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Ke Zhu

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This is information that was supplied by Ke Zhu in registering through RePEc. If you are Ke Zhu , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Ke
Middle Name:
Last Name: Zhu
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RePEc Short-ID: pzh444

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Affiliation

中国科学院,数学院 (Chinese Academy of Sciences--Institute of Applied Mathematics)
Homepage: http://www.amss.ac.cn/
Location: China, Beijing

Works

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Working papers

  1. Chen, Min & Zhu, Ke, 2014. "Sign-based specification tests for martingale difference with conditional heteroscedasity," MPRA Paper 56347, University Library of Munich, Germany.
  2. Zhu, Ke & Ling, Shiqing, 2014. "Model-based pricing for financial derivatives," MPRA Paper 56623, University Library of Munich, Germany.
  3. Zhu, Ke & Li, Wai Keung & Yu, Philip L.H., 2014. "Buffered autoregressive models with conditional heteroscedasticity: An application to exchange rates," MPRA Paper 53874, University Library of Munich, Germany.
  4. Chen, Min & Zhu, Ke, 2013. "Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations," MPRA Paper 50487, University Library of Munich, Germany.
  5. Zhu, Ke & Ling, Shiqing, 2013. "Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models," MPRA Paper 51509, University Library of Munich, Germany.
  6. Zhu, Ke & Li, Wai Keung, 2013. "A new Pearson-type QMLE for conditionally heteroskedastic models," MPRA Paper 52344, University Library of Munich, Germany.
  7. Zhu, Ke & Li, Wai-Keung, 2013. "A bootstrapped spectral test for adequacy in weak ARMA models," MPRA Paper 51224, University Library of Munich, Germany.
  8. Guo, Shaojun & Ling, Shiqing & Zhu, Ke, 2013. "Factor double autoregressive models with application to simultaneous causality testing," MPRA Paper 51570, University Library of Munich, Germany.
  9. Zhu, Ke & Yu, Philip L.H. & Li, Wai Keung, 2013. "Testing for the buffered autoregressive processes," MPRA Paper 51706, University Library of Munich, Germany.
  10. Zhu, Ke, 2012. "A mixed portmanteau test for ARMA-GARCH model by the quasi-maximum exponential likelihood estimation approach," MPRA Paper 40382, University Library of Munich, Germany.

Articles

  1. Ling, Shiqing & Zhu, Ke & Yee, Chong Ching, 2013. "Diagnostic checking for non-stationary ARMA models with an application to financial data," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 624-639.
  2. Ke. Zhu, 2013. "A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(2), pages 230-237, 03.
  3. Zhu, Ke & Ling, Shiqing, 2012. "THE GLOBAL WEIGHTED LAD ESTIMATORS FOR FINITE/INFINITE VARIANCE ARMA(p,q) MODELS," Econometric Theory, Cambridge University Press, vol. 28(05), pages 1065-1086, October.
  4. Ke Zhu & Shiqing Ling, 2012. "Likelihood ratio tests for the structural change of an AR(p) model to a Threshold AR(p) model," Journal of Time Series Analysis, Wiley Blackwell, vol. 33(2), pages 223-232, 03.

NEP Fields

11 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (9) 2012-08-23 2013-10-18 2013-11-14 2013-11-22 2013-11-29 2013-12-06 2013-12-29 2014-03-01 2014-06-22. Author is listed
  2. NEP-ETS: Econometric Time Series (8) 2012-08-23 2013-10-18 2013-11-14 2013-11-22 2013-11-29 2013-12-06 2014-01-17 2014-03-01. Author is listed
  3. NEP-ORE: Operations Research (6) 2013-11-14 2013-11-22 2013-12-06 2013-12-29 2014-01-17 2014-03-01. Author is listed

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