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Ba Chu

Personal Details

First Name:Ba
Middle Name:M.
Last Name:Chu
Suffix:
RePEc Short-ID:pch959
[This author has chosen not to make the email address public]

Affiliation

(50%) Department of Economics
Carleton University

Ottawa, Canada
http://www.carleton.ca/economics/
RePEc:edi:decarca (more details at EDIRC)

(50%) Centre for Monetary and Financial Economics (CMFE)
Department of Economics
Carleton University

Ottawa, Canada
http://www.carleton.ca/cmfe/
RePEc:edi:cmcarca (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Shafuillah Qureshi & Ba Chu & Fanny S. Demers & Michel Demers, 2022. "Using Natural Language Processing to Measure COVID-19-Induced Economic Policy Uncertainty for Canada and the US," Carleton Economic Papers 22-01, Carleton University, Department of Economics.
  2. Ba Chu & Shafiullah Qureshi, 2021. "Comparing Out-of-Sample Performance of Machine Learning Methods to Forecast U.S. GDP Growth," Carleton Economic Papers 21-12, Carleton University, Department of Economics.
  3. Shafiullah Qureshi & Ba Chu & Fanny S. Demers, 2021. "Forecasting Canadian GDP Growth with Machine Learning," Carleton Economic Papers 21-05, Carleton University, Department of Economics.
  4. Shafiullah Qureshi & Ba M. Chu & Fanny S. Demers, 2020. "Forecasting Canadian GDP growth using XGBoost," Carleton Economic Papers 20-14, Carleton University, Department of Economics, revised 24 Aug 2020.
  5. Ba Chu & Shafiullah Qureshi, 2020. "Predicting the COVID-19 Pandemic in Canada and the US," Carleton Economic Papers 20-05, Carleton University, Department of Economics, revised 30 Jul 2020.
  6. Ba M. Chu & Kim Huynh & David T. Jacho-Chávez & Oleksiy Kryvtsov, 2018. "On the Evolution of the United Kingdom Price Distributions," Staff Working Papers 18-25, Bank of Canada.
  7. Azadeh Rahimi & Ba M. Chu & Marc Lavoie, 2017. "Linear and nonlinear Granger causality between short-term and long-term interest rates: a rolling-window strategy," Post-Print hal-01435721, HAL.
  8. Chu, Ba, 2017. "Composite Quasi-Maximum Likelihood Estimation of Dynamic Panels with Group-Specific Heterogeneity and Spatially Dependent Errors," MPRA Paper 79709, University Library of Munich, Germany.
  9. Jean-Thomas Bernard & Ba Chu & Lynda Khalaf & Marcel-Cristian Voia, 2017. "Non-standard Confidence Sets for Ratios and Tipping Points with Applications to Dynamic Panel Data," Carleton Economic Papers 17-05, Carleton University, Department of Economics.
  10. Azadeh Rahimi & Marc Lavoie & Ba Chu, 2016. "Linear and nonlinear Granger causality between short-term and long-term interest rates during business cycles," Post-Print hal-01343734, HAL.
  11. Bravo, Francesco & Chu, Ba & Jacho-Chavez, David, 2013. "Semiparametric estimation of moment condition models with weakly dependent data," MPRA Paper 79686, University Library of Munich, Germany, revised 2016.
  12. Chu, Ba & Huynh, Kim & Jacho-Chavez, David, 2013. "Functionals of order statistics and their multivariate concomitants with application to semiparametric estimation by nearest neighbours," MPRA Paper 79670, University Library of Munich, Germany, revised 2012.

