Details about Ba Chu

Access statistics for papers by Ba Chu.

Last updated 2017-06-19. Update your information in the RePEc Author Service.

Short-id: pch959

Working Papers

2017

1. Composite Quasi-Maximum Likelihood Estimation of Dynamic Panels with Group-Specific Heterogeneity and Spatially Dependent Errors
   MPRA Paper, University Library of Munich, Germany
2. Linear and nonlinear Granger causality between short-term and long-term interest rates: a rolling-window strategy
   Post-Print, HAL
3. Non-standard Confidence Sets for Ratios and Tipping Points with Applications to Dynamic Panel Data
   Carleton Economic Papers, Carleton University, Department of Economics

2016

4. Linear and nonlinear Granger causality between short-term and long-term interest rates during business cycles
   Post-Print, HAL
5. Semiparametric estimation of moment condition models with weakly dependent data
   MPRA Paper, University Library of Munich, Germany

2012

6. Functionals of order statistics and their multivariate concomitants with application to semiparametric estimation by nearest neighbours
   MPRA Paper, University Library of Munich, Germany

2009

7. Spurious Regressions of Stable AR(p) Processes with Structural Breaks
   Working Papers, Warwick Business School, Finance Group

2006

8. An Asymptotics of Stationary and Nonstationary AR(1) Processes with Multiple Structural Breaks in Mean
   Working Papers, Warwick Business School, Finance Group
9. Optimal Investment and Asymmetric Risk for a Large Portfolio: A Large Deviations Approach
   Working Papers, Warwick Business School, Finance Group
10. Optimal Long Term Investment in a Jump Diffusion Setting: A Large Deviation Approach
    Working Papers, Warwick Business School, Finance Group
11. The Asymptotic Properties of AR(1) Process with the Occasionally Changing AR Coefficient
    Working Papers, Warwick Business School, Finance Group

Journal Articles

2016

1. Recovering the Most Entropic Copulas from Preliminary Knowledge of Dependence
   Econometrics, 2016, 4, (2), 1-21

2014

2. Adaptive permutation tests for serial independence
   Statistica Neerlandica, 2014, 68, (3), 183-208 View citations (1)

2012

3. Approximation of Asymmetric Multivariate Return Distributions
   Asia-Pacific Financial Markets, 2012, 19, (3), 293-318
4. Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios
   Annals of Finance, 2012, 8, (1), 97-122 View citations (2)
5. Limit theorems for the discount sums of moving averages
   Journal of Time Series Analysis, 2012, 33, (1), 1-12
6. k-NEAREST NEIGHBOR ESTIMATION OF INVERSE-DENSITY-WEIGHTED EXPECTATIONS WITH DEPENDENT DATA
   Econometric Theory, 2012, 28, (04), 769-803 View citations (4)

2011

7. Large deviations theorems for optimal investment problems with large portfolios
   European Journal of Operational Research, 2011, 211, (3), 533-555 View citations (1)
8. Recovering copulas from limited information and an application to asset allocation
   Journal of Banking & Finance, 2011, 35, (7), 1824-1842 View citations (11)

2010

9. Modeling the contemporaneous duration dependence for high-frequency stock prices
   Finance Research Letters, 2010, 7, (3), 148-162
10. Spurious Regressions of Stationary AR(p) Processes with Structural Breaks
    Studies in Nonlinear Dynamics & Econometrics, 2010, 15, (1), 1-25 View citations (1)