2 citations · 5 across the 6 of their papers we have counts for
5 papers · 1 filter
Estimation for conditional moment models based on martingale difference divergence
Kunyang Song, Feiyu Jiang, Ke Zhu
We provide a new estimation method for conditional moment models via the martingale difference divergence (MDD).Our MDD-based estimation method is formed in the framework of a cont…
Testing error distribution by kernelized Stein discrepancy in multivariate time series models
Donghang Luo, Ke Zhu, Huan Gong +1
Knowing the error distribution is important in many multivariate time series applications. To alleviate the risk of error distribution mis-specification, testing methodologies are…
Multi-frequency-band tests for white noise under heteroskedasticity
Mengya Liu, Fukan Zhu, Ke Zhu
This paper proposes a new family of multi-frequency-band (MFB) tests for the white noise hypothesis by using the maximum overlap discrete wavelet packet transform (MODWPT). The MOD…
Hybrid quantile estimation for asymmetric power GARCH models
Guochang Wang, Ke Zhu, Guodong Li +1
Asymmetric power GARCH models have been widely used to study the higher order moments of financial returns, while their quantile estimation has been rarely investigated. This paper…
Non-standard inference for augmented double autoregressive models with null volatility coefficients
Feiyu Jiang, Dong Li, Ke Zhu
This paper considers an augmented double autoregressive (DAR) model, which allows null volatility coefficients to circumvent the over-parameterization problem in the DAR model. Sin…