Articles

  1. Chu, Ba, 2023. "A distance-based test of independence between two multivariate time series," Journal of Multivariate Analysis, Elsevier, vol. 195(C).
  2. Ba Chu & Shafiullah Qureshi, 2023. "Comparing Out-of-Sample Performance of Machine Learning Methods to Forecast U.S. GDP Growth," Computational Economics, Springer;Society for Computational Economics, vol. 62(4), pages 1567-1609, December.
  3. Chu Ba, 2022. "Time-specific average estimation of dynamic panel regressions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 26(4), pages 581-616, September.
  4. Ba Chu & Shafiullah Qureshi, 2020. "Predicting the COVID-19 pandemic in Canada and the US," Economics Bulletin, AccessEcon, vol. 40(3), pages 2565-2585.
  5. Ba M. Chu & David T. Jacho-Chávez & Oliver B. Linton, 2020. "Standard Errors for Nonparametric Regression," Econometric Reviews, Taylor & Francis Journals, vol. 39(7), pages 674-690, August.
  6. Jean-Thomas Bernard & Ba Chu & Lynda Khalaf & Marcel Voia, 2019. "Non-Standard Confidence Sets for Ratios and Tipping Points with Applications to Dynamic Panel Data," Annals of Economics and Statistics, GENES, issue 134, pages 79-108.
  7. Francesco Bravo & Ba M. Chu & David T. Jacho-Chávez, 2017. "Semiparametric estimation of moment condition models with weakly dependent data," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 29(1), pages 108-136, January.
  8. Bravo, Francesco & Chu, Ba M. & Jacho-Chávez, David T., 2017. "Generalized empirical likelihood M testing for semiparametric models with time series data," Econometrics and Statistics, Elsevier, vol. 4(C), pages 18-30.
  9. Azadeh Rahimi & Ba M. Chu & Marc Lavoie, 2017. "Linear and Non-Linear Granger Causality Between Short-Term and Long-Term Interest Rates: A Rolling Window Strategy," Metroeconomica, Wiley Blackwell, vol. 68(4), pages 882-902, November.
  10. Azadeh Rahimi & Marc Lavoie & Ba Chu, 2016. "Linear and nonlinear Granger-causality between short-term and long-term interest rates during business cycles," International Review of Applied Economics, Taylor & Francis Journals, vol. 30(6), pages 714-728, November.
  11. Ba Chu & Stephen Satchell, 2016. "Recovering the Most Entropic Copulas from Preliminary Knowledge of Dependence," Econometrics, MDPI, vol. 4(2), pages 1-21, March.
  12. Lanh Tran & Ba Chu & Chunfeng Huang & Kim P. Huynh, 2014. "Adaptive permutation tests for serial independence," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 68(3), pages 183-208, August.
  13. Ba Chu, 2012. "Limit theorems for the discount sums of moving averages," Journal of Time Series Analysis, Wiley Blackwell, vol. 33(1), pages 1-12, January.
  14. Ba Chu, 2012. "Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios," Annals of Finance, Springer, vol. 8(1), pages 97-122, February.
  15. Ba Chu, 2012. "Approximation of Asymmetric Multivariate Return Distributions," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 19(3), pages 293-318, September.
  16. Chu, Ba & Jacho-Chávez, David T., 2012. "k-NEAREST NEIGHBOR ESTIMATION OF INVERSE-DENSITY-WEIGHTED EXPECTATIONS WITH DEPENDENT DATA," Econometric Theory, Cambridge University Press, vol. 28(4), pages 769-803, August.
  17. Chu, Ba, 2011. "Recovering copulas from limited information and an application to asset allocation," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1824-1842, July.
  18. Chu, Ba & Knight, John & Satchell, Stephen, 2011. "Large deviations theorems for optimal investment problems with large portfolios," European Journal of Operational Research, Elsevier, vol. 211(3), pages 533-555, June.
  19. Chu, Ba & Voia, Marcel, 2010. "Modeling the contemporaneous duration dependence for high-frequency stock prices," Finance Research Letters, Elsevier, vol. 7(3), pages 148-162, September.
  20. Chu Ba & Kozhan Roman, 2010. "Spurious Regressions of Stationary AR(p) Processes with Structural Breaks," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(1), pages 1-25, December.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Shafiullah Qureshi & Ba M. Chu & Fanny S. Demers, 2020. "Forecasting Canadian GDP growth using XGBoost," Carleton Economic Papers 20-14, Carleton University, Department of Economics, revised 24 Aug 2020.

    Cited by:

    1. Ramaharo, Franck M. & Rasolofomanana, Gerzhino H., 2023. "Nowcasting Madagascar's real GDP using machine learning algorithms," MPRA Paper 119574, University Library of Munich, Germany.

  2. Ba Chu & Shafiullah Qureshi, 2020. "Predicting the COVID-19 Pandemic in Canada and the US," Carleton Economic Papers 20-05, Carleton University, Department of Economics, revised 30 Jul 2020.

