Yongmiao Hong : Citation Profile


Are you Yongmiao Hong?

Cornell University

18

H index

23

i10 index

1267

Citations

RESEARCH PRODUCTION:

50

Articles

29

Papers

1

Chapters

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   24 years (1994 - 2018). See details.
   Cites by year: 52
   Journals where Yongmiao Hong has often published
   Relations with other researchers
   Recent citing documents: 148.    Total self citations: 19 (1.48 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pho691
   Updated: 2019-04-20    RAS profile: 2019-02-17    
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Relations with other researchers


Works with:

Lin, Hai (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Yongmiao Hong.

Is cited by:

LINTON, OLIVER (22)

Zhu, Ke (18)

van Dijk, Dick (17)

Panchenko, Valentyn (16)

Escanciano, Juan Carlos (15)

GUPTA, RANGAN (14)

GAO, Jiti (14)

Swanson, Norman (13)

Diks, Cees (12)

WANG, YIJIANG (11)

Bhaumik, Sumon (11)

Cites to:

Bollerslev, Tim (45)

Engle, Robert (42)

Ait-Sahalia, Yacine (37)

Diebold, Francis (36)

Hansen, Bruce (31)

White, Halbert (29)

Singleton, Kenneth (26)

Granger, Clive (20)

Hamilton, James (19)

Harvey, Campbell (18)

Tauchen, George (18)

Main data


Where Yongmiao Hong has published?


Journals with more than one article published# docs
Journal of Econometrics8
Econometric Theory8
Econometrica5
China Economic Review3
Journal of Business & Economic Statistics2
Journal of the Royal Statistical Society Series B2
Review of Financial Studies2
The Review of Economics and Statistics2
Journal of Time Series Analysis2
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
Working Papers / Wang Yanan Institute for Studies in Economics (WISE), Xiamen University14
SFB 373 Discussion Papers / Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes2
Econometric Society 2004 Far Eastern Meetings / Econometric Society2
Econometric Society 2004 North American Winter Meetings / Econometric Society2

Recent works citing Yongmiao Hong (2018 and 2017)


YearTitle of citing document
2017Picking Funds with Confidence. (2017). Timmermann, Allan ; Lunde, Asger ; Gronborg, Niels S ; Wermers, Russ. In: CREATES Research Papers. RePEc:aah:create:2017-13.

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2018Time-varying parameters: New test tailored to applications in finance and macroeconomics. (2018). Davidson, Russell ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2018-22.

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2018Does exchange rate always affect the number of inbound tourists significantly in China?. (2018). Su, Chi-Wei ; Chang, Hsu-Ling ; Gao, Xue. In: Theoretical and Applied Economics. RePEc:agr:journl:v:1(614):y:2018:i:1(614):p:55-72.

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2017Price Discovery in Agricultural Futures Markets: Should We Look Beyond the Best Bid-Ask Spread?. (2017). Arzandeh, Mehdi ; Frank, Julieta . In: Annual Meeting, 2017, June 18-21, Montreal, Canada. RePEc:ags:caes17:259344.

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2017The Information Content of the Limit Order Book. (2017). Frank, Julieta ; Arzandeh, Mehdi . In: 7th Annual Canadian Agri-Food Policy Conference, January 11-13, 2017, Ottawa, ON. RePEc:ags:cafp17:253251.

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2017Linear and Non-linear Relationships Between Shares of the Agrifood Industries of the Warsaw Stock Exchange. Risk Aspect. (2017). Pera, Jacek. In: Problems of World Agriculture / Problemy Rolnictwa Światowego. RePEc:ags:polpwa:266522.

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2018Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables. (2018). Baruník, Jozef ; Kley, Tobias. In: Papers. RePEc:arx:papers:1510.06946.

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2018Nonparametric Regression with Multiple Thresholds: Estimation and Inference. (2018). Chiou, Yan-Yu ; Chen, Jau-Er. In: Papers. RePEc:arx:papers:1705.09418.

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2019Forecasting dynamic return distributions based on ordered binary choice. (2019). Baruník, Jozef ; Anatolyev, Stanislav. In: Papers. RePEc:arx:papers:1711.05681.

