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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 2020-07-26. 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
    See also Journal Article in Journal of Financial Econometrics (2020)

Journal Articles

2020

  1. The Threshold GARCH Model: Estimation and Density Forecasting for Financial Returns*
    Journal of Financial Econometrics, 2020, 18, (2), 395-424 Downloads
    See also Working Paper (2018)

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)

2014

  1. Love Thy Neighbour: Automatic Animal Behavioural Classification of Acceleration Data Using the K-Nearest Neighbour Algorithm
    PLOS ONE, 2014, 9, (2), 1-7 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 (3)

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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