    Cited by:

    1. Sen, Anindya & Baker, John David & Zhang, Qihuang & Agarwal, Rishav Raj & Lam, Jean-Paul, 2023. "Do more stringent policies reduce daily COVID-19 case counts? Evidence from Canadian provinces," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 225-242.

  3. Ba M. Chu & Kim Huynh & David T. Jacho-Chávez & Oleksiy Kryvtsov, 2018. "On the Evolution of the United Kingdom Price Distributions," Staff Working Papers 18-25, Bank of Canada.

    Cited by:

    1. Canavire Bacarreza, Gustavo J. & Carvajal-Osorio, Luis C., 2018. "Two Stories of Wage Dynamics in Latin America: Different Policies, Different Outcomes," IZA Discussion Papers 11584, Institute of Labor Economics (IZA).
    2. Byron Botha & Rulof Burger & Kevin Kotze & Neil Rankin & Daan Steenkamp, 2022. "Big data forecasting of South African inflation," School of Economics Macroeconomic Discussion Paper Series 2022-03, School of Economics, University of Cape Town.
    3. Richard Davies, 2021. "Prices and inflation in the UK - A new dataset," CEP Occasional Papers 55, Centre for Economic Performance, LSE.
    4. Petrella, Ivan & Santoro, Emiliano & Simonsen, Lasse de la Porte, 2018. "Time-varying Price Flexibility and Inflation Dynamics," CEPR Discussion Papers 13027, C.E.P.R. Discussion Papers.
    5. Carvalho, Carlos & Kryvtsov, Oleksiy, 2021. "Price selection," Journal of Monetary Economics, Elsevier, vol. 122(C), pages 56-75.
    6. Joseph, Andreas & Kalamara, Eleni & Kapetanios, George & Potjagailo, Galina & Chakraborty, Chiranjit, 2021. "Forecasting UK inflation bottom up," Bank of England working papers 915, Bank of England, revised 27 Sep 2022.

  4. Azadeh Rahimi & Ba M. Chu & Marc Lavoie, 2017. "Linear and nonlinear Granger causality between short-term and long-term interest rates: a rolling-window strategy," Post-Print hal-01435721, HAL.

    Cited by:

    1. Li, Shuping & Lu, Xinsheng & Li, Jianfeng, 2021. "Cross-correlations between the P2P interest rate, Shibor and treasury yields," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 574(C).
    2. Tanweer Akram, 2021. "Multifactor Keynesian Models of the Long-Term Interest Rate," Economics Working Paper Archive wp_991, Levy Economics Institute.
    3. Matteo Deleidi & Enrico Sergio Levrero, 2021. "Monetary policy and long‐term interest rates: Evidence from the U.S. economy," Metroeconomica, Wiley Blackwell, vol. 72(1), pages 121-147, February.
    4. Huiqing Li & Yang Su, 2021. "The nonlinear causal relationship between short‐ and long‐term interest rates: An empirical assessment of the United States, the United Kingdom, and Japan," International Finance, Wiley Blackwell, vol. 24(3), pages 332-355, December.
    5. Rahimi , Azadeh, 2019. "The Endogenous or Exogenous Nature of Money Supply: Case of Iran," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 14(1), pages 27-40, January.
    6. Levrero, Enrico Sergio & Deleidi, Matteo, 2019. "The causal relationship between short- and long-term interest rates: an empirical assessment of the United States," MPRA Paper 93608, University Library of Munich, Germany.

  5. Chu, Ba, 2017. "Composite Quasi-Maximum Likelihood Estimation of Dynamic Panels with Group-Specific Heterogeneity and Spatially Dependent Errors," MPRA Paper 79709, University Library of Munich, Germany.

    Cited by:

    1. Ryo Okui & Wendun Wang, 2018. "Heterogeneous structural breaks in panel data models," Papers 1801.04672, arXiv.org, revised Nov 2018.
    2. Kerem Tuzcuoglu, 2019. "Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects," Staff Working Papers 19-16, Bank of Canada.

  6. Jean-Thomas Bernard & Ba Chu & Lynda Khalaf & Marcel-Cristian Voia, 2017. "Non-standard Confidence Sets for Ratios and Tipping Points with Applications to Dynamic Panel Data," Carleton Economic Papers 17-05, Carleton University, Department of Economics.

