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Self-weighted LSE and residual-based QMLE of ARMA-GARCH models

Ling, Shiqing; Zhu, Ke - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-17

This paper studies the self-weighted least squares estimator (SWLSE) of the ARMA model with GARCH noises. It is shown that the SWLSE is consistent and asymptotically normal when the GARCH noise does not have a finite fourth moment. Using the residuals from the estimated ARMA model, it is shown...

Persistent link: https://www.econbiz.de/10012888234

Multifrequency-band tests for white noise under heteroscedasticity

Liu, Mengya; Zhu, Fukang; Zhu, Ke - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 799-814

Persistent link: https://www.econbiz.de/10013534533

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

Jiang, Feiyu; Li, Dong; Zhu, Ke - In: Journal of econometrics 215 (2020) 1, pp. 165-183

Persistent link: https://www.econbiz.de/10012439437

Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model

Jiang, Feiyu; Li, Dong; Zhu, Ke - In: Journal of econometrics 224 (2021) 2, pp. 306-329

Persistent link: https://www.econbiz.de/10013275393

Hybrid quantile estimation for asymmetric power GARCH models

Wang, Guochang; Zhu, Ke; Li, Guodong; Li, Wai Keung - In: Journal of econometrics 227 (2022) 1, pp. 264-284

Persistent link: https://www.econbiz.de/10013441656

Testing error distribution by kernelized Stein discrepancy in multivariate time series models

Luo, Donghang; Zhu, Ke; Gong, Huan; Li, Dong - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 1, pp. 111-125

Persistent link: https://www.econbiz.de/10013540650

A new generalized exponentially weighted moving average quantile model and its statistical inference

Zhu, Ke - In: Journal of econometrics 237 (2023) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10014471471