Zudi Lu
Selected Publications
Semiparametric ultra-high dimensional model averaging of nonlinear dynamic time series
We propose two semiparametric model averaging schemes for nonlinear dynamic time series regression models with a […]
Semiparametric dynamic portfolio choice with multiple conditioning variables
Dynamic portfolio choice has been a central and essential objective for investors in active asset management. […]
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A flexible semiparametric forecasting model for time series
In this paper, we propose a semiparametric procedure called the “Model Averaging MArginal Regression” (MAMAR) that […]