Details about Xibin Zhang

Access statistics for papers by Xibin Zhang.

Last updated 2008-03-04. Update your information in the RePEc Author Service.

Short-id: pzh72

Working Papers

2007

1. A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics

2006

2. Assessing Dependence Changes in the Asian Financial Market Returns Using Plots Based on Nonparametric Measures
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics

2004

3. Bandwidth Selection for Multivariate Kernel Density Estimation Using MCMC
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations
4. Box-Cox Stochastic Volatility Models with Heavy-Tails and Correlated Errors
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics

2003

5. A Monte Carlo Investigation of Some Tests for Stochastic Dominance
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations
6. Estimation of Asymmetric Box-Cox Stochastic Volatility Models Using MCMC Simulation
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics

2002

7. A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations
   See Also Journal Article in Computational Statistics & Data Analysis (2006)
8. Estimation of Hyperbolic Diffusion Using MCMC Method
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations
9. Influence Diagnostics in GARCH Processes
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics

Journal Articles

2007

1. Country risk and the estimation of asset return distributions
   Quantitative Finance, 2007, 7, (3), 261-265

2006

2. A Bayesian approach to bandwidth selection for multivariate kernel density estimation
   Computational Statistics & Data Analysis, 2006, 50, (11), 3009-3031 View citations
3. A class of nonlinear stochastic volatility models and its implications for pricing currency options
   Computational Statistics & Data Analysis, 2006, 51, (4), 2218-2231
   See Also Working Paper (2002)

2005

4. Influence Diagnostics in Generalized Autoregressive Conditional Heteroscedasticity Processes
   Journal of Business & Economic Statistics, 2005, 23, 118-129

2004

5. A small-sample overlapping variance-ratio test
   Journal of Time Series Analysis, 2004, 25, (1), 127-135
6. Assessment of Local Influence in GARCH Processes
   Journal of Time Series Analysis, 2004, 25, (2), 301-313 View citations