Details about Ba Chu
Access statistics for papers by Ba Chu.
Last updated 2018-08-09. Update your information in the RePEc Author Service.
Short-id: pch959
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Working Papers
2018
- On the Evolution of the United Kingdom Price Distributions
Staff Working Papers, Bank of Canada View citations (2)
2017
- Composite Quasi-Maximum Likelihood Estimation of Dynamic Panels with Group-Specific Heterogeneity and Spatially Dependent Errors
MPRA Paper, University Library of Munich, Germany View citations (1)
- Linear and nonlinear Granger causality between short-term and long-term interest rates: a rolling-window strategy
Post-Print, HAL View citations (1)
See also Journal Article in Metroeconomica (2017)
- Non-standard Confidence Sets for Ratios and Tipping Points with Applications to Dynamic Panel Data
Carleton Economic Papers, Carleton University, Department of Economics
2016
- Linear and nonlinear Granger causality between short-term and long-term interest rates during business cycles
Post-Print, HAL View citations (2)
See also Journal Article in International Review of Applied Economics (2016)
- Semiparametric estimation of moment condition models with weakly dependent data
MPRA Paper, University Library of Munich, Germany 
See also Journal Article in Journal of Nonparametric Statistics (2017)
2012
- Functionals of order statistics and their multivariate concomitants with application to semiparametric estimation by nearest neighbours
MPRA Paper, University Library of Munich, Germany View citations (2)
2009
- Spurious Regressions of Stable AR(p) Processes with Structural Breaks
Working Papers, Warwick Business School, Finance Group
2006
- An Asymptotics of Stationary and Nonstationary AR(1) Processes with Multiple Structural Breaks in Mean
Working Papers, Warwick Business School, Finance Group
- Optimal Investment and Asymmetric Risk for a Large Portfolio: A Large Deviations Approach
Working Papers, Warwick Business School, Finance Group
- Optimal Long Term Investment in a Jump Diffusion Setting: A Large Deviation Approach
Working Papers, Warwick Business School, Finance Group
- The Asymptotic Properties of AR(1) Process with the Occasionally Changing AR Coefficient
Working Papers, Warwick Business School, Finance Group
Journal Articles
2017
- Generalized empirical likelihood M testing for semiparametric models with time series data
Econometrics and Statistics, 2017, 4, (C), 18-30 View citations (2)
- Linear and Non-Linear Granger Causality Between Short-Term and Long-Term Interest Rates: A Rolling Window Strategy
Metroeconomica, 2017, 68, (4), 882-902 View citations (1)
See also Working Paper (2017)
- Semiparametric estimation of moment condition models with weakly dependent data
Journal of Nonparametric Statistics, 2017, 29, (1), 108-136 
See also Working Paper (2016)
2016
- Linear and nonlinear Granger-causality between short-term and long-term interest rates during business cycles
International Review of Applied Economics, 2016, 30, (6), 714-728 View citations (1)
See also Working Paper (2016)
- Recovering the Most Entropic Copulas from Preliminary Knowledge of Dependence
Econometrics, 2016, 4, (2), 1-21
2014
- Adaptive permutation tests for serial independence
Statistica Neerlandica, 2014, 68, (3), 183-208 View citations (1)
2012
- Approximation of Asymmetric Multivariate Return Distributions
Asia-Pacific Financial Markets, 2012, 19, (3), 293-318
- Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios
Annals of Finance, 2012, 8, (1), 97-122 View citations (2)
- Limit theorems for the discount sums of moving averages
Journal of Time Series Analysis, 2012, 33, (1), 1-12
- k-NEAREST NEIGHBOR ESTIMATION OF INVERSE-DENSITY-WEIGHTED EXPECTATIONS WITH DEPENDENT DATA
Econometric Theory, 2012, 28, (4), 769-803 View citations (4)
2011
- Large deviations theorems for optimal investment problems with large portfolios
European Journal of Operational Research, 2011, 211, (3), 533-555 View citations (2)
- Recovering copulas from limited information and an application to asset allocation
Journal of Banking & Finance, 2011, 35, (7), 1824-1842 View citations (12)
2010
- Modeling the contemporaneous duration dependence for high-frequency stock prices
Finance Research Letters, 2010, 7, (3), 148-162
- Spurious Regressions of Stationary AR(p) Processes with Structural Breaks
Studies in Nonlinear Dynamics & Econometrics, 2010, 15, (1), 1-25 View citations (1)
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