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Details about Ba Chu

Workplace:Department of Economics, Carleton University, (more information at EDIRC)
Centre for Monetary and Financial Economics (CMFE), Department of Economics, Carleton University, (more information at EDIRC)

Access statistics for papers by Ba Chu.

Last updated 2017-06-19. Update your information in the RePEc Author Service.

Short-id: pch959


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Working Papers

2017

  1. Composite Quasi-Maximum Likelihood Estimation of Dynamic Panels with Group-Specific Heterogeneity and Spatially Dependent Errors
    MPRA Paper, University Library of Munich, Germany Downloads
  2. Linear and nonlinear Granger causality between short-term and long-term interest rates: a rolling-window strategy
    Post-Print, HAL
  3. Non-standard Confidence Sets for Ratios and Tipping Points with Applications to Dynamic Panel Data
    Carleton Economic Papers, Carleton University, Department of Economics Downloads

2016

  1. Linear and nonlinear Granger causality between short-term and long-term interest rates during business cycles
    Post-Print, HAL
  2. Semiparametric estimation of moment condition models with weakly dependent data
    MPRA Paper, University Library of Munich, Germany Downloads

2012

  1. Functionals of order statistics and their multivariate concomitants with application to semiparametric estimation by nearest neighbours
    MPRA Paper, University Library of Munich, Germany Downloads

2009

  1. Spurious Regressions of Stable AR(p) Processes with Structural Breaks
    Working Papers, Warwick Business School, Finance Group Downloads

2006

  1. An Asymptotics of Stationary and Nonstationary AR(1) Processes with Multiple Structural Breaks in Mean
    Working Papers, Warwick Business School, Finance Group Downloads
  2. Optimal Investment and Asymmetric Risk for a Large Portfolio: A Large Deviations Approach
    Working Papers, Warwick Business School, Finance Group Downloads
  3. Optimal Long Term Investment in a Jump Diffusion Setting: A Large Deviation Approach
    Working Papers, Warwick Business School, Finance Group Downloads
  4. The Asymptotic Properties of AR(1) Process with the Occasionally Changing AR Coefficient
    Working Papers, Warwick Business School, Finance Group Downloads

Journal Articles

2016

  1. Recovering the Most Entropic Copulas from Preliminary Knowledge of Dependence
    Econometrics, 2016, 4, (2), 1-21 Downloads

2014

  1. Adaptive permutation tests for serial independence
    Statistica Neerlandica, 2014, 68, (3), 183-208 Downloads View citations (1)

2012

  1. Approximation of Asymmetric Multivariate Return Distributions
    Asia-Pacific Financial Markets, 2012, 19, (3), 293-318 Downloads
  2. Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios
    Annals of Finance, 2012, 8, (1), 97-122 Downloads View citations (1)
  3. Limit theorems for the discount sums of moving averages
    Journal of Time Series Analysis, 2012, 33, (1), 1-12 Downloads
  4. k-NEAREST NEIGHBOR ESTIMATION OF INVERSE-DENSITY-WEIGHTED EXPECTATIONS WITH DEPENDENT DATA
    Econometric Theory, 2012, 28, (04), 769-803 Downloads View citations (4)

2011

  1. Large deviations theorems for optimal investment problems with large portfolios
    European Journal of Operational Research, 2011, 211, (3), 533-555 Downloads View citations (1)
  2. Recovering copulas from limited information and an application to asset allocation
    Journal of Banking & Finance, 2011, 35, (7), 1824-1842 Downloads View citations (11)

2010

  1. Modeling the contemporaneous duration dependence for high-frequency stock prices
    Finance Research Letters, 2010, 7, (3), 148-162 Downloads
  2. Spurious Regressions of Stationary AR(p) Processes with Structural Breaks
    Studies in Nonlinear Dynamics & Econometrics, 2010, 15, (1), 1-25 Downloads View citations (1)
 
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