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Chen, Min and Zhu, Ke (2013): Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations.

Chen, Min and Zhu, Ke (2014): Sign-based specification tests for martingale difference with conditional heteroscedasity.

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Gao, Yan and Zhang, Xinyu and Wang, Shouyang and Chong, Terence Tai Leung and Zou, Guohua (2017): Frequentist model averaging for threshold models. Forthcoming in: Annals of the Institute of Statistical Mathematics

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Li, Dong and Ling, Shiqing and Zhu, Ke (2016): ZD-GARCH model: a new way to study heteroscedasticity.

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Zhu, Ke (2015): Bootstrapping the portmanteau tests in weak auto-regressive moving average models.

Zhu, Ke and Li, Wai Keung and Yu, Philip L.H. (2014): Buffered autoregressive models with conditional heteroscedasticity: An application to exchange rates.

Zhu, Ke and Ling, Shiqing (2013): Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models. Published in: Annals of Statistics , Vol. 39, No. 4 (2011): pp. 2131-2163.

Zhu, Ke and Ling, Shiqing (2014): Model-based pricing for financial derivatives.