

Journal of Econometrics

Année:

2008

Langue:

english

Fichier:

PDF, 573 KB

english, 2008

12

Non-parametric time-varying coefficient panel data models with fixed effects

Degui Li, Jia Chen, Jiti Gao

Journal:

The Econometrics Journal

Année:

2011

Langue:

english

Fichier:

PDF, 235 KB

english, 2011

13

Statistical Inference in Single-Index and Partially Nonlinear Models

Jiti Gao, Hua Liang

Journal:

Annals of the Institute of Statistical Mathematics

Année:

1997

Fichier:

PDF, 927 KB

1997

14

Dynamic investigation into the predictability of Australian industrial stock returns: Using financial and economic information

Juan Yao, Jiti Gao, Lakshman Alles

Journal:

Pacific-Basin Finance Journal

Année:

2005

Langue:

english

Fichier:

PDF, 181 KB

english, 2005

15

Estimation in Partially Linear Single-Index Panel Data Models With Fixed Effects

Chen, Jia, Gao, Jiti, Li, Degui

Journal:

Journal of Business and Economic Statistics

Année:

2013

Langue:

english

Fichier:

PDF, 1.06 MB

english, 2013

16

Solving replication problems in a complete market by orthogonal series expansion

Dong, Chaohua, Gao, Jiti

Journal:

The North American Journal of Economics and Finance

Année:

2013

Langue:

english

Fichier:

PDF, 326 KB

english, 2013

17

Testing Independence Among a Large Number of High-Dimensional Random Vectors

Pan, Guangming, Gao, Jiti, Yang, Yanrong

Journal:

Journal of the American Statistical Association

Année:

2014

Langue:

english

Fichier:

PDF, 287 KB

english, 2014

18

A Test for Model Specification of Diffusion Processes

Song Xi Chen, Jiti Gao and Cheng Yong Tang

Journal:

The Annals of Statistics

Année:

2008

Langue:

english

Fichier:

PDF, 2.44 MB

english, 2008

19

High dimensional correlation matrices: the central limit theorem and its applications

Gao, Jiti, Han, Xiao, Pan, Guangming, Yang, Yanrong

Journal:

Journal of the Royal Statistical Society Series B (Methodological)

Année:

2016

Langue:

english

Fichier:

PDF, 451 KB

english, 2016

20

Estimation in semi-parametric regression with non-stationary regressors

Chen, Jia, Gao, Jiti, Li, Degui

Journal:

Année:

2012

Langue:

english

Fichier:

PDF, 400 KB

english, 2012

21

A quantile regression approach to panel data analysis of health-care expenditure in Organisation for Economic Co-operation and Development countries

Tian, Fengping, Gao, Jiti, Yang, Ke

Journal:

Health Economics

Année:

2018

Langue:

english

Fichier:

PDF, 1.51 MB

english, 2018

22

Hermite Series Estimation in Nonlinear Cointegrating Models

Cai, Biqing, Gao, Jiti

Journal:

SSRN Electronic Journal

Année:

2013

Langue:

english

Fichier:

PDF, 422 KB

english, 2013

23

Model Specification Testing for Nonlinear Multivariate Cointegrating Regressions

Dong, Chaohua, Gao, Jiti, Tjostheim, Dag, Yin, Jiying

Journal:

SSRN Electronic Journal

Année:

2016

Langue:

english

Fichier:

PDF, 709 KB

english, 2016

24

Nonparametric kernel estimation of the impact of tax policy on the demand for private health insurance in Australia

Gong, Xiaodong, Gao, Jiti

Journal:

Australian & New Zealand Journal of Statistics

Année:

2018

Langue:

english

Fichier:

PDF, 1015 KB

english, 2018

25

An Integrated Panel Data Approach to Modelling Economic Growth

Feng, Guohua, Gao, Jiti, Peng, Bin

Journal:

SSRN Electronic Journal

Année:

2019

Langue:

english

Fichier:

PDF, 887 KB

english, 2019

26

A Quantile Regression Approach to Panel Data Analysis of Health Care Expenditure in OECD Countries

Tian, Fengping, Gao, Jiti, Yang, Ke

Journal:

SSRN Electronic Journal

Année:

2016

Langue:

english

Fichier:

PDF, 979 KB

english, 2016

27

The laws of the iterated logarithm of some estimates in partly linear models

Journal:

Statistics & Probability Letters

Année:

1995

Langue:

english

Fichier:

PDF, 338 KB

english, 1995

28

An adaptive empirical likelihood test for parametric time series regression models

Song Xi Chen, Jiti Gao

Journal:

Journal of Econometrics

Année:

2007

Langue:

english

Fichier:

PDF, 298 KB

english, 2007

29

Nonparametric simultaneous testing for structural breaks

Jiti Gao, Irène Gijbels, Sébastien Van Bellegem

Journal:

Journal of Econometrics

Année:

2008

Langue:

english

Fichier:

PDF, 320 KB

english, 2008

30

Econometric estimation in long-range dependent volatility models: Theory and practice

Isabel Casas, Jiti Gao

Journal:

Journal of Econometrics

Année:

2008

Langue:

english

Fichier:

