All Outputs (3)

Semiparametric Testing with Highly Persistent Predictors (2021)
Journal Article
Werker, B., & Zhou, B. (2022). Semiparametric Testing with Highly Persistent Predictors. Journal of Econometrics, 227(2), 347-370. https://doi.org/10.1016/j.jeconom.2021.03.016

We address the issue of semiparametric efficiency in the bivariate regression problem with a highly persistent predictor, where the joint distribution of the innovations is regarded an infinite-dimensional nuisance parameter. Using a structural repre... Read More about Semiparametric Testing with Highly Persistent Predictors.

Volatility measurement with pockets of extreme return persistence (2021)
Journal Article
Andersen, T. G., Li, Y., Todorov, V., & Zhou, B. (2023). Volatility measurement with pockets of extreme return persistence. Journal of Econometrics, 237(2), Article 105048. https://doi.org/10.1016/j.jeconom.2020.11.005

Increasing evidence points towards the episodic emergence of pockets with extreme return persistence. This notion refers to intraday periods of non-trivial duration, for which stock returns are highly positively autocorrelated. Such... Read More about Volatility measurement with pockets of extreme return persistence.

Semiparametrically point-optimal hybrid rank tests for unit roots (2019)
Journal Article
Zhou, B., Van Den Akker, R., & Werker, B. J. (2019). Semiparametrically point-optimal hybrid rank tests for unit roots. Annals of Statistics, 47(5), 2601-2638. https://doi.org/10.1214/18-aos1758

We propose a new class of unit root tests that exploits invariance properties in the Locally Asymptotically Brownian Functional limit experiment associated to the unit root model. The invariance structures naturally suggest tests that are based on th... Read More about Semiparametrically point-optimal hybrid rank tests for unit roots.