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2018Statistical inference for autoregressive models under heteroscedasticity of unknown form. (2018). Zhu, Ke. In: Papers. RePEc:arx:papers:1804.02348.

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2018New HSIC-based tests for independence between two stationary multivariate time series. (2018). Zhu, Ke ; Li, Wai Keung ; Wang, Guochang. In: Papers. RePEc:arx:papers:1804.09866.

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2018Entropy Analysis of Financial Time Series. (2018). Schwill, Stephan. In: Papers. RePEc:arx:papers:1807.09423.

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2018Randomization Tests for Equality in Dependence Structure. (2018). Seo, Juwon. In: Papers. RePEc:arx:papers:1811.02105.

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2019Local Polynomial Estimation of Time-Varying Parameters in Nonlinear Models. (2019). Lee, Young Jun ; Kristensen, Dennis . In: Papers. RePEc:arx:papers:1904.05209.

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2019Agency Costs, Ownership, and Internal Governance Mechanisms: Evidence from Chinese Listed Companies. (2019). Vijayakumaran, Ratnam. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2019:p:133-154.

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2018Decentralization, Incentives, and Tax Enforcement. (2018). Jia, Junxue ; Liu, Yongzheng ; Ding, Siying. In: International Center for Public Policy Working Paper Series, at AYSPS, GSU. RePEc:ays:ispwps:paper1819.

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2017Linear and Nonlinear Predictability in Investment Style Factors: Multivariate Evidence*. (2017). Guidolin, Massimo ; Chincoli, Francesco . In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1754.

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2018A state‐price volatility index for the U.S. government bond market. (2018). Pan, Zheyao. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:573-597.

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2017Quantile spectral analysis for locally stationary time series. (2017). Hallin, Marc ; Dette, Holger ; Kley, Tobias ; Volgushev, Stanislav ; Birr, Stefan. In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:79:y:2017:i:5:p:1619-1643.

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2017Some Properties of Local Gaussian Correlation and Other Nonlinear Dependence Measures. (2017). Rao, Tata Subba ; Tjostheim, Dag ; Francisco-Fernandez, Mario ; Cao, Ricardo ; Berentsen, Geir Drage ; Wilson, Granville Tunnicliffe. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:2:p:352-380.

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2017A Factor Analytical Approach to Price Discovery. (2017). , Joakimwesterlund ; Narayan, Paresh ; Reese, Simon ; Westerlund, Joakim. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:79:y:2017:i:3:p:366-394.

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2017Networks of Volatility Spillovers among Stock Markets. (2017). Výrost, Tomáš ; Lyócsa, Štefan ; Kočenda, Evžen ; Baumohl, Eduard ; Vyrost, Tomas ; Lyocsa, Stefan . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6476.

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2018Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts. (2018). Dovern, Jonas ; Manner, Hans. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7023.

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2017Testing Distributional Assumptions Using a Continuum of Moments. (2017). Sentana, Enrique ; Amengual, Dante ; Carrasco, Marine. In: Working Papers. RePEc:cmf:wpaper:wp2017_1709.

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2017Testing Distributional Assumptions Using a Continuum of Moments. (2017). Amengual, Dante ; Sentana, Enrique ; Carrasco, Marine. In: Working Papers. RePEc:cmf:wpaper:wp2018_1709.

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2017Picking Funds with Confidence. (2017). Wermers, Russ ; Timmermann, Allan G ; Lunde, Asger ; Groenborg, Niels . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11896.

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2018Pockets of Predictability. (2018). Farmer, Leland ; Timmermann, Allan G ; Schmidt, Lawrence . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12885.

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2017The Impact of Privatization on TFP: a Quasi-Experiment in China. (2017). Wang, Xiao Hua ; Huang, Zhuo ; Luo, Zhi. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2017:v:18:i:1:wang.

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2017Testing for Extreme Volatility Transmission with Realized Volatility Measures. (2017). Tokpavi, Sessi ; Dumitrescu, Elena Ivona ; DE TRUCHIS, Gilles ; Boucher, Christophe. In: EconomiX Working Papers. RePEc:drm:wpaper:2017-20.

