Zhu, Ke (2012): A mixed portmanteau test for ARMA-GARCH model by the quasi-maximum exponential likelihood estimation approach.
Chen, Min and Zhu, Ke (2013): Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations.
Zhu, Ke and Li, Wai-Keung (2013): A bootstrapped spectral test for adequacy in weak ARMA models.
Guo, Shaojun and Ling, Shiqing and Zhu, Ke (2013): Factor double autoregressive models with application to simultaneous causality testing.
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 Yu, Philip L.H. and Li, Wai Keung (2013): Testing for the buffered autoregressive processes.
Zhu, Ke and Li, Wai Keung (2013): A new Pearson-type QMLE for conditionally heteroskedastic models.
Zhu, Ke and Li, Wai Keung (2014): A new Pearson-type QMLE for conditionally heteroskedastic models.
Zhu, Ke and Li, Wai Keung and Yu, Philip L.H. (2014): Buffered autoregressive models with conditional heteroscedasticity: An application to exchange rates.
Chen, Min and Zhu, Ke (2014): Sign-based specification tests for martingale difference with conditional heteroscedasity.
Zhu, Ke and Ling, Shiqing (2014): Model-based pricing for financial derivatives.
Zhu, Ke and Ling, Shiqing (2014): LADE-based inference for ARMA models with unspecified and heavy-tailed heteroscedastic noises.
Zhu, Ke (2015): Bootstrapping the portmanteau tests in weak auto-regressive moving average models.
Zhu, Ke (2015): Hausman tests for the error distribution in conditionally heteroskedastic models.
Li, Dong and Ling, Shiqing and Zhu, Ke (2016): ZD-GARCH model: a new way to study heteroscedasticity.
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