Details about Zaichao Du

Access statistics for papers by Zaichao Du.

Last updated 2024-10-09. Update your information in the RePEc Author Service.

Short-id: pdu319

Working Papers

2017

1. Automatic Portmanteau Tests with Applications to Market Risk Management
   CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington View citations (1)
   See also Journal Article Automatic portmanteau tests with applications to market risk management, Stata Journal, StataCorp LP (2017) View citations (1) (2017)

2015

2. Backtesting Expected Shortfall: Accounting for Tail Risk
   CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington View citations (12)

2009

3. Nonparametric Bootstrap Tests for Independence of Generalized Errors
   CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington
   See also Journal Article Nonparametric bootstrap tests for independence of generalized errors, Econometrics Journal, Royal Economic Society (2016) View citations (4) (2016)

Journal Articles

2024

1. Competition and price dispersion: evidence from airline and high-speed rail competition in China
   Industrial and Corporate Change, 2024, 33, (3), 670-693
2. Powerful Backtests for Historical Simulation Expected Shortfall Models
   Journal of Business & Economic Statistics, 2024, 42, (3), 864-874

2023

3. The case for CASE: Estimating heterogeneous systemic effects
   Journal of Banking & Finance, 2023, 157, (C)

2022

4. Foreign buyer taxes and house prices in Canada: A tale of two cities
   Journal of Housing Economics, 2022, 55, (C)

2021

5. A simple and robust counterfactual impact evaluation
   Economics Letters, 2021, 207, (C)
6. The impacts of China’s exchange rate regime reform in 2005: A counterfactual analysis
   Review of Development Economics, 2021, 25, (1), 430-448

2020

7. Backtesting portfolio value‐at‐risk with estimated portfolio weights
   Journal of Time Series Analysis, 2020, 41, (5), 605-619 View citations (1)

2018

8. Assessing the gains and vulnerability of free trade: A counterfactual analysis of Macau
   Economic Modelling, 2018, 70, (C), 147-158 View citations (4)

2017

9. Automatic portmanteau tests with applications to market risk management
   Stata Journal, 2017, 17, (4), 901-915 View citations (1)
   See also Working Paper Automatic Portmanteau Tests with Applications to Market Risk Management, CAEPR Working Papers (2017) View citations (1) (2017)

2016

10. Nonparametric bootstrap tests for independence of generalized errors
    Econometrics Journal, 2016, 19, (1), 55-83 View citations (4)
    See also Working Paper Nonparametric Bootstrap Tests for Independence of Generalized Errors, CAEPR Working Papers (2009) (2009)

2015

11. A Nonparametric Distribution-Free Test for Serial Independence of Errors
    Econometric Reviews, 2015, 34, (6-10), 1011-1034 View citations (1)
12. Home-purchase restriction, property tax and housing price in China: A counterfactual analysis
    Journal of Econometrics, 2015, 188, (2), 558-568 View citations (87)
13. The Macroeconomic Effects of the Canada–US Free Trade Agreement on Canada: A Counterfactual Analysis
    The World Economy, 2015, 38, (5), 878-892 View citations (4)

2014

14. Decomposing the rich dad effect on income inequality using instrumental variable quantile regression
    China Economic Review, 2014, 31, (C), 379-391 View citations (5)
15. Testing for serial independence of panel errors
    Computational Statistics & Data Analysis, 2014, 76, (C), 248-261 View citations (2)

2013

16. The macroeconomic effects of the 35-h workweek regulation in France
    The B.E. Journal of Macroeconomics, 2013, 13, (1), 881-901 View citations (8)

2012

17. The effects of medical insurance on durables consumption in rural China
    China Agricultural Economic Review, 2012, 4, (2), 176-187 View citations (4)

2011

18. Intraday probability of informed trading
    Economics Bulletin, 2011, 31, (4), 3103-3112 View citations (3)