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2017The impacts of the oil price fall on the exchange rates of ASEAN-5: Evidence from the 2014 oil price shock. (2017). Sultonov, Mirzosaid. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00172.

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2018Gold - Silver Nexus: A Threshold Cointegration Approach. (2018). Mighri, Zouheir Ahmed ; al Saggaf, Majid Ibrahim. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2018-05-28.

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2017A contractual analysis of state versus private ownership. (2017). Jiang, Kun ; Wang, Susheng. In: China Economic Review. RePEc:eee:chieco:v:43:y:2017:i:c:p:142-168.

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2019Has Chinas war on pollution slowed the growth of its manufacturing and by how much? Evidence from the Clean Air Action. (2019). Shi, Lei ; Qiao, Yuanbo ; Li, Xiao. In: China Economic Review. RePEc:eee:chieco:v:53:y:2019:i:c:p:271-289.

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2018Multivariate specification tests based on a dynamic Rosenblatt transform. (2018). Kheifets, Igor L. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:124:y:2018:i:c:p:1-14.

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2017Volatility spillovers and determinants of contagion: Exchange rate and equity markets during crises. (2017). Leung, Henry ; Schroeder, Florian ; Schiereck, Dirk. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:169-180.

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2018International risk transmission of stock market movements. (2018). Shen, Yifan. In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:220-236.

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2019Testing the white noise hypothesis of stock returns. (2019). Hill, Jonathan B ; Motegi, Kaiji. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:231-242.

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2017Modeling spot rate using a realized stochastic volatility model with level effect and dynamic drift☆. (2017). Li, Shaoyu ; Zheng, Tingguo . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:200-221.

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2017Efficient modelling and forecasting with range based volatility models and its application. (2017). NG, KOK HAUR ; Chan, Jennifer ; Allen, David ; Peiris, Shelton. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:448-460.

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2018Switches in price discovery: Are U.S. traders more qualified in making valuations?. (2018). Qadan, Mahmoud. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:221-234.

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2018Information spillover across international real estate investment trusts: Evidence from an entropy-based network analysis. (2018). Ji, Qiang ; GUPTA, RANGAN ; Marfatia, Hardik . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:103-113.

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2019Quantile range-based volatility measure for modelling and forecasting volatility using high frequency data. (2019). Mohamed, Ibrahim ; Chan, Jennifer So-Kuen ; Ng, Kok-Haur ; Tan, Shay-Kee. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:537-551.

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2017Tests for serial correlation of unknown form in dynamic least squares regression with wavelets. (2017). Li, Meiyu ; Genay, Ramazan. In: Economics Letters. RePEc:eee:ecolet:v:155:y:2017:i:c:p:104-110.

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2017Estimating smooth structural change in cointegration models. (2017). Phillips, Peter ; GAO, Jiti ; PEter, . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:180-195.

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2017Rolling window selection for out-of-sample forecasting with time-varying parameters. (2017). Rossi, Barbara ; Inoue, Atsushi ; Jin, LU. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:55-67.

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2017Fitting a two phase threshold multiplicative error model. (2017). Perera, Indeewara ; Koul, Hira L. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:348-367.

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2017On time-varying factor models: Estimation and testing. (2017). Su, Liangjun ; Wang, Xia. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:84-101.

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2017Tests of additional conditional moment restrictions. (2017). Parente, Paulo ; Smith, Richard J. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:1:p:1-16.

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2018Nonparametric testing for smooth structural changes in panel data models. (2018). Chen, Bin ; Huang, Liquan. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:2:p:245-267.

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2018Nonparametric specification testing via the trinity of tests. (2018). Gupta, Abhimanyu. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:1:p:169-185.

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2018Nonparametric regression with multiple thresholds: Estimation and inference. (2018). Chen, Jau-er ; Chiou, Yan-Yu. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:2:p:472-514.

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2018Specification tests based on MCMC output. (2018). Yu, Jun ; Zeng, Tao ; JunYu, ; Li, Yong. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:237-260.

