Associate Professor, University of Hong Kong

Jul 2022 - Current

Assistant Professor, University of Hong Kong

Jul 2016 - Jul 2022

Assistant/Associate Professor, Chinese Academy of Sciences

Jan 2011 - Jul 2016

Ph.D in Statistics, Hong Kong University of Science and Technology

2006 - 2010

B.Sc in Mathematics, University of Science and Technology of China

2002 - 2006

Fellow, International Statistical Institute

Since 2023

Fellow, Journal of Econometrics

Since 2023

Machine learning in finance

• Zhu, Z. and Zhu, K. (2024), Enhancement of price trend trading strategies via image-induced importance weights. PDF Codes


• Zhu, Z., Zhang, N. and Zhu, K. (2024), Big portfolio selection by graph-based conditional moments method. Journal of Empirical Finance 78, 101533. PDF Journal Link Codes


• Yang, X., Zhu, Z., Li, D. and Zhu, K. (2024), Asset pricing via the conditional quantile variational autoencoder. Journal of Business & Economic Statistics 42, 681-694. PDF Journal Link Codes

Causal inference

• Zhang, N., Yu, H. and Zhu, K. (2024), How effective is the regional joint environmental policy in China? Evidence from inverse difference-in-differences. To appear in Journal of Agricultural, Biological, and Environmental Statistics. PDF Journal Link News report from China Environment News (In Chinese)


• Cheung, Y.Y.H., Lam, K.F., Zhang, H., Kwan, C.W., Wat, K.P., Zhang, Z., Zhu, K., Cheung, Y.K. and Yin, G. (2023), A randomized controlled experiment for comparing face-to-face and online teaching during COVID-19 pandemic. Frontiers in Education, 8. PDF Journal Link


• Gong, H. and Zhu, K. (2022), Info intervention and its causal calculus. In 1st Conference on Causal Learning and Reasoning, California, United States. PDF Journal Link

Panel data analysis

• Su, B. and Zhu, K. (2024), Inference for the panel ARMA-GARCH model when both N and T are large. PDF Codes


• Su, B. Zhu, F. and Zhu, K. (2023), Logarithmic spatial heteroscedasticity model with exogenous variables: An application to house selling prices in Ohio. PDF

Time series analysis

• Yu, C., Zhu, Z. and Zhu, K. (2025), Tensor dynamic conditional correlation model: A new way to pursuit "Holy Grail of investing". PDF


• Song, K., Jiang, F. and Zhu, K. (2024), Estimation for conditional moment models based on martingale difference divergence. To appear in Journal of Time Series Analysis. PDF Journal Link Codes


• Yu, C., Li, D., Jiang, F. and Zhu, K. (2024), Matrix GARCH model: Inference and application. To appear in Journal of the American Statistical Association. PDF Journal Link Codes


• Zhang, N. and Zhu, K. (2023), Quantiled conditional variance, skewness, and kurtosis by Cornish-Fisher expansion. PDF Codes


• Zhu, K. (2023), A new generalized exponentially weighted moving average quantile model and its statistical inference. Journal of Econometrics 237, 105510. PDF Journal Link Supplement+Codes


• Jiang, F., Li, D., Li, W.K. and Zhu, K. (2023), Testing and modelling for the structural change in covariance matrix time series with multiplicative form. Statistica Sinica 33, 787-818. PDF Journal Link


• Ling, S. and Zhu, K. (2022), Self-weighted LSE and residual-based QMLE of ARMA-GARCH models. Journal of Risk and Financial Management 15, 90. PDF Journal Link


• Liu, M., Zhu, F. and Zhu, K. (2022), Modeling normalcy-dominant ordinal time series: An application to air quality level. Journal of Time Series Analysis 43, 460-478. PDF Journal Link


• Zhou, J., Jiang, F., Zhu, K. and Li, W.K. (2022), Time series models for realized covariance matrices based on the matrix-F distribution. Statistica Sinica 32, 755-786. PDF Journal Link


• Wang, G., Zhu, K., Li, G. and Li, W.K. (2022), Hybrid quantile estimation for asymmetric power GARCH models. Journal of Econometrics 227, 264-284. PDF Journal Link


• Jiang, F., Li, D. and Zhu, K. (2021), Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model. Journal of Econometrics 224, 306-329. PDF Journal Link


• Jiang, F., Li, D. and Zhu, K. (2020), Non-standard inference for augmented double autoregressive models with null volatility coefficients. Journal of Econometrics 215, 165-183. PDF Journal Link


• Li, D. and Zhu, K. (2020), Inference for asymmetric exponentially weighted moving average models. Journal of Time Series Analysis 41, 154-162. PDF Journal Link


