90 citations · 100 across the 17 of their papers we have counts for
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math.ST2019★ 1 cited
Time series models for realized covariance matrices based on the matrix-F distribution
Jiayuan Zhou, Feiyu Jiang, Ke Zhu +1
We propose a new Conditional BEKK matrix-F (CBF) model for the time-varying realized covariance (RCOV) matrices. This CBF model is capable of capturing heavy-tailed RCOV, which is…
math.ST2015★ 1 cited
A Double AR Model Without Intercept: an Alternative to Modeling Nonstationarity and Heteroscedasticity
Dong Li, Shaojun Guo, Ke Zhu
This paper presents a double AR model without intercept (DARWIN model) and provides us a new way to study the non-stationary heteroskedastic time series. It is shown that the DARWI…
math.ST2012★ 90 cited
Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA--GARCH/IGARCH models
Ke Zhu, Shiqing Ling
This paper investigates the asymptotic theory of the quasi-maximum exponential likelihood estimators (QMELE) for ARMA--GARCH models. Under only a fractional moment condition, the s…