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2019Robust analysis of the martingale hypothesis. (2019). Gourieroux, Christian ; Jasiak, Joann. In: Econometrics and Statistics. RePEc:eee:ecosta:v:9:y:2019:i:c:p:17-41.

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2018Long-run wavelet-based correlation for financial time series. (2018). cotter, john ; Genay, Ramazan ; Conlon, Thomas. In: European Journal of Operational Research. RePEc:eee:ejores:v:271:y:2018:i:2:p:676-696.

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2019Wavelet-based option pricing: An empirical study. (2019). Liu, Xiaoquan ; Shen, Liya ; Ma, Chenghu ; Cao, YI. In: European Journal of Operational Research. RePEc:eee:ejores:v:272:y:2019:i:3:p:1132-1142.

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2017The kidnapping of Europe: High-order moments transmission between developed and emerging markets. (2017). Perote, Javier ; Mora-Valencia, Andrés ; del Brio, Esther B. In: Emerging Markets Review. RePEc:eee:ememar:v:31:y:2017:i:c:p:96-115.

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2018Asymmetric extreme risk spillovers between the Chinese stock market and index futures market: An MV-CAViaR based intraday CoVaR approach. (2018). Jian, Zhi Hong ; Zhu, Zhican ; Wu, Shuai. In: Emerging Markets Review. RePEc:eee:ememar:v:37:y:2018:i:c:p:98-113.

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2017Consistent nonparametric specification tests for stochastic volatility models based on the return distribution. (2017). Zu, Yang ; Boswijk, H. Peter. In: Journal of Empirical Finance. RePEc:eee:empfin:v:41:y:2017:i:c:p:53-75.

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2018Forecasting stock market returns by summing the frequency-decomposed parts. (2018). Verona, Fabio ; Faria, Gonalo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:228-242.

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2017The CO2–growth nexus revisited: A nonparametric analysis for the G7 economies over nearly two centuries. (2017). Shahbaz, Muhammad ; Papavassiliou, Vassilios ; Hammoudeh, Shawkat ; Shafiullah, Muhammad. In: Energy Economics. RePEc:eee:eneeco:v:65:y:2017:i:c:p:183-193.

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2018High-yield bond and energy markets. (2018). Soytas, Ugur ; Nazlioglu, Saban ; Gormus, Alper. In: Energy Economics. RePEc:eee:eneeco:v:69:y:2018:i:c:p:101-110.

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2018Risk spillover of international crude oil to Chinas firms: Evidence from granger causality across quantile. (2018). Peng, Cheng ; Chen, Xiuyun ; Guo, Yawei ; Zhu, Huiming. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:188-199.

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2018Risk transmission mechanism between energy markets: A VAR for VaR approach. (2018). Shi, Xunpeng ; Padinjare, Hari Malamakkavu ; Shen, Yifan. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:377-388.

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2018Interval decomposition ensemble approach for crude oil price forecasting. (2018). Sun, Shaolong ; Wei, Yunjie ; Wang, Shouyang. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:274-287.

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2017Volatility transmission from commodity markets to sovereign CDS spreads in emerging and frontier countries. (2017). Bouri, Elie ; Pavlova, Ivelina ; de Boyrie, Maria E. In: International Review of Financial Analysis. RePEc:eee:finana:v:49:y:2017:i:c:p:155-165.

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2017Main driving factors of the interest rate-stock market Granger causality. (2017). Jareño, Francisco ; Hammoudeh, Shawkat M ; Jareo, Francisco ; Ferrer, Roman ; Jammazi, Rania. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:260-280.

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2017Equity premium estimates from economic fundamentals under structural breaks. (2017). Smith, Simon. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:49-61.

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2017Dynamic autocorrelation of intraday stock returns. (2017). Dong, XI ; Feng, Shu ; Song, Pingping ; Ling, Leng . In: Finance Research Letters. RePEc:eee:finlet:v:20:y:2017:i:c:p:274-280.

