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8. Nonparametric estimation of conditional VaR and expected shortfall. (2008). CAI, ZONGWU ; Wang, Xian.
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1. A nonparametric copula approach to conditional Value-at-Risk. (2019). Dunn, Richard ; Geenens, Gery.
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2. .

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6. Testing for monotonicity in unobservables under unconfoundedness. (2016). Su, Liangjun ; hoderlein, stefan ; Yang, Thomas Tao ; White, Halbert.
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7. Nonparametric estimates for conditional quantiles of time series. (2015). Wang, Weining ; Mwita, Peter ; Franke, Jurgen.
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8. Functional index coefficient models with variable selection. (2015). CAI, ZONGWU ; Yang, Bingduo ; Juhl, Ted .
   In: Journal of Econometrics.
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9. Optimal smoothing in nonparametric conditional quantile derivative function estimation. (2015). Li, Zheng ; CAI, ZONGWU ; Lin, Wei ; Su, LI.
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10. Nonparametric welfare and demand analysis with unobserved individual heterogeneity. (2014). Demuynck, Thomas ; Cosaert, Sam ; Cosaert S., ; Demuynck T., .
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11. Nonparametric Estimates for Conditional Quantiles of Time Series. (2014). Franke, Jrgen ; Wang, Weining ; Mwita, Peter .
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12. Some Recent Develop- ments on Nonparametric Econometrics. (2013). Li, Qi ; CAI, ZONGWU.
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13. Nonparametric Quantile Estimations For Dynamic Smooth Coefficient Models. (2013). CAI, ZONGWU ; Xu, Xiaoping .
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14. Nonparametric LAD cointegrating regression. (2013). Honda, Toshio.
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15. Quantile Prediction. (2013). Komunjer, Ivana .
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16. Re-weighted functional estimation of second-order diffusion processes. (2012). Wang, Yunyan ; Tang, Mingtian ; Zhang, Lixin.
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17. Empirical likelihood for conditional quantile with left-truncated and dependent data. (2012). Ua-Alvarez, Jacobo ; Liang, Han-Ying.
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18. Modelling time trend via spline confidence band. (2012). Wang, Jing.
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19. Optimal Bandwidth Selection for Nonparametric Conditional Distribution and Quantile Functions. (2012). Racine, Jeffrey ; Li, Qi ; Lin, Juan.
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20. Bootstrap confidence bands and partial linear quantile regression. (2012). Härdle, Wolfgang ; Song, Song ; Ritov, Yaaacov ; Hrdle, Wolfgang K..
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21. Semiparametric quantile regression estimation in dynamic models with partially varying coefficients. (2012). Xiao, Zhijie ; CAI, ZONGWU.
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22. Asymptotically efficient estimation of the conditional expected shortfall. (2012). Peracchi, Franco ; Leorato, Samantha ; Tanase, Andrei V..
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23. Nonparametric tests for conditional independence using conditional distributions. (2012). Taamouti, Abderrahim ; Bouezmarni, Taoufik ; el Ghouch, Anouar .
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24. From the “European Paradox” to a European Drama in citation impact. (2012). Ruiz-Castillo, Javier ; Taamouti, Abderrahim ; Bouezmarni, Taoufik.
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25. Asymptotic properties of conditional quantile estimator for censored dependent observations. (2011). Ua-lvarez, Jacobo ; Liang, Han-Ying.
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26. Nonparametric LAD Cointegrating Regression. (2011). Honda, Toshio.
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27. Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications. (2011). Phillips, Peter ; Xu, Ke-Li ; Phillips, Peter C. B., .
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28. Modeling Temperature Dynamics for Aquaculture Index Insurance In Taiwan: A Nonlinear Quantile Approach. (2011). Chen, Shu-Ling.
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29. Efficient estimation in dynamic conditional quantile models. (2010). Komunjer, Ivana ; Vuong, Quang.
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30. Nonparametric/semiparametric estimation and testing of econometric models with data dependent smoothing parameters. (2010). Li, Dong.
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31. Tilted Nonparametric Estimation of Volatility Functions. (2010). Xu, Ke-Li ; Phillips, Peter.
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32. CONFIDENCE BANDS IN QUANTILE REGRESSION. (2010). Härdle, Wolfgang ; Song, Song ; Hrdle, Wolfgang K..
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33. Functional-coefficient models for nonstationary time series data. (2009). Park, Joon ; Li, Qi ; CAI, ZONGWU.
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34. The Stochastic Fluctuation of the Quantile Regression Curve. (2008). Härdle, Wolfgang ; Song, Song ; Hardle, Wolfgang.
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35. A Consistent Nonparametric Test for Causality in Quantile. (2008). Härdle, Wolfgang ; Jeong, Kiho ; Hardle, Wolfgang.
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36. Change point estimators by local polynomial fits under a dependence assumption. (2008). Li, Degui ; Chen, Jia ; Lin, Zhengyan .
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37. Nonparametric estimation of conditional VaR and expected shortfall. (2008). CAI, ZONGWU ; Wang, Xian.
    In: Journal of Econometrics.
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38. Measuring financial risk : comparison of alternative procedures to estimate VaR and ES. (2008). Ruiz, Esther ; Nieto, Maria Rosa .
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39. NoVaS Transformations: Flexible Inference for Volatility Forecasting. (2007). Thomakos, Dimitrios ; Politis, Dimitris N.
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40. Trending time-varying coefficient time series models with serially correlated errors. (2007). CAI, ZONGWU.
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41. Intraday stock prices, volume, and duration: a nonparametric conditional density analysis. (2006). Tay, Anthony S ; Ting, Christopher.
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42. Nonparametric Econometrics: Theory and Practice. (2006). Racine, Jeffrey Scott ; Li, QI.
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43. Approximating conditional distribution functions using dimension reduction. (2005). Hall, Peter ; Yao, Qiwei.
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44. The asymptotic distribution of the unconditional quantile estimator under dependence. (2005). Haupt, Harry ; Oberhofer, Walter .
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45. Semiparametric Efficient Estimation of Partially Linear Quantile Regression Models. (2005). Sun, Yiguo.
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46. Consistency of nonlinear regression quantiles under Type I censoring weak dependence and general covariate design. (2005). Haupt, Harry ; Oberhofer, Walter .
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47. Sliced inverse regression in reference curves estimation. (2004). saracco, jerome ; Gannoun, Ali ; Girard, Stephane ; Guinot, Christiane .
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48. Square Root N - Consistent Semiparametric Estimation of Partially Linear Quantile Regression Models. (2003). Sun, Yiguo.
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49. A Consistent Nonparametric Equality Test of Conditional Quantile Functions. (2003). Sun, Yiguo.
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50. Nonlinear quantile regression under dependence and heterogeneity. (2003). Haupt, Harry ; Oberhofer, Walter .
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