Details about Ke Zhu

Access statistics for papers by Ke Zhu.

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

Short-id: pzh444

Working Papers

2020

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

2019

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

2018

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

2015

7. Bootstrapping the portmanteau tests in weak auto-regressive moving average models
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article Bootstrapping the portmanteau tests in weak auto-regressive moving average models, Journal of the Royal Statistical Society Series B, Royal Statistical Society (2016) View citations (17) (2016)
8. Hausman tests for the error distribution in conditionally heteroskedastic models
   MPRA Paper, University Library of Munich, Germany

2014

9. Buffered autoregressive models with conditional heteroscedasticity: An application to exchange rates
   MPRA Paper, University Library of Munich, Germany View citations (1)
   See also Journal Article Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates, Journal of Business & Economic Statistics, Taylor & Francis Journals (2017) View citations (9) (2017)
10. LADE-based inference for ARMA models with unspecified and heavy-tailed heteroscedastic noises
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article LADE-Based Inference for ARMA Models With Unspecified and Heavy-Tailed Heteroscedastic Noises, Journal of the American Statistical Association, Taylor & Francis Journals (2015) View citations (10) (2015)
11. Model-based pricing for financial derivatives
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article Model-based pricing for financial derivatives, Journal of Econometrics, Elsevier (2015) View citations (8) (2015)
12. Sign-based specification tests for martingale difference with conditional heteroscedasity
    MPRA Paper, University Library of Munich, Germany

2013

13. A bootstrapped spectral test for adequacy in weak ARMA models
    MPRA Paper, University Library of Munich, Germany View citations (1)
    See also Journal Article A bootstrapped spectral test for adequacy in weak ARMA models, Journal of Econometrics, Elsevier (2015) View citations (9) (2015)
14. Factor double autoregressive models with application to simultaneous causality testing
    MPRA Paper, University Library of Munich, Germany
15. Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models
    MPRA Paper, University Library of Munich, Germany View citations (1)
16. Testing for the buffered autoregressive processes
    MPRA Paper, University Library of Munich, Germany 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

2020

2. Inference for asymmetric exponentially weighted moving average models
   Journal of Time Series Analysis, 2020, 41, (1), 154-162 View citations (1)
3. Non-standard inference for augmented double autoregressive models with null volatility coefficients
   Journal of Econometrics, 2020, 215, (1), 165-183 View citations (3)

2019

4. Double AR model without intercept: An alternative to modeling nonstationarity and heteroscedasticity
   Econometric Reviews, 2019, 38, (3), 319-331 View citations (2)

2018

5. Model checks for nonlinear cointegrating regression
   Journal of Econometrics, 2018, 207, (2), 261-284 View citations (15)
6. The ZD-GARCH model: A new way to study heteroscedasticity
   Journal of Econometrics, 2018, 202, (1), 1-17 View citations (17)

2017

7. Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates
   Journal of Business & Economic Statistics, 2017, 35, (4), 528-542 View citations (9)
   See also Working Paper Buffered autoregressive models with conditional heteroscedasticity: An application to exchange rates, MPRA Paper (2014) View citations (1) (2014)

2016

8. Bootstrapping the portmanteau tests in weak auto-regressive moving average models
   Journal of the Royal Statistical Society Series B, 2016, 78, (2), 463-485 View citations (17)
   See also Working Paper Bootstrapping the portmanteau tests in weak auto-regressive moving average models, MPRA Paper (2015) (2015)

2015

9. A New Pearson-Type QMLE for Conditionally Heteroscedastic Models
   Journal of Business & Economic Statistics, 2015, 33, (4), 552-565 View citations (6)
10. A bootstrapped spectral test for adequacy in weak ARMA models
    Journal of Econometrics, 2015, 187, (1), 113-130 View citations (9)
    See also Working Paper A bootstrapped spectral test for adequacy in weak ARMA models, MPRA Paper (2013) View citations (1) (2013)
11. LADE-Based Inference for ARMA Models With Unspecified and Heavy-Tailed Heteroscedastic Noises
    Journal of the American Statistical Association, 2015, 110, (510), 784-794 View citations (10)
    See also Working Paper LADE-based inference for ARMA models with unspecified and heavy-tailed heteroscedastic noises, MPRA Paper (2014) (2014)
12. Model-based pricing for financial derivatives
    Journal of Econometrics, 2015, 187, (2), 447-457 View citations (8)
    See also Working Paper Model-based pricing for financial derivatives, MPRA Paper (2014) (2014)
13. Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations
    Journal of Econometrics, 2015, 189, (2), 313-320 View citations (10)

2014

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

2013

15. 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 View citations (5)
16. 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 View citations (2)

2012

17. 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 View citations (4)
18. THE GLOBAL WEIGHTED LAD ESTIMATORS FOR FINITE/INFINITE VARIANCE ARMA(p,q) MODELS
    Econometric Theory, 2012, 28, (5), 1065-1086 View citations (7)