Ke Zhu : Citation Profile


Are you Ke Zhu?

3

H index

0

i10 index

34

Citations

RESEARCH PRODUCTION:

17

Articles

22

Papers

RESEARCH ACTIVITY:

   8 years (2012 - 2020). See details.
   Cites by year: 4
   Journals where Ke Zhu has often published
   Relations with other researchers
   Recent citing documents: 11.    Total self citations: 18 (34.62 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pzh444
   Updated: 2020-09-22    RAS profile: 2020-06-01    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Ke Zhu.

Is cited by:

McAleer, Michael (10)

Chang, Chia-Lin (7)

Tong, Howell (4)

Allen, David (2)

Silvennoinen, Annastiina (2)

Teräsvirta, Timo (2)

Francq, Christian (2)

Zakoian, Jean-Michel (2)

Amado, Cristina (2)

Phillips, Peter (2)

Taspinar, Suleyman (1)

Cites to:

Bollerslev, Tim (36)

Zakoian, Jean-Michel (33)

Engle, Robert (29)

Ling, Shiqing (29)

Francq, Christian (28)

Phillips, Peter (20)

Hong, Yongmiao (16)

Escanciano, Juan Carlos (16)

Lobato, Ignacio (12)

McAleer, Michael (11)

Granger, Clive (10)

Main data


Where Ke Zhu has published?


Journals with more than one article published# docs
Journal of Econometrics6
Journal of Business & Economic Statistics3
Journal of Time Series Analysis3

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany15
Papers / arXiv.org7

Recent works citing Ke Zhu (2020 and 2019)


YearTitle of citing document
2020Forecasting volatility with a stacked model based on a hybridized Artificial Neural Network. (2020). Alonso-Gonz, P J ; Ramos, E ; J. J. N'u~nez-Vel'azquez, . In: Papers. RePEc:arx:papers:2006.16383.

Full description at Econpapers || Download paper

2020Testing error distribution by kernelized Stein discrepancy in multivariate time series models. (2020). Zhu, KE ; Luo, Donghang ; Li, Dong ; Gong, Huan . In: Papers. RePEc:arx:papers:2008.00747.

Full description at Econpapers || Download paper

2020Robust Tests for White Noise and Cross-Correlation. (2020). Phillips, Peter ; Giraitis, Liudas ; Dalla, Violetta. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2194r.

Full description at Econpapers || Download paper

2019Testing the white noise hypothesis of stock returns. (2019). Hill, Jonathan B ; Motegi, Kaiji. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:231-242.

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2019Strict stationarity testing and GLAD estimation of double autoregressive models. (2019). Li, Dong ; Guo, Shaojun. In: Journal of Econometrics. RePEc:eee:econom:v:211:y:2019:i:2:p:319-337.

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2020Estimation for double-nonlinear cointegration. (2020). Yao, Qiwei ; Tu, Yundong ; Lin, Yingqian. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:175-191.

Full description at Econpapers || Download paper

2019Ridesourcing systems: A framework and review. (2019). Yang, Hai ; Wang, Hai. In: Transportation Research Part B: Methodological. RePEc:eee:transb:v:129:y:2019:i:c:p:122-155.

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2019On the Validity of Tests for Asymmetry in Residual-Based Threshold Cointegration Models. (2019). Schweikert, Karsten ; Schild, Karl-Heinz. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:1:p:12-:d:213519.

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2020Adaptiveness of the empirical distribution of residuals in semi- parametric conditional location scale models. (2020). Zakoian, Jean-Michel ; Francq, Christian. In: Working Papers. RePEc:hal:wpaper:hal-02898909.

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2019Testing the existence of moments for GARCH processes. (2019). Zakoian, Jean-Michel ; Francq, Christian. In: MPRA Paper. RePEc:pra:mprapa:98892.

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2020Robust Tests for White Noise and Cross-Correlation. (2020). , Peter ; PEter, ; Giraitis, Liudas ; Dalla, Violetta. In: Working Papers. RePEc:qmw:qmwecw:906.

