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Details about Ke Zhu

E-mail:
Homepage:https://sites.google.com/site/nelsonkezhu/
Workplace:中国科学院,数学与系统科学研究院

Access statistics for papers by Ke Zhu.

Last updated 2021-09-30. Update your information in the RePEc Author Service.

Short-id: pzh444


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Working Papers

2020

  1. Multi-frequency-band tests for white noise under heteroskedasticity
    Papers, arXiv.org Downloads
  2. Testing error distribution by kernelized Stein discrepancy in multivariate time series models
    Papers, arXiv.org Downloads
  3. Time series models for realized covariance matrices based on the matrix-F distribution
    Papers, arXiv.org Downloads

2019

  1. Hybrid quantile estimation for asymmetric power GARCH models
    Papers, arXiv.org Downloads View citations (1)

2018

  1. New HSIC-based tests for independence between two stationary multivariate time series
    Papers, arXiv.org Downloads View citations (1)
  2. Statistical inference for autoregressive models under heteroscedasticity of unknown form
    Papers, arXiv.org Downloads

2015

  1. Bootstrapping the portmanteau tests in weak auto-regressive moving average models
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Journal of the Royal Statistical Society Series B (2016)
  2. Hausman tests for the error distribution in conditionally heteroskedastic models
    MPRA Paper, University Library of Munich, Germany Downloads

2014

  1. Buffered autoregressive models with conditional heteroscedasticity: An application to exchange rates
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article in Journal of Business & Economic Statistics (2017)
  2. LADE-based inference for ARMA models with unspecified and heavy-tailed heteroscedastic noises
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Journal of the American Statistical Association (2015)
  3. Model-based pricing for financial derivatives
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Journal of Econometrics (2015)
  4. Sign-based specification tests for martingale difference with conditional heteroscedasity
    MPRA Paper, University Library of Munich, Germany Downloads

2013

  1. A bootstrapped spectral test for adequacy in weak ARMA models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article in Journal of Econometrics (2015)
  2. Factor double autoregressive models with application to simultaneous causality testing
    MPRA Paper, University Library of Munich, Germany Downloads
  3. Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
  4. Testing for the buffered autoregressive processes
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)

Journal Articles

2021

  1. Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model
    Journal of Econometrics, 2021, 224, (2), 306-329 Downloads

2020

  1. Inference for asymmetric exponentially weighted moving average models
    Journal of Time Series Analysis, 2020, 41, (1), 154-162 Downloads
  2. Non-standard inference for augmented double autoregressive models with null volatility coefficients
    Journal of Econometrics, 2020, 215, (1), 165-183 Downloads View citations (2)

2019

  1. Double AR model without intercept: An alternative to modeling nonstationarity and heteroscedasticity
    Econometric Reviews, 2019, 38, (3), 319-331 Downloads

2018

  1. Model checks for nonlinear cointegrating regression
    Journal of Econometrics, 2018, 207, (2), 261-284 Downloads View citations (9)
  2. The ZD-GARCH model: A new way to study heteroscedasticity
    Journal of Econometrics, 2018, 202, (1), 1-17 Downloads View citations (14)

2017

  1. Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates
    Journal of Business & Economic Statistics, 2017, 35, (4), 528-542 Downloads View citations (7)
    See also Working Paper (2014)

2016

  1. Bootstrapping the portmanteau tests in weak auto-regressive moving average models
    Journal of the Royal Statistical Society Series B, 2016, 78, (2), 463-485 Downloads View citations (13)
    See also Working Paper (2015)

2015

  1. A New Pearson-Type QMLE for Conditionally Heteroscedastic Models
    Journal of Business & Economic Statistics, 2015, 33, (4), 552-565 Downloads View citations (5)
  2. A bootstrapped spectral test for adequacy in weak ARMA models
    Journal of Econometrics, 2015, 187, (1), 113-130 Downloads View citations (8)
    See also Working Paper (2013)
  3. LADE-Based Inference for ARMA Models With Unspecified and Heavy-Tailed Heteroscedastic Noises
    Journal of the American Statistical Association, 2015, 110, (510), 784-794 Downloads View citations (8)
    See also Working Paper (2014)
  4. Model-based pricing for financial derivatives
    Journal of Econometrics, 2015, 187, (2), 447-457 Downloads View citations (7)
    See also Working Paper (2014)
  5. Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations
    Journal of Econometrics, 2015, 189, (2), 313-320 Downloads View citations (7)

2014

  1. Comment
    Journal of Business & Economic Statistics, 2014, 32, (2), 202-203 Downloads

2013

  1. A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach
    Journal of Time Series Analysis, 2013, 34, (2), 230-237 Downloads View citations (4)
  2. Diagnostic checking for non-stationary ARMA models with an application to financial data
    The North American Journal of Economics and Finance, 2013, 26, (C), 624-639 Downloads View citations (2)

2012

  1. Likelihood ratio tests for the structural change of an AR(p) model to a Threshold AR(p) model
    Journal of Time Series Analysis, 2012, 33, (2), 223-232 Downloads View citations (3)
  2. THE GLOBAL WEIGHTED LAD ESTIMATORS FOR FINITE/INFINITE VARIANCE ARMA(p,q) MODELS
    Econometric Theory, 2012, 28, (5), 1065-1086 Downloads View citations (7)
 
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