    Cited by:

    1. Jean-Marie Dufour & Emmanuel Flachaire & Lynda Khalaf & Abdallah Zalghout, 2020. "Identification-Robust Inequality Analysis," Cahiers de recherche 03-2020, Centre interuniversitaire de recherche en économie quantitative, CIREQ.

  7. Azadeh Rahimi & Marc Lavoie & Ba Chu, 2016. "Linear and nonlinear Granger causality between short-term and long-term interest rates during business cycles," Post-Print hal-01343734, HAL.

    Cited by:

    1. Xiaojuan He & Dervis Kirikkaleli & Melike Torun & Zecheng Li, 2021. "Modeling Economic Risk in the QISMUT Countries: Evidence From Nonlinear Cointegration Tests," SAGE Open, , vol. 11(4), pages 21582440211, October.
    2. Hassan Tawakol A. Fadol, 2020. "Study the Possibility of Address Complex Models in Linear and Non-Linear Causal Relationships between Oil Price and GDP in KSA: Using the Combination of Toda-Yamamoto, Diks-Panchenko and VAR Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 10(6), pages 672-678.
    3. Gözde YILDIRIM, Zafer ADALI, 2018. "Linear and Non-Linear Causality Tests of Stock Price and Real Exchange Rate Interactions in Turkey," Fiscaoeconomia, Tubitak Ulakbim JournalPark (Dergipark), issue 1.
    4. Levrero, Enrico Sergio & Deleidi, Matteo, 2019. "The causal relationship between short- and long-term interest rates: an empirical assessment of the United States," MPRA Paper 93608, University Library of Munich, Germany.

  8. Bravo, Francesco & Chu, Ba & Jacho-Chavez, David, 2013. "Semiparametric estimation of moment condition models with weakly dependent data," MPRA Paper 79686, University Library of Munich, Germany, revised 2016.

    Cited by:

    1. Francesco Bravo, 2022. "Misspecified semiparametric model selection with weakly dependent observations," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(4), pages 558-586, July.
    2. Matsushita, Yukitoshi & Otsu, Taisuke, 2020. "Likelihood inference on semiparametric models with generated regressors," LSE Research Online Documents on Economics 102696, London School of Economics and Political Science, LSE Library.
    3. Bravo, Francesco & Chu, Ba M. & Jacho-Chávez, David T., 2017. "Generalized empirical likelihood M testing for semiparametric models with time series data," Econometrics and Statistics, Elsevier, vol. 4(C), pages 18-30.

  9. Chu, Ba & Huynh, Kim & Jacho-Chavez, David, 2013. "Functionals of order statistics and their multivariate concomitants with application to semiparametric estimation by nearest neighbours," MPRA Paper 79670, University Library of Munich, Germany, revised 2012.

    Cited by:

    1. Bravo, Francesco & Chu, Ba & Jacho-Chavez, David, 2013. "Semiparametric estimation of moment condition models with weakly dependent data," MPRA Paper 79686, University Library of Munich, Germany, revised 2016.
    2. Nengxiang Ling & Germán Aneiros & Philippe Vieu, 2020. "kNN estimation in functional partial linear modeling," Statistical Papers, Springer, vol. 61(1), pages 423-444, February.

Articles

  1. Chu, Ba, 2023. "A distance-based test of independence between two multivariate time series," Journal of Multivariate Analysis, Elsevier, vol. 195(C).

    Cited by:

    1. Joann Jasiak & Aryan Manafi Neyazi, 2023. "GCov-Based Portmanteau Test," Papers 2312.05373, arXiv.org.

  2. Ba Chu & Shafiullah Qureshi, 2020. "Predicting the COVID-19 pandemic in Canada and the US," Economics Bulletin, AccessEcon, vol. 40(3), pages 2565-2585.
    See citations under working paper version above.
  3. Ba M. Chu & David T. Jacho-Chávez & Oliver B. Linton, 2020. "Standard Errors for Nonparametric Regression," Econometric Reviews, Taylor & Francis Journals, vol. 39(7), pages 674-690, August.

    Cited by:

    1. Zhang, Anan & Zheng, Yadi & Huang, Huang & Ding, Ning & Zhang, Chengqian, 2022. "Co-integration theory-based cluster time-varying load optimization control model of regional integrated energy system," Energy, Elsevier, vol. 260(C).