Full description at Econpapers || Download paper

Works by Ke Zhu:


YearTitleTypeCited
2018Statistical inference for autoregressive models under heteroscedasticity of unknown form In: Papers.
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2018New HSIC-based tests for independence between two stationary multivariate time series In: Papers.
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2020Time series models for realized covariance matrices based on the matrix-F distribution In: Papers.
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2019Non-standard inference for augmented double autoregressive models with null volatility coefficients In: Papers.
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paper0
2020Non-standard inference for augmented double autoregressive models with null volatility coefficients.(2020) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 0
article
2020Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model In: Papers.
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paper0
2019Hybrid quantile estimation for asymmetric power GARCH models In: Papers.
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paper1
2020Multi-frequency-band tests for white noise under heteroskedasticity In: Papers.
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paper0
2016Bootstrapping the portmanteau tests in weak auto-regressive moving average models In: Journal of the Royal Statistical Society Series B.
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article1
2015Bootstrapping the portmanteau tests in weak auto-regressive moving average models.(2015) In: MPRA Paper.
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This paper has another version. Agregated cites: 1
paper
2012Likelihood ratio tests for the structural change of an AR(p) model to a Threshold AR(p) model In: Journal of Time Series Analysis.
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article0
2013A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach In: Journal of Time Series Analysis.
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article4
2012A mixed portmanteau test for ARMA-GARCH model by the quasi-maximum exponential likelihood estimation approach.(2012) In: MPRA Paper.
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This paper has another version. Agregated cites: 4
paper
2020Inference for asymmetric exponentially weighted moving average models In: Journal of Time Series Analysis.
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article0
2012THE GLOBAL WEIGHTED LAD ESTIMATORS FOR FINITE/INFINITE VARIANCE ARMA(p,q) MODELS In: Econometric Theory.
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article1
2013Diagnostic checking for non-stationary ARMA models with an application to financial data In: The North American Journal of Economics and Finance.
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article2
2015A bootstrapped spectral test for adequacy in weak ARMA models In: Journal of Econometrics.
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article2
2013A bootstrapped spectral test for adequacy in weak ARMA models.(2013) In: MPRA Paper.
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This paper has another version. Agregated cites: 2
paper
2015Model-based pricing for financial derivatives In: Journal of Econometrics.
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article7
2014Model-based pricing for financial derivatives.(2014) In: MPRA Paper.
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This paper has another version. Agregated cites: 7
paper
2015Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations In: Journal of Econometrics.
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article3
2013Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations.(2013) In: MPRA Paper.
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This paper has another version. Agregated cites: 3
paper
2018The ZD-GARCH model: A new way to study heteroscedasticity In: Journal of Econometrics.
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article4
2016ZD-GARCH model: a new way to study heteroscedasticity.(2016) In: MPRA Paper.
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This paper has another version. Agregated cites: 4
paper
2018Model checks for nonlinear cointegrating regression In: Journal of Econometrics.
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article2
2013Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models In: MPRA Paper.
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paper0
2013Factor double autoregressive models with application to simultaneous causality testing In: MPRA Paper.
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2013Testing for the buffered autoregressive processes In: MPRA Paper.
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paper1
2013A new Pearson-type QMLE for conditionally heteroskedastic models In: MPRA Paper.
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paper3
2014A new Pearson-type QMLE for conditionally heteroskedastic models.(2014) In: MPRA Paper.
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This paper has another version. Agregated cites: 3
paper
2015A New Pearson-Type QMLE for Conditionally Heteroscedastic Models.(2015) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 3
article
2014Buffered autoregressive models with conditional heteroscedasticity: An application to exchange rates In: MPRA Paper.
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paper3
2017Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates.(2017) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 3
article
2014Sign-based specification tests for martingale difference with conditional heteroscedasity In: MPRA Paper.
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paper0
2014LADE-based inference for ARMA models with unspecified and heavy-tailed heteroscedastic noises In: MPRA Paper.
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paper0
2015LADE-Based Inference for ARMA Models With Unspecified and Heavy-Tailed Heteroscedastic Noises.(2015) In: Journal of the American Statistical Association.
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This paper has another version. Agregated cites: 0
article
2015Hausman tests for the error distribution in conditionally heteroskedastic models In: MPRA Paper.
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paper0
2019Double AR model without intercept: An alternative to modeling nonstationarity and heteroscedasticity In: Econometric Reviews.
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article0
2014Comment In: Journal of Business & Economic Statistics.
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