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Ke Zhu
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Year
Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA–GARCH/IGARCH models
K Zhu, S Ling
Annals of Statistics 39 (4), 2131-2163, 2011
1002011
The ZD-GARCH model: A new way to study heteroscedasticity
D Li, X Zhang, K Zhu, S Ling
Journal of Econometrics 202 (1), 1-17, 2018
492018
Bootstrapping the portmanteau tests in weak auto-regressive moving average models
K Zhu
Journal of the Royal Statistical Society, Series B 78 (2), 463-485, 2016
472016
LADE-based inference for ARMA models with unspecified and heavy-tailed heteroscedastic noises
K Zhu, S Ling
Journal of the American Statistical Association 110 (510), 784-794, 2015
402015
A bootstrapped spectral test for adequacy in weak ARMA models
K Zhu, WK Li
Journal of Econometrics 187 (1), 113-130, 2015
322015
Quasi-maximum exponential likelihood estimators for a double AR(p) model
K Zhu, S Ling
Statistica Sinica 23 (2), 251-270, 2013
312013
Buffered autoregressive models with conditional heteroscedasticity: An application to exchange rates
K Zhu, WK Li, PLH Yu
Journal of Business & Economic Statistics 35 (4), 528-542, 2017
272017
Testing for the buffered autoregressive processes
K Zhu, PLH Yu, WK Li
Statistica Sinica 24 (2), 971-984, 2014
262014
The global weighted LAD estimators for finite/infinite variance ARMA(p, q) models
K Zhu, S Ling
Econometric Theory 28 (5), 1065-1086, 2012
242012
A new Pearson-type QMLE for conditionally heteroskedastic models
K Zhu, WK Li
Journal of Business & Economic Statistics 33 (4), 552-565, 2015
222015
Modeling normalcy-dominant ordinal time series: An application to air quality level
M Liu, F Zhu, K Zhu
Journal of Time Series Analysis 43 (3), 460-478, 2022
202022
Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations
M Chen, K Zhu
Journal of Econometrics 189 (2), 313-320, 2015
202015
Statistical inference for autoregressive models under heteroscedasticity of unknown form
K Zhu
Annals of Statistics 47 (6), 3185-3215, 2019
172019
Non-standard inference for augmented double autoregressive models with null volatility coefficients
F Jiang, D Li, K Zhu
Journal of Econometrics 215 (1), 165-183, 2020
162020
A mixed portmanteau test for ARMA‐GARCH models by the quasi‐maximum exponential likelihood estimation approach
K Zhu
Journal of Time Series Analysis 34 (2), 230-237, 2013
162013
Model checks for nonlinear cointegrating regression
Q Wang, D Wu, K Zhu
Journal of Econometrics 207 (2), 261-284, 2018
152018
Time series models for realized covariance matrices based on the matrix-F distribution
J Zhou, F Jiang, K Zhu, WK Li
Statistica Sinica 32 (2), 755-786, 2022
142022
New HSIC-based tests for independence between two stationary multivariate time series
G Wang, WK Li, K Zhu
Statistica Sinica 31 (1), 269-300, 2021
132021
Testing for the martingale difference hypothesis in multivariate time series models
G Wang, K Zhu, X Shao
Journal of Business & Economic Statistics 40 (3), 980-994, 2022
122022
Model-based pricing for financial derivatives
K Zhu, S Ling
Journal of Econometrics 187 (2), 447-457, 2015
122015
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Articles 1–20