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Career

· CRE Analyst, Citibank2022–

Publications (107)

“A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High-Frequency Data”
2005
884
cited
Local linear quantile estimation for nonstationary time series
2009
148
cited
Measuring nonlinear dependence in time‐series, a distance correlation approach
2012
120
cited
Simultaneous inference of linear models with time varying coefficients
2010
114
cited
Heteroscedasticity and Autocorrelation Robust Structural Change Detection
2013
104
cited
GAUSSIAN APPROXIMATIONS FOR NON-STATIONARY MULTIPLE TIME SERIES
2011
87
cited
Nonlinear multivariate time–space threshold vector error correction model for short term traffic state prediction
2015
54
cited
Strong and Weak Equilibria for Time-Inconsistent Stochastic Control in Continuous Time
Mathematics of Operations Research · 2018
52
cited
ON ARBITRAGE AND DUALITY UNDER MODEL UNCERTAINTY AND PORTFOLIO CONSTRAINTS
2014
45
cited
Inference for linear models with dependent errors
2013
42
cited
On Hedging American Options Under Model Uncertainty
SIAM Journal on Financial Mathematics · 2013
40
cited
NONPARAMETRIC INFERENCE OF QUANTILE CURVES FOR NONSTATIONARY TIME SERIES
2010
39
cited
Equilibrium concepts for time‐inconsistent stopping problems in continuous time
Mathematical Finance · 2019
35
cited
Optimal equilibria for time‐inconsistent stopping problems in continuous time
Mathematical Finance · 2017
35
cited
Change Point Analysis of Correlation in Non-stationary Time Series
Statistica sinica · 2018
34
cited
Inference of weighted $V$-statistics for nonstationary time series and its applications
2014
30
cited
The Optimal Equilibrium for Time-Inconsistent Stopping Problems - The Discrete-Time Case
SIAM Journal of Control and Optimization · 2017
30
cited
Dynamic factor model for network traffic state forecast
Transportation Research Part B: Methodological · 2018
26
cited
Nonparametric Inference for Time-Varying Coefficient Quantile Regression
2017
25
cited
Reliable approximations of probability-constrained stochastic linear-quadratic control
at - Automatisierungstechnik · 2013
25
cited
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Ziqing "Grace" Zhou | Researcher Profile | Sotabase | Sotabase