Details about Yuzhi Cai

Access statistics for papers by Yuzhi Cai.

Last updated 2021-12-01. Update your information in the RePEc Author Service.

Short-id: pca1281

Working Papers

2018

1. A novel approach to modelling the distribution of financial returns
   Working Papers, Swansea University, School of Management
2. A novel statistical approach to marketing campaigns
   Working Papers, Swansea University, School of Management
3. The threshold GARCH model: estimation and density forecasting for financial returns
   Working Papers, Swansea University, School of Management
   See also Journal Article The Threshold GARCH Model: Estimation and Density Forecasting for Financial Returns*, Journal of Financial Econometrics, Oxford University Press (2020) View citations (1) (2020)

Journal Articles

2021

1. Estimating expected shortfall using a quantile function model
   International Journal of Finance & Economics, 2021, 26, (3), 4332-4360 View citations (1)
2. How is price explosivity triggered in the cryptocurrency markets?
   Annals of Operations Research, 2021, 307, (1), 37-51 View citations (4)
3. Stock returns, quantile autocorrelation, and volatility forecasting
   International Review of Financial Analysis, 2021, 73, (C) View citations (1)

2020

4. The Threshold GARCH Model: Estimation and Density Forecasting for Financial Returns*
   Journal of Financial Econometrics, 2020, 18, (2), 395-424 View citations (1)
   See also Working Paper The threshold GARCH model: estimation and density forecasting for financial returns, Working Papers (2018) (2018)

2016

5. A COMPARATIVE STUDY OF MONOTONE QUANTILE REGRESSION METHODS FOR FINANCIAL RETURNS
   International Journal of Theoretical and Applied Finance (IJTAF), 2016, 19, (03), 1-16
6. A General Quantile Function Model for Economic and Financial Time Series
   Econometric Reviews, 2016, 35, (7), 1173-1193 View citations (3)

2015

7. Neighborhood-based socioeconomic position and risk of oral clefts among offspring
   American Journal of Public Health, 2015, 105, (12), 2518-2525 View citations (2)

2014

8. Love Thy Neighbour: Automatic Animal Behavioural Classification of Acceleration Data Using the K-Nearest Neighbour Algorithm
   PLOS ONE, 2014, 9, (2), 1-7 View citations (2)

2013

9. Quantile Double AR Time Series Models for Financial Returns
   Journal of Forecasting, 2013, 32, (6), 551-560 View citations (5)

2012

10. A new Bayesian approach to quantile autoregressive time series model estimation and forecasting
    Journal of Time Series Analysis, 2012, 33, (4), 684-698 View citations (7)

2011

11. Multi‐variate time‐series simulation
    Journal of Time Series Analysis, 2011, 32, (5), 566-579 View citations (3)

2010

12. Bayesian nonparametric quantile regression using splines
    Computational Statistics & Data Analysis, 2010, 54, (4), 1138-1150 View citations (9)
13. Forecasting for quantile self-exciting threshold autoregressive time series models
    Biometrika, 2010, 97, (1), 199-208 View citations (9)

2009

14. Autoregression with Non-Gaussian Innovations
    Journal of Time Series Econometrics, 2009, 1, (2), 18

2008

15. Quantile self‐exciting threshold autoregressive time series models
    Journal of Time Series Analysis, 2008, 29, (1), 186-202 View citations (10)

2007

16. A quantile approach to US GNP
    Economic Modelling, 2007, 24, (6), 969-979 View citations (2)

2005

17. A forecasting procedure for nonlinear autoregressive time series models
    Journal of Forecasting, 2005, 24, (5), 335-351 View citations (1)

2003

18. A simple diagnostic method of outlier detection for stationary Gaussian time series
    Journal of Applied Statistics, 2003, 30, (2), 205-223 View citations (1)
19. Monitoring the parameter changes in general ARIMA time series models
    Journal of Applied Statistics, 2003, 30, (9), 983-1001