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 […]

Oliver Linton, Jia Chen, Degui Li, Zudi Lu
18 December 2017 | Journal Article
Semiparametric dynamic portfolio choice with multiple conditioning variables

Dynamic portfolio choice has been a central and essential objective for investors in active asset management. […]

Jia Chen, Degui Li, Oliver Linton, Zudi Lu
1 October 2016 | Journal Article

Previous version

Semiparametric dynamic portfolio choice with multiple conditioning variables
Jia Chen, Degui Li, Oliver Linton, Zudi Lu
20 February 2015 | CWP07/15
A flexible semiparametric forecasting model for time series

In this paper, we propose a semiparametric procedure called the “Model Averaging MArginal Regression” (MAMAR) that […]

Degui Li, Oliver Linton, Zudi Lu
23 June 2015 | Journal Article