• Zhu, K. (2019), Statistical inference for autoregressive models under heteroscedasticity of unknown form. Annals of Statistics 47, 3185-3215. PDF Journal Link


• Li, D., Guo, S. and Zhu, K. (2019), Double AR model without intercept: An alternative to modeling nonstationarity and heteroscedasticity. Econometric Reviews 38, 319-331. PDF Journal Link


• Li, D., Zhang, X., Zhu, K. and Ling, S. (2018), The ZD-GARCH model: A new way to study heteroscedasticity. Journal of Econometrics 202, 1-17. PDF Journal Link


• Zhu, K., Li, W.K. and Yu, P.L.H. (2017), Buffered autoregressive models with conditional heteroscedasticity: An application to exchange rates. Journal of Business & Economic Statistics 35, 528-542. PDF Journal Link


• Zhu, K. and Li, W.K. (2015), A new Pearson-type QMLE for conditionally heteroskedastic models. Journal of Business & Economic Statistics 33, 552-565. PDF Journal Link


• Zhu, K. and Ling, S. (2015), LADE-based inference for ARMA models with unspecified and heavy-tailed heteroscedastic noises. Journal of the American Statistical Association 110, 784-794. PDF Journal Link


• Zhu, K. and Ling, S. (2015), Model-based pricing for financial derivatives. Journal of Econometrics 187, 447-457. PDF Journal Link


• Guo, S., Ling, S. and Zhu, K. (2014), Factor double autoregressive models with application to simultaneous causality testing. Journal of Statistical Planning and Inference 148, 82-94. PDF Journal Link


• Zhu, K. and Ling, S. (2013), Quasi-maximum exponential likelihood estimators for a double AR(p) model. Statistica Sinica 23, 251-270. PDF Journal Link


• Zhu, K. and Ling, S. (2012), The Global weighted LAD estimators for finite/infinite variance ARMA(p, q) models. Econometric Theory 28, 1065-1086. PDF Journal Link


• Zhu, K. and Ling, S. (2011), Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models. Annals of Statistics 39, 2131-2163. PDF Journal Link

Goodness-of-fit testing

• Luo, D., Zhu, K., Gong, H. and Li, D. (2023), Testing error distribution by kernelized Stein discrepancy in multivariate time series models. Journal of Business & Economic Statistics 41, 111-125. PDF Journal Link Codes


• Wang, G., Zhu, K. and Shao, X. (2022), Testing for the martingale difference hypothesis in multivariate time series models. Journal of Business & Economic Statistics 40, 980-994. PDF Journal Link


• Liu, M., Zhu, F. and Zhu, K. (2022), Multifrequency-band tests for white noise under heteroskedasticity. Journal of Business & Economic Statistics 40, 799-814. PDF Journal Link


• Wang, G., Li, W.K. and Zhu, K. (2021), New HSIC-based tests for independence between two stationary multivariate time series. Statistica Sinica 31, 269-300. PDF Journal Link


• Zhu, K. (2020), Hausman tests for the error distribution in conditionally heteroskedastic models. PDF


• Wang, Q. and Zhu, K. (2020), On a measure of lack of fit in nonlinear cointegrating regression with endogeneity. Statistica Sinica 30, 371-396. PDF Journal Link


• Wang, Q., Wu, D. and Zhu, K. (2018), Model checks for nonlinear cointegrating regression. Journal of Econometrics 207, 261-284. PDF Journal Link


• Zhu, K. (2016), Bootstrapping the portmanteau tests in weak auto-regressive moving average models. Journal of the Royal Statistical Society, Series B 78, 463-485. PDF Journal Link Codes


• Chen, M. and Zhu, K. (2015), Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations. Journal of Econometrics 189, 313-320. PDF Journal Link


• Zhu, K. and Li, W.K. (2015), A bootstrapped spectral test for adequacy in weak ARMA models. Journal of Econometrics 187, 113-130. PDF Journal Link


• Zhu, K., Yu, P.L.H. and Li, W.K. (2014), Testing for the buffered autoregressive processes. Statistica Sinica 24, 971-984. PDF Journal Link


• Ling, S., Zhu, K. and Chong, C.Y. (2013), Diagnostic checking for non-stationary ARMA models with an application to financial data. North American Journal of Economics and Finance 26, 624-639. PDF Journal Link


• Zhu, K. (2013), A mixed portmanteau test for ARMA-GARCH model by the quasi-maximum exponential likelihood estimation approach. Journal of Time Series Analysis 34, 230-237. PDF Journal Link


• Zhu, K. and Ling, S. (2012), Likelihood ratio tests for the structural change of an AR(p) model to a threshold AR(p) model. Journal of Time Series Analysis 33, 223-232. PDF Journal Link