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Group by: Date | Item ID
Number of items: 15.

31 July 2012

Zhu, Ke (2012): A mixed portmanteau test for ARMA-GARCH model by the quasi-maximum exponential likelihood estimation approach.

8 October 2013

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

6 November 2013

Zhu, Ke and Li, Wai-Keung (2013): A bootstrapped spectral test for adequacy in weak ARMA models.

9 November 2013

Guo, Shaojun and Ling, Shiqing and Zhu, Ke (2013): Factor double autoregressive models with application to simultaneous causality testing.

17 November 2013

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.

25 November 2013

Zhu, Ke and Yu, Philip L.H. and Li, Wai Keung (2013): Testing for the buffered autoregressive processes.

18 December 2013

Zhu, Ke and Li, Wai Keung (2013): A new Pearson-type QMLE for conditionally heteroskedastic models.

6 January 2014

Zhu, Ke and Li, Wai Keung (2014): A new Pearson-type QMLE for conditionally heteroskedastic models.

22 February 2014

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

1 June 2014

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

12 June 2014

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

12 October 2014

Zhu, Ke and Ling, Shiqing (2014): LADE-based inference for ARMA models with unspecified and heavy-tailed heteroscedastic noises.

6 February 2015

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

30 September 2015

Zhu, Ke (2015): Hausman tests for the error distribution in conditionally heteroskedastic models.

1 January 2016

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

This list was generated on Tue Nov 19 14:52:45 2019 CET.
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