Research
Book Chapter
1. WANG, XH. “Finite Sample Theory in Continuous-Time Models”
Financial Econometrics - Theory and Applications, Chapter 4, Shuping Shi, Xiaohu Wang, Tao Zheng
(eds), Cambridge University Press.
Journal Publications (Citations)
1. WANG, XH., ZHANG, C., YU, J. “On the Optimal Forecast with the Fractional Brownian Motion”
Quantitative Finance, 2024, 24(2), 337-346
2. WANG, XH., XIAO, WL., YU, J. “Modelling and Forecasting Realized Volatility with the Fractional Ornstein-Uhlenbeck Process”
Journal of Econometrics, 2023, 232, 389-415.
3. WANG, XH., YU, J. “Latent Local-to-Unity Models”
Econometric Reviews, 2023, 42(7), 586-611
4. WANG, XH., XIAO, WL., YU, J. “Asymptotic Properties of Least Squares Estimator in Local to Unity Processes with Fractional Gaussian Noises”
Advances in Econometrics, 2023, 45A, 73-95.
5. WANG, XH., YU, J. “Bubble Testing under Polynomial Trends”
The Econometrics Journal, 2023, 26(1), 25-44.
6. GAO, X., HU, YC., WANG, HH., WANG, XH. “Brexit and Global Fund Capital Reallocation”
Journal of International Money and Finance, 2022, 125, 102639.
7. JIANG, L., WANG, XH., YU, J. “In-fill Asymptotic Theory for Structural Break Point in Autoregression”
Econometric Reviews, 2021, 40, 359-386.
8. PHILLIPS, P.C.B., WANG, XH., ZHANG, YH. "HAR Testing for Spurious Regression in Trend"
Econometrics, 2019, 7(4), 50.
9. JIANG, L., WANG, XH., YU, J. "New Distribution Theory for the Estimation of Structural Break Point in Mean"
Journal of Econometrics, 2018, 205, 156-176.
10. WANG, XH., YU, J. "Double Asymptotics for Explosive Continuous Time Models"
Journal of Econometrics, 2016, 193, 35-53.
11. WANG, XH., YU, J. “Limit Theory for an Explosive Autoregressive Process”
Economics Letters, 2015, 126, 176-180.
12. WANG, XH., PHILLIPS, P.C.B., YU, J. “Bias in Estimating Multivariate and Univariate Diffusions”
Journal of Econometrics, 2011, 161, 228-245.
Selected Working Papers
1. WANG, XH. “Estimating the Persistency Matrix of Multivariate Diffusion Processes”
Revision and Resubmission invited by Econometric Theory