  4. Jean-Thomas Bernard & Ba Chu & Lynda Khalaf & Marcel Voia, 2019. "Non-Standard Confidence Sets for Ratios and Tipping Points with Applications to Dynamic Panel Data," Annals of Economics and Statistics, GENES, issue 134, pages 79-108.
    See citations under working paper version above.
  5. Francesco Bravo & Ba M. Chu & David T. Jacho-Chávez, 2017. "Semiparametric estimation of moment condition models with weakly dependent data," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 29(1), pages 108-136, January.
    See citations under working paper version above.
  6. Bravo, Francesco & Chu, Ba M. & Jacho-Chávez, David T., 2017. "Generalized empirical likelihood M testing for semiparametric models with time series data," Econometrics and Statistics, Elsevier, vol. 4(C), pages 18-30.

    Cited by:

    1. Bravo, Francesco & Chu, Ba & Jacho-Chavez, David, 2013. "Semiparametric estimation of moment condition models with weakly dependent data," MPRA Paper 79686, University Library of Munich, Germany, revised 2016.
    2. Zaichao Du & Juan Carlos Escanciano, 2015. "A Nonparametric Distribution-Free Test for Serial Independence of Errors," Econometric Reviews, Taylor & Francis Journals, vol. 34(6-10), pages 1011-1034, December.

  7. Azadeh Rahimi & Ba M. Chu & Marc Lavoie, 2017. "Linear and Non-Linear Granger Causality Between Short-Term and Long-Term Interest Rates: A Rolling Window Strategy," Metroeconomica, Wiley Blackwell, vol. 68(4), pages 882-902, November.
    See citations under working paper version above.
  8. Azadeh Rahimi & Marc Lavoie & Ba Chu, 2016. "Linear and nonlinear Granger-causality between short-term and long-term interest rates during business cycles," International Review of Applied Economics, Taylor & Francis Journals, vol. 30(6), pages 714-728, November.
    See citations under working paper version above.
  9. Lanh Tran & Ba Chu & Chunfeng Huang & Kim P. Huynh, 2014. "Adaptive permutation tests for serial independence," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 68(3), pages 183-208, August.

    Cited by:

    1. Mark Rempel, 2016. "Improving Overnight Loan Identification in Payments Systems," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(2-3), pages 549-564, March.
    2. Du, Zaichao, 2014. "Testing for serial independence of panel errors," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 248-261.

  10. Ba Chu, 2012. "Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios," Annals of Finance, Springer, vol. 8(1), pages 97-122, February.

    Cited by:

    1. M. Ryan Haley, 2017. "K-fold cross validation performance comparisons of six naive portfolio selection rules: how naive can you be and still have successful out-of-sample portfolio performance?," Annals of Finance, Springer, vol. 13(3), pages 341-353, August.
    2. M. Haley, 2014. "Gaussian and logistic adaptations of smoothed safety first," Annals of Finance, Springer, vol. 10(2), pages 333-345, May.

  11. Chu, Ba & Jacho-Chávez, David T., 2012. "k-NEAREST NEIGHBOR ESTIMATION OF INVERSE-DENSITY-WEIGHTED EXPECTATIONS WITH DEPENDENT DATA," Econometric Theory, Cambridge University Press, vol. 28(4), pages 769-803, August.

    Cited by:

    1. Federico Zincenko, 2019. "Testing for Risk Aversion in First-Price Sealed-Bid Auctions," Working Paper 6641, Department of Economics, University of Pittsburgh.
    2. Bravo, Francesco & Chu, Ba & Jacho-Chavez, David, 2013. "Semiparametric estimation of moment condition models with weakly dependent data," MPRA Paper 79686, University Library of Munich, Germany, revised 2016.
    3. Chen, Heng, 2014. "Sheep in Wolf’s clothing: Using the least squares criterion for quantile estimation," Economics Letters, Elsevier, vol. 125(3), pages 426-431.
    4. Arthur Lewbel, 2012. "An Overview of the Special Regressor Method," Boston College Working Papers in Economics 810, Boston College Department of Economics.
    5. Li, Hongjun & Li, Qi & Liu, Ruixuan, 2016. "Consistent model specification tests based on k-nearest-neighbor estimation method," Journal of Econometrics, Elsevier, vol. 194(1), pages 187-202.

  12. Chu, Ba, 2011. "Recovering copulas from limited information and an application to asset allocation," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1824-1842, July.

