• PhD：University of Macau (Mathematics)

• MS：Rutgers University, New Brunswick (Mathematical Finance)

• BS：University of Macau (Applied Mathematics)

Statistical inference for stochastic process

high-frequency financial econometrics

machine learning in finance

bioinformatics

Selected Publications: ('*': Corresponding author, '^': Alphabetical order, '#': Student)

Accepted:

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. (2024). Estimation of volatility functionals with time-varying price staleness. Submitted. Available at https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4857801

Liu, W., Liu, Z., & Zhu, H.^* (2024). Statistical inference for multivariate price staleness. Submitted.

Zhang, T., Wang, C., Zhu, H., & Wong, G. (2024). piRNA target prediction using a Long short-term memory (LSTM)-attention model. Submitted.

Cui, W., & Zhu, H.^ (2024). When When Asynchronicity Meets Price Staleness: Robust Estimation of High-frequency Covariance. To be submitted.

Working in Progress:

A  two-directional periodic spot volatility forecasting (With Dahao Tan#, Lu Bai)

The leverage effect puzzle revisited: Zeros (with Mathias Vetter)