41 citations · 51 across the 5 of their papers we have counts for
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econ.EM2023★ 1 cited
Real-Time Detection of Local No-Arbitrage Violations
Torben G. Andersen, Viktor Todorov, Bo Zhou
This paper focuses on the task of detecting local episodes involving violation of the standard Itô semimartingale assumption for financial asset prices in real time that might indu…
econ.EM2023
Semiparametrically Optimal Cointegration Test
Bo Zhou
This paper aims to address the issue of semiparametric efficiency for cointegration rank testing in finite-order vector autoregressive models, where the innovation distribution is…
econ.EM2020★ 2 cited
Semiparametric Testing with Highly Persistent Predictors
Bas Werker, Bo Zhou
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 regarde…