Selected Publications: ('*': Corresponding author, '^': Alphabetical order, '#': Student)
Accepted:
Zhang, T., Wang, C., Zhu, H., & Wong, G. (2024). piRNA target prediction using a Long short-term memory (LSTM)-attention model. BMC Bioinformatics, 26(1), 50.
Zhu, H., & Liu, Z. (2024). On bivariate time-varying price staleness. Journal of Business & Economic Statistics, 42(1), 229-242.
Zhu, H., Bai, L., He, L., & Liu, Z. (2023). Forecasting realized volatility with machine learning: Panel data perspective. Journal of Empirical Finance, 73, 251-271.
Working Papers:
Liu, Z., & Zhu, H.^* (2024). Bias-corrected covariance estimation in presence of price staleness. Submitted. Available at https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4138067
Zhu, H., Liu, Q., & Liu, Z. (2025). Estimation of volatility functionals with time-varying price staleness. R&R at Econometric Theory. Available at https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4857801
Liu, W., Liu, Z., & Zhu, H.^*(2025). Statistical inference for multivariate price staleness. R&R.
Cui, W., & Zhu, H.^* (2025). When Asynchronicity Meets Price Staleness: Robust Estimation of High-frequency Covariance. Submitted. Available at https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5144267
Zhang, T., & Zhu, H.^* (2025). Library Size-Stabilized Metacells Construction Enhances Co-Expression Network Analysis in Single-Cell Data. Submitted.
Zhao, Y.#, & Zhu, H.^* (2025). A Nonparametric test for time-varying Systematic Staleness with High-frequency Data. Submitted. Available at https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5233187.
Working in Progress:
A two-directional periodic spot volatility forecasting (with Dahao Tan#)
The leverage effect puzzle revisited: Zeros (with Mathias Vetter)
On High-frequency Illiquidity Network (with Wenhao Cui)