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

Working Papers

2018

1. On the Evolution of the United Kingdom Price Distributions
   Staff Working Papers, Bank of Canada View citations (2)

2017

2. 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)
3. 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)
4. Non-standard Confidence Sets for Ratios and Tipping Points with Applications to Dynamic Panel Data
   Carleton Economic Papers, Carleton University, Department of Economics

2016

5. 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)
6. 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

7. 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

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

2006

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

Journal Articles

2017

1. Generalized empirical likelihood M testing for semiparametric models with time series data
   Econometrics and Statistics, 2017, 4, (C), 18-30 View citations (2)
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)
3. 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

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

2014

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

2012

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

2011

11. Large deviations theorems for optimal investment problems with large portfolios
    European Journal of Operational Research, 2011, 211, (3), 533-555 View citations (2)
12. Recovering copulas from limited information and an application to asset allocation
    Journal of Banking & Finance, 2011, 35, (7), 1824-1842 View citations (12)

2010

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