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Scopus Author ID: 47062465700

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Employment (2)

University of Hong Kong: Hong Kong, HK

2016-07-15 to present | Assistant Professor (Department of Statistics and Actuarial Science)
Employment
Source: Self-asserted source
Ke Zhu

Chinese Academy of Sciences: Beijing, Beijing, CN

2012-01-06 to 2016-07-15 | Assistant Professor (Institue of Applied Mathematics)
Employment
Source: Self-asserted source
Ke Zhu

Education and qualifications (2)

Hong Kong University of Science and Technology: Kowloon, HK

2006-09-01 to 2011-04-01 | PhD (Mathematics)
Education
Source: Self-asserted source
Ke Zhu

University of Science and Technology of China: Hefei, Anhui, CN

2002-08-01 to 2006-07-31 | BSc (Mathematics)
Education
Source: Self-asserted source
Ke Zhu

Funding (5)

Implied conditional moments and their applications in time series analysis

2021-04-01 to present | Grant
University Grants Committee (Hong Kong, CN)
URL: https://app.dimensions.ai/details/grant/grant.9735737
GRANT_NUMBER: 17304421
Source: Self-asserted source
Ke Zhu via DimensionsWizard

Non-stationary matrix time series analysis

2019-07 to present | Grant
Research Grants Council, University Grants Committee (Hong Kong, HK)
GRANT_NUMBER:

17305619
Source: Self-asserted source
Ke Zhu

On Some New Tests for Multivariate Time Series Models

2018-07 to present | Grant
Research Grants Council, University Grants Committee (Hong Kong, HK)
GRANT_NUMBER:

17306818
Source: Self-asserted source
Ke Zhu

A Study on Some Hypothesis Testing Problems in Time Series Analysis

2016-01 to 2019-12 | Grant
National Natural Science Foundation of China (Beijing, CN)
GRANT_NUMBER:

11571348
Source: Self-asserted source
Ke Zhu

Option Pricing in Models with Autoregressive Conditional Heteroscedasticity

2013-01-01 to 2015-12-31 | Grant
National Natural Science Foundation of China (Beijing, CN)
URL: https://app.dimensions.ai/details/grant/grant.7007012
GRANT_NUMBER: 11201459
Source: Self-asserted source
Ke Zhu
grade
Preferred source (of 2)‎

Works (34)

Matrix GARCH Model: Inference and Application

Journal of the American Statistical Association
2024-11-22 | Journal article
DOI: 10.1080/01621459.2024.2415719
Contributors: Cheng Yu; Dong Li; Feiyu Jiang; Ke Zhu
Source: check_circle
Crossref

Big portfolio selection by graph-based conditional moments method

Journal of Empirical Finance
2024-09 | Journal article
DOI: 10.1016/j.jempfin.2024.101533
Contributors: Zhoufan Zhu; Ningning Zhang; Ke Zhu
Source: check_circle
Crossref

How Effective is the Regional Joint Environmental Policy in China? Evidence from Inverse Difference-in-Differences

Journal of Agricultural, Biological and Environmental Statistics
2024-09-19 | Journal article
DOI: 10.1007/s13253-024-00655-5
Contributors: Ningning Zhang; Huayi Yu; Ke Zhu
Source: check_circle
Crossref

Asset Pricing via the Conditional Quantile Variational Autoencoder

Journal of Business & Economic Statistics
2024-04-02 | Journal article
DOI: 10.1080/07350015.2023.2223683
Contributors: Xuanling Yang; Zhoufan Zhu; Dong Li; Ke Zhu
Source: check_circle
Crossref

Modeling normalcy‐dominant ordinal time series: An application to air quality level

Journal of Time Series Analysis
2022-05 | Journal article
DOI: 10.1111/jtsa.12625
Contributors: Mengya Liu; Fukang Zhu; Ke Zhu
Source: check_circle
Crossref

Self-Weighted LSE and Residual-Based QMLE of ARMA-GARCH Models

Journal of Risk and Financial Management
2022-02-19 | Journal article
DOI: 10.3390/jrfm15020090
Contributors: Shiqing Ling; Ke Zhu
Source: check_circle
Crossref
grade
Preferred source (of 2)‎

Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model

Journal of Econometrics
2021 | Journal article
DOI: 10.1016/j.jeconom.2020.10.007
EID:

2-s2.0-85097449868

Part of ISSN: 18726895 03044076
Source: Self-asserted source
Ke Zhu
grade
Preferred source (of 2)‎

Multifrequency-Band Tests for White Noise Under Heteroscedasticity

Journal of Business and Economic Statistics
2021 | Journal article
DOI: 10.1080/07350015.2020.1870478
EID:

2-s2.0-85100846935

Part of ISSN: 15372707 07350015
Contributors: Liu, M.; Zhu, F.; Zhu, K.
Source: Self-asserted source
Ke Zhu via Scopus - Elsevier

New HSIC-based tests for independence between two stationary multivariate time series

Statistica Sinica
2021 | Journal article
DOI: 10.5705/ss.202018.0159
Part of ISSN: 1017-0405
Contributors: Guochang Wang; Wai Keung Li; Ke Zhu
Source: Self-asserted source
Ke Zhu via Crossref Metadata Search

Testing for the Martingale Difference Hypothesis in Multivariate Time Series Models

Journal of Business and Economic Statistics
2021 | Journal article
DOI: 10.1080/07350015.2021.1889568
EID:

2-s2.0-85102932921

Part of ISSN: 15372707 07350015
Contributors: Wang, G.; Zhu, K.; Shao, X.
Source: Self-asserted source
Ke Zhu via Scopus - Elsevier

Hybrid quantile estimation for asymmetric power GARCH models

Journal of Econometrics
2020 | Journal article
DOI: 10.1016/j.jeconom.2020.05.005
EID:

2-s2.0-85089256215

Part of ISSN: 18726895 03044076
Contributors: Wang, G.; Zhu, K.; Li, G.; Li, W.K.
Source: Self-asserted source
Ke Zhu via Scopus - Elsevier

Inference for asymmetric exponentially weighted moving average models

Journal of Time Series Analysis
2020 | Journal article
DOI: 10.1111/jtsa.12464
EID:

2-s2.0-85063378107
Contributors: Li, D.; Zhu, K.
Source: Self-asserted source
Ke Zhu via Scopus - Elsevier

Non-standard inference for augmented double autoregressive models with null volatility coefficients

Journal of Econometrics
2020 | Journal article
DOI: 10.1016/j.jeconom.2019.08.009
EID:

2-s2.0-85072624175
Contributors: Jiang, F.; Li, D.; Zhu, K.
Source: Self-asserted source
Ke Zhu via Scopus - Elsevier

On a measure of lack of fit in nonlinear cointegrating regression with endogeneity

Statistica Sinica
2020 | Journal article
DOI: 10.5705/ss.202017.0317
Part of ISSN: 1017-0405
Contributors: Qiying Wang; Ke Zhu
Source: Self-asserted source
Ke Zhu via Crossref Metadata Search
grade
Preferred source (of 2)‎

Statistical inference for autoregressive models under heteroscedasticity of unknown form

Annals of Statistics
2019 | Journal article
DOI: 10.1214/18-AOS1777
EID:

2-s2.0-85079032392
Contributors: Zhu, K.
Source: Self-asserted source
Ke Zhu via Scopus - Elsevier

Double AR model without intercept: An alternative to modeling nonstationarity and heteroscedasticity

Econometric Reviews
2019-06 | Journal article
DOI: 10.1080/07474938.2017.1310080
Part of ISSN: 0747-4938
Source: Self-asserted source
Ke Zhu
grade
Preferred source (of 2)‎

Model checks for nonlinear cointegrating regression

Journal of Econometrics
2018 | Journal article
DOI: 10.1016/j.jeconom.2018.08.002
EID:

2-s2.0-85052813291
Contributors: Wang, Q.; Wu, D.; Zhu, K.
Source: Self-asserted source
Ke Zhu via Scopus - Elsevier

The ZD-GARCH model: A new way to study heteroscedasticity

Journal of Econometrics
2018 | Journal article
DOI: 10.1016/j.jeconom.2017.09.003
EID:

2-s2.0-85032944627
Contributors: Li, D.; Zhang, X.; Zhu, K.; Ling, S.
Source: Self-asserted source
Ke Zhu via Scopus - Elsevier

Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates

Journal of Business and Economic Statistics
2017 | Journal article
DOI: 10.1080/07350015.2015.1123634
EID:

2-s2.0-85018715233
Contributors: Zhu, K.; Li, W.K.; Yu, P.L.H.
Source: Self-asserted source
Ke Zhu via Scopus - Elsevier

Bootstrapping the portmanteau tests in weak auto-regressive moving average models

Journal of the Royal Statistical Society. Series B: Statistical Methodology
2016 | Journal article
DOI: 10.1111/rssb.12112
EID:

2-s2.0-84956594287
Contributors: Zhu, K.
Source: Self-asserted source
Ke Zhu via Scopus - Elsevier