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2018Downside and upside risk spillovers from China to Asian stock markets: A CoVaR-copula approach. (2018). Jin, Xiaoye. In: Finance Research Letters. RePEc:eee:finlet:v:25:y:2018:i:c:p:202-212.

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2018Causality in the EMU sovereign bond markets. (2018). Gonzalez-Sanchez, Mariano. In: Finance Research Letters. RePEc:eee:finlet:v:26:y:2018:i:c:p:281-290.

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2018Measuring the propagation of financial distress with Granger-causality tail risk networks. (2018). Trapin, Luca ; Pirino, Davide ; Lillo, Fabrizio ; Corsi, Fulvio. In: Journal of Financial Stability. RePEc:eee:finsta:v:38:y:2018:i:c:p:18-36.

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2018Co-movement of international copper prices, Chinas economic activity, and stock returns: Structural breaks and volatility dynamics. (2018). Guo, Jin. In: Global Finance Journal. RePEc:eee:glofin:v:36:y:2018:i:c:p:62-77.

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2017Is default risk priced equally fast in the credit default swap and the stock markets? AN empirical investigation. (2017). Topaloglou, Nikolas ; Tolikas, Konstantinos. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:51:y:2017:i:c:p:39-57.

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2017Does realized volatility help bond yield density prediction?. (2017). Shin, Minchul ; Zhong, Molin. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:373-389.

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2017Improving the power of the Diebold–Mariano–West test for least squares predictions. (2017). Mayer, Walter J ; Dang, Xin ; Liu, Feng. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:618-626.

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2017Evaluation of exchange rate point and density forecasts: An application to Brazil. (2017). Gaglianone, Wagner ; Moura, Jaqueline Terra. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:707-728.

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2018What makes individual investors exercise early? Empirical evidence from non-tradable fixed-income products. (2018). Eickholt, Mathias ; Wilkens, Marco ; Entrop, Oliver . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:97:y:2018:i:c:p:318-334.

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2018Government affiliation, real earnings management, and firm performance: The case of privately held firms. (2018). Ding, Rong ; Wu, Zhenyu ; Li, Jialong . In: Journal of Business Research. RePEc:eee:jbrese:v:83:y:2018:i:c:p:138-150.

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2017Asymmetric volatility connectedness on the forex market. (2017). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef ; Koenda, Even ; Barunik, Jozef. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:77:y:2017:i:c:p:39-56.

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2018Currency downside risk, liquidity, and financial stability. (2018). Chulia, Helena ; Uribe, Jorge M ; Fernandez, Julian. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:89:y:2018:i:c:p:83-102.

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2018High-speed rail and urban expansion: An empirical study using a time series of nighttime light satellite data in China. (2018). Long, Fenjie ; Song, Zhida ; Zheng, Longfei. In: Journal of Transport Geography. RePEc:eee:jotrge:v:72:y:2018:i:c:p:106-118.

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2017Why do firms adopt stock options and who benefits? A natural experiment in China. (2017). Kling, Gerhard ; Driver, Ciaran ; Bo, Hong ; Jiang, Lin. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:46:y:2017:i:pa:p:124-140.

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2017Features of spillover networks in international financial markets: Evidence from the G20 countries. (2017). Liu, Xueyong ; Wen, Shaobo ; Feng, Sida ; Chen, Zhihua ; An, Haizhong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:479:y:2017:i:c:p:265-278.

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2017Multiscale Shannon entropy and its application in the stock market. (2017). Gu, Rongbao . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:484:y:2017:i:c:p:215-224.

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2018Networks of volatility spillovers among stock markets. (2018). Výrost, Tomáš ; Lyócsa, Štefan ; Kočenda, Evžen ; Baumohl, Eduard ; Vrost, Toma ; Koenda, Even ; Lyocsa, Tefan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:1555-1574.

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2018Time-varying causality between equity and currency returns in the United Kingdom: Evidence from over two centuries of data. (2018). Kanda, Patrick ; GUPTA, RANGAN ; Burke, Michael. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:506:y:2018:i:c:p:1060-1080.

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2018A return spillover network perspective analysis of Chinese financial institutions’ systemic importance. (2018). Huang, Wei-qiang ; Wang, Dan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:509:y:2018:i:c:p:405-421.

