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Details about Yuzhi Cai

Homepage:http://www.swansea.ac.uk/staff/som/academic-staff/y.cai/
Workplace:School of Management, Swansea University, (more information at EDIRC)

Access statistics for papers by Yuzhi Cai.

Last updated 2019-11-08. Update your information in the RePEc Author Service.

Short-id: pca1281


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Working Papers

2018

  1. A novel approach to modelling the distribution of financial returns
    Working Papers, Swansea University, School of Management Downloads
  2. A novel statistical approach to marketing campaigns
    Working Papers, Swansea University, School of Management Downloads
  3. The threshold GARCH model: estimation and density forecasting for financial returns
    Working Papers, Swansea University, School of Management Downloads

Journal Articles

2016

  1. A COMPARATIVE STUDY OF MONOTONE QUANTILE REGRESSION METHODS FOR FINANCIAL RETURNS
    International Journal of Theoretical and Applied Finance (IJTAF), 2016, 19, (03), 1-16 Downloads
  2. A General Quantile Function Model for Economic and Financial Time Series
    Econometric Reviews, 2016, 35, (7), 1173-1193 Downloads View citations (2)

2015

  1. Neighborhood-based socioeconomic position and risk of oral clefts among offspring
    American Journal of Public Health, 2015, 105, (12), 2518-2525 Downloads View citations (1)

2013

  1. Quantile Double AR Time Series Models for Financial Returns
    Journal of Forecasting, 2013, 32, (6), 551-560 View citations (2)

2012

  1. A new Bayesian approach to quantile autoregressive time series model estimation and forecasting
    Journal of Time Series Analysis, 2012, 33, (4), 684-698 Downloads View citations (5)

2011

  1. Multi‐variate time‐series simulation
    Journal of Time Series Analysis, 2011, 32, (5), 566-579 View citations (2)

2010

  1. Bayesian nonparametric quantile regression using splines
    Computational Statistics & Data Analysis, 2010, 54, (4), 1138-1150 Downloads View citations (8)
  2. Forecasting for quantile self-exciting threshold autoregressive time series models
    Biometrika, 2010, 97, (1), 199-208 Downloads View citations (8)

2009

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

2008

  1. Quantile self‐exciting threshold autoregressive time series models
    Journal of Time Series Analysis, 2008, 29, (1), 186-202 Downloads View citations (6)

2007

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

2005

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

2003

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