A bootstrapped spectral test for adequacy in weak ARMA models

Journal of Econometrics
2015 | Journal article
DOI: 10.1016/j.jeconom.2015.02.005
EID:

2-s2.0-84929617322
Contributors: Zhu, K.; Li, W.K.
Source: Self-asserted source
Ke Zhu via Scopus - Elsevier

A New Pearson-Type QMLE for Conditionally Heteroscedastic Models

Journal of Business and Economic Statistics
2015 | Journal article
DOI: 10.1080/07350015.2014.977446
EID:

2-s2.0-84945269825
Contributors: Zhu, K.; Li, W.K.
Source: Self-asserted source
Ke Zhu via Scopus - Elsevier

LADE-Based Inference for ARMA Models With Unspecified and Heavy-Tailed Heteroscedastic Noises

Journal of the American Statistical Association
2015 | Journal article
DOI: 10.1080/01621459.2014.977386
EID:

2-s2.0-84936751255
Contributors: Zhu, K.; Ling, S.
Source: Self-asserted source
Ke Zhu via Scopus - Elsevier

Model-based pricing for financial derivatives

Journal of Econometrics
2015 | Journal article
DOI: 10.1016/j.jeconom.2015.02.030
EID:

2-s2.0-84945489528
Contributors: Zhu, K.; Ling, S.
Source: Self-asserted source
Ke Zhu via Scopus - Elsevier

Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations

Journal of Econometrics
2015 | Journal article
DOI: 10.1016/j.jeconom.2015.03.025
EID:

2-s2.0-84945463814
Contributors: Chen, M.; Zhu, K.
Source: Self-asserted source
Ke Zhu via Scopus - Elsevier

Comment

Journal of Business and Economic Statistics
2014 | Journal article
DOI: 10.1080/07350015.2014.907059
EID:

2-s2.0-84925936569
Contributors: Ling, S.; Zhu, K.
Source: Self-asserted source
Ke Zhu via Scopus - Elsevier

Factor double autoregressive models with application to simultaneous causality testing

Journal of Statistical Planning and Inference
2014 | Journal article
DOI: 10.1016/j.jspi.2013.12.007
EID:

2-s2.0-84897640281
Contributors: Guo, S.; Ling, S.; Zhu, K.
Source: Self-asserted source
Ke Zhu via Scopus - Elsevier

Testing for the buffered autoregressive processes

Statistica Sinica
2014 | Journal article
DOI: 10.5705/ss.2012.311
EID:

2-s2.0-84930716431
Contributors: Zhu, K.; Yu, P.L.H.; Li, W.K.
Source: Self-asserted source
Ke Zhu via Scopus - Elsevier

A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach

Journal of Time Series Analysis
2013 | Journal article
DOI: 10.1111/jtsa.12007
EID:

2-s2.0-84874190703
Contributors: Zhu, K.
Source: Self-asserted source
Ke Zhu via Scopus - Elsevier

Diagnostic checking for non-stationary ARMA models with an application to financial data

North American Journal of Economics and Finance
2013 | Journal article
DOI: 10.1016/j.najef.2013.02.025
EID:

2-s2.0-84888436689
Contributors: Ling, S.; Zhu, K.; Yee, C.C.
Source: Self-asserted source
Ke Zhu via Scopus - Elsevier

Quasi-maximum exponential likelihood estimators for a double AR(p) model

Statistica Sinica
2013 | Journal article
DOI: 10.5705/ss.2011.086
EID:

2-s2.0-84884240655
Contributors: Zhu, K.; Ling, S.
Source: Self-asserted source
Ke Zhu via Scopus - Elsevier

Likelihood ratio tests for the structural change of an AR(p) model to a Threshold AR(p) model

Journal of Time Series Analysis
2012 | Journal article
DOI: 10.1111/j.1467-9892.2011.00753.x
EID:

2-s2.0-84858003749
Contributors: Zhu, K.; Ling, S.
Source: Self-asserted source
Ke Zhu via Scopus - Elsevier

The global weighted lad estimators for finite/infinite variance arma(p,q) models

Econometric Theory
2012 | Journal article
DOI: 10.1017/S0266466612000059
EID:

2-s2.0-84869447338
Contributors: Zhu, K.; Ling, S.
Source: Self-asserted source
Ke Zhu via Scopus - Elsevier

Global self-weighted and local quasi-maximum exponential likelihood estimators for arma-garch/igarch models

Annals of Statistics
2011 | Journal article
DOI: 10.1214/11-AOS895
EID:

2-s2.0-84869388467
Contributors: Zhu, K.; Ling, S.
Source: Self-asserted source
Ke Zhu via Scopus - Elsevier
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