PDF, 3.38 MB

english, 2008

31

Moment inequalities for spatial processes

Jiti Gao, Zudi Lu, Dag Tjøstheim

Journal:

Statistics & Probability Letters

Année:

2008

Langue:

english

Fichier:

PDF, 202 KB

english, 2008

32

A central limit theorem for a random quadratic form of strictly stationary processes

Jiti Gao, Vo Anh

Journal:

Statistics & Probability Letters

Année:

2000

Langue:

english

Fichier:

PDF, 122 KB

english, 2000

33

Statistical estimation of nonstationary Gaussian processes with long-range dependence and intermittency

Jiti Gao, Vo Anh, Chris Heyde

Journal:

Stochastic Processes and their Applications

Année:

2002

Langue:

english

Fichier:

PDF, 270 KB

english, 2002

34

Modelling and managing financial risk: An overview

David E. Allen, Jiti Gao, Michael McAleer

Journal:

Mathematics and Computers in Simulation

Année:

2009

Langue:

english

Fichier:

PDF, 82 KB

english, 2009

35

Theory & Methods: Local Linear Kernel Regression with Long-Range Dependent Errors

Vo Anh, Rodney Wolff, Jiti Gao, Quang Tieng

Journal:

Australian & New Zealand Journal of Statistics

Année:

1999

Langue:

english

Fichier:

PDF, 433 KB

english, 1999

36

Parameter Estimation of Stochastic Processes with Long-range Dependence and Intermittency

Jiti Gao, Vo Anh, Chris Heyde, Quang Tieng

Journal:

Journal of Time Series Analysis

Année:

2001

Langue:

english

Fichier:

PDF, 403 KB

english, 2001

37

Semiparametric estimation and testing of the trend of temperature series

Jiti Gao, Kim Hawthorne

Journal:

The Econometrics Journal

Année:

2006

Langue:

english

Fichier:

PDF, 307 KB

english, 2006

38

Semiparametric non-linear time series model selection

Jiti Gao, Howell Tong

Journal:

Journal of the Royal Statistical Society: Series B (Statistical Methodology)

Année:

2004

Langue:

english

Fichier:

PDF, 282 KB

english, 2004

39

ROBUST ESTIMATION IN PARAMETRIC TIME SERIES MODELS UNDER LONG- AND SHORT-RANGE-DEPENDENT STRUCTURES

Jiti Gao, Degui Li, Zhengyan Lin

Journal:

Australian & New Zealand Journal of Statistics

Année:

2009

Langue:

english

Fichier:

PDF, 189 KB

english, 2009

40

Local Linear M-estimation in non-parametric spatial regression

Zhengyan Lin, Degui Li, Jiti Gao

Journal:

Journal of Time Series Analysis

Année:

2009

Langue:

english

Fichier:

PDF, 773 KB

english, 2009

41

Adaptive Estimation in Partially Linear Autoregressive Models

Jiti Gao and Thomas Yee

Journal:

Canadian Journal of Statistics

Année:

2000

Langue:

english

Fichier:

PDF, 713 KB

english, 2000

42

Estimation in threshold autoregressive models with a stationary and a unit root regime

Jiti Gao, Dag Tjøstheim, Jiying Yin

Journal:

Journal of Econometrics

Année:

2013

Langue:

english

Fichier:

PDF, 321 KB

english, 2013

43

Semiparametric estimation in triangular system equations with nonstationarity

Gao, Jiti, Phillips, Peter C.B.

Journal:

Journal of Econometrics

Année:

2013

Langue:

english

Fichier:

PDF, 600 KB

english, 2013

44

Comments on: Some recent theory for autoregressive count time series

Journal:

Année:

2012

Langue:

english

Fichier:

PDF, 228 KB

english, 2012

45

Bandwidth Selection in Nonparametric Kernel Testing

Jiti Gao and Irène Gijbels

Journal:

Journal of the American Statistical Association

Année:

2008

Langue:

english

Fichier:

PDF, 1.43 MB

english, 2008

46

Semiparametric Non-Linear Time Series Model Selection

Jiti Gao and Howell Tong

Journal:

Journal of the Royal Statistical Society: Series B (Statistical Methodology)

Année:

2004

Langue:

english

Fichier:

PDF, 1.71 MB

english, 2004

47

Central limit theorems for generalized U -statistics with applications in nonparametric specification

Gao, Jiti, Hong, Yongmiao

Journal:

Journal of Nonparametric Statistics

Année:

2008

Langue:

english

Fichier:

PDF, 189 KB

english, 2008

48

Semiparametric methods in nonlinear time series analysis: a selective review

Saart, Patrick, Gao, Jiti, Kim, Nam Hyun

Journal:

Journal of Nonparametric Statistics

Année:

2014

Langue:

english

Fichier:

PDF, 448 KB

english, 2014

49

Asymptotic theory for partly linear models

Journal:

Communication in Statistics- Theory and Methods

Année:

1995

Langue:

english

Fichier:

PDF, 768 KB

english, 1995

50

Nonparametric Methods in Continuous Time Model Specification

Casas, Isabel, Gao, Jiti

Journal:

Econometric Reviews

Année:

2007

Langue:

english

Fichier:

PDF, 170 KB

english, 2007