    Cited by:

    1. Low, Rand Kwong Yew & Alcock, Jamie & Faff, Robert & Brailsford, Timothy, 2013. "Canonical vine copulas in the context of modern portfolio management: Are they worth it?," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3085-3099.
    2. Wei-Zhen Li & Jin-Rui Zhai & Zhi-Qiang Jiang & Gang-Jin Wang & Wei-Xing Zhou, 2020. "Predicting tail events in a RIA-EVT-Copula framework," Papers 2004.03190, arXiv.org, revised Apr 2020.
    3. Lord Mensah, 2016. "Asset Allocation Brewed Accross African Stock Markets," Proceedings of Economics and Finance Conferences 3205757, International Institute of Social and Economic Sciences.
    4. Matros, Philipp & Vilsmeier, Johannes, 2014. "The multivariate option iPoD framework: assessing systemic financial risk," Discussion Papers 20/2014, Deutsche Bundesbank.
    5. Ba Chu, 2012. "Approximation of Asymmetric Multivariate Return Distributions," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 19(3), pages 293-318, September.
    6. Philipp Matros & Johannes Vilsmeier, 2013. "The Multivariate Option iPoD Framework - Assessing Systemic Financial Risk," Working Papers 143, Bavarian Graduate Program in Economics (BGPE).
    7. Cathy Ning & Dinghai Xu & Tony Wirjanto, 2014. "Is Volatility Clustering of Asset Returns Asymmetric?," Working Papers 050, Toronto Metropolitan University, Department of Economics.
    8. Auer, Benjamin R. & Schuhmacher, Frank, 2013. "Robust evidence on the similarity of Sharpe ratio and drawdown-based hedge fund performance rankings," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 153-165.
    9. Hossein Rad & Rand Kwong Yew Low & Robert Faff, 2016. "The profitability of pairs trading strategies: distance, cointegration and copula methods," Quantitative Finance, Taylor & Francis Journals, vol. 16(10), pages 1541-1558, October.
    10. Guidolin, Massimo & Hyde, Stuart, 2012. "Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 695-716.
    11. Butucea, Cristina & Delmas, Jean-François & Dutfoy, Anne & Fischer, Richard, 2015. "Maximum entropy copula with given diagonal section," Journal of Multivariate Analysis, Elsevier, vol. 137(C), pages 61-81.
    12. Ba Chu & Stephen Satchell, 2016. "Recovering the Most Entropic Copulas from Preliminary Knowledge of Dependence," Econometrics, MDPI, vol. 4(2), pages 1-21, March.

  13. Chu, Ba & Knight, John & Satchell, Stephen, 2011. "Large deviations theorems for optimal investment problems with large portfolios," European Journal of Operational Research, Elsevier, vol. 211(3), pages 533-555, June.

    Cited by:

    1. Zura Kakushadze, 2014. "Mean-Reversion and Optimization," Papers 1408.2217, arXiv.org, revised Feb 2016.
    2. Djellout, Hacène & Guillin, Arnaud & Samoura, Yacouba, 2017. "Estimation of the realized (co-)volatility vector: Large deviations approach," Stochastic Processes and their Applications, Elsevier, vol. 127(9), pages 2926-2960.

  14. Chu Ba & Kozhan Roman, 2010. "Spurious Regressions of Stationary AR(p) Processes with Structural Breaks," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(1), pages 1-25, December.

    Cited by:

    1. Gerdie Everaert & Hauke Vierke, 2016. "Demographics and Business Cycle Volatility: A Spurious Relationship?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1467-1477, November.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 8 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-BIG: Big Data (5) 2020-06-08 2020-08-31 2021-07-12 2022-10-03 2023-04-17. Author is listed
  2. NEP-CMP: Computational Economics (4) 2020-06-08 2021-07-12 2022-10-03 2023-04-17
  3. NEP-FOR: Forecasting (3) 2018-07-16 2020-08-31 2021-07-12
  4. NEP-ECM: Econometrics (2) 2017-01-29 2017-06-18
  5. NEP-MAC: Macroeconomics (2) 2018-07-16 2023-04-17
  6. NEP-CWA: Central and Western Asia (1) 2021-07-12
  7. NEP-DES: Economic Design (1) 2023-04-17
  8. NEP-EUR: Microeconomic European Issues (1) 2018-07-16
  9. NEP-ORE: Operations Research (1) 2017-06-18

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