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2018On the interdependence of natural gas and stock markets under structural breaks. (2018). Ahmed, Walid. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:67:y:2018:i:c:p:149-161.

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2018Does US cross-listing come with incremental benefit for already UK cross-listed firms. (2018). Ghadhab, Imen ; Mrad, Mouna . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:69:y:2018:i:c:p:188-204.

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2018Bitcoin and global financial stress: A copula-based approach to dependence and causality in the quantiles. (2018). Wang, Shixuan ; Roubaud, David ; GUPTA, RANGAN ; Bouri, Elie ; Marco, Chi Keung. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:69:y:2018:i:c:p:297-307.

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2017The effect of institutional ownership on firm innovation: Evidence from Chinese listed firms. (2017). Rong, Zhao ; Boeing, Philipp ; Wu, Xiaokai. In: Research Policy. RePEc:eee:respol:v:46:y:2017:i:9:p:1533-1551.

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2017Do analysts forecasts of term spread differential help predict directional change in exchange rates?. (2017). Baghestani, Hamid ; Toledo, Hugo . In: International Review of Economics & Finance. RePEc:eee:reveco:v:47:y:2017:i:c:p:62-69.

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2017Causality between oil prices and the stock market in China: The relevance of the reformed oil product pricing mechanism. (2017). Lv, Xin ; Bouri, Elie ; Xin Lv, ; Lien, Donald ; Chen, Qian. In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:34-48.

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2017Time-varying causality between crude oil and stock markets: What can we learn from a multiscale perspective?. (2017). Shahzad, Syed Jawad Hussain ; Jareño, Francisco ; Hussain, Syed Jawad ; Jareo, Francisco ; Ferrer, Roman ; Jammazi, Rania. In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:453-483.

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2017Firm-specific stock and bond predictability: New evidence from Canada. (2017). Gubellini, S ; Cao, N ; Galvani, V. In: International Review of Economics & Finance. RePEc:eee:reveco:v:51:y:2017:i:c:p:174-192.

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2017The impact of foreign equity flows on market volatility during politically tranquil and turbulent times: The Egyptian experience. (2017). Ahmed, Walid. In: Research in International Business and Finance. RePEc:eee:riibaf:v:40:y:2017:i:c:p:61-77.

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2017The behaviour of asset return and volatility spillovers in Turkey: A tale of two crises. (2017). Berke, Burcu ; Bajo-Rubio, Oscar ; McMillan, David. In: Research in International Business and Finance. RePEc:eee:riibaf:v:41:y:2017:i:c:p:577-589.

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2018Price discovery in emerging currency markets. (2018). Kumar, Satish. In: Research in International Business and Finance. RePEc:eee:riibaf:v:46:y:2018:i:c:p:528-536.

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2018Intended and unintended impacts of price changes for drugs and medical services: Evidence from China. (2018). Fu, Hongqiao ; Yip, Winnie ; Li, Ling. In: Social Science & Medicine. RePEc:eee:socmed:v:211:y:2018:i:c:p:114-122.

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2018The prevalence of persistence and related health status: An analysis of persistently high healthcare costs in the short term and medium term. (2018). Longden, Thomas ; van Gool, Kees ; Hall, Jane ; Haywood, Philip ; Wong, Chun Yee. In: Social Science & Medicine. RePEc:eee:socmed:v:211:y:2018:i:c:p:147-156.

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More than 100 citations found, this list is not complete...

Yongmiao Hong is editor of


Journal
Advanced Studies in Theoretical and Applied Econometrics

Works by Yongmiao Hong:


YearTitleTypeCited
2005Identifying Threshold Effects and Typologies in Economic Growth: A Panel Approach In: 2005 Annual meeting, July 24-27, Providence, RI.
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paper4
1999A New Test for ARCH Effects and Its Finite-Sample Performance. In: Journal of Business & Economic Statistics.
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2004Out-of-Sample Performance of Discrete-Time Spot Interest Rate Models In: Journal of Business & Economic Statistics.
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article28
1998Testing for