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Professor Zhijie Xiao

Department of Economics
Boston College
Chestnut Hill, MA 02467 USA
tel: 617.552.1709
fax: 617.552.2308

Ph.D., Yale University, 1997
Joined the economics faculty, 2004

Research interests:


Current teaching:


Curriculum vitae


Link: Access Working Papers and Published Works via RePEc

Selected Publications

"Right Tail Information in Financial Markets", 2014. Econometric Theory, 30:1, 94-126

"Quantile Autoregression", with R. Koenker, 2006. Journal of the American Statistical Association, 101, 980-990

"More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors," with O. Linton, R. Carroll, and E. Mammen, 2003. Journal of the American Statistical Association, 98:464, 980-992

"Inference on The Quantile Regression Process," with R. Koenker, 2002. Econometrica, 70:4, 1583-1612

Downloadable Boston College Working Papers

Working Paper 762. Alev Atak (Queen Mary), Oliver Linton (London School of Economics) and Zhijie Xiao, "A Semiparametric Panel Model for unbalanced data with Application to Climate Change in the United Kingdom" (09/2010: PDF)

Working Paper 761. Zongwu Cai (University of North Carolina at Charlotte) and Zhijie Xiao, "Semiparametric Quantile Regression Estimation in Dynamic Models with Partially Varying Coefficients" (11/2010: PDF)

Working Paper 725. Zhijie Xiao and Roger Koenker (University of Illinois Urbana-Champaign), "Conditional Quantile Estimation for GARCH Models" (03/2009: PDF)

Working Paper 709. Ted Juhl (University of Kansas) and Zhijie Xiao, "Tests for Changing Mean with Monotonic Power" (06/2009: PDF)

Working Paper 708. Zhijie Xiao, "Quantile Cointegrating Regression" (01/2009: PDF)

Working Paper 691. Xiaohong Chen (Yale University), Roger Koenker (University of Illinois at Urbana-Champaign) and Zhijie Xiao, "Copula-Based Nonlinear Quantile Autoregression" (10/2008, PDF)


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