Zhijie Xiao

Selected Publications

Journal Article
Working Paper
Copula-based nonlinear quantile autoregression

Parametric copulas are shown to be attractive devices for specifying quantile autoregressive models for nonlinear time-series. […]

Xiaohong Chen, Roger Koenker, Zhijie Xiao
1 January 2009 | Journal Article

Previous version

Copula-based nonlinear quantile autoregression
Xiaohong Chen, Roger Koenker, Zhijie Xiao
23 October 2008 | CWP27/08
Copula-based nonlinear quantile autoregression

Parametric copulas are shown to be attractive devices for specifying quantile autoregressive models for nonlinear time-series. […]

Xiaohong Chen, Roger Koenker, Zhijie Xiao
23 October 2008 | CWP27/08

Latest version

Copula-based nonlinear quantile autoregression
Xiaohong Chen, Roger Koenker, Zhijie Xiao
1 January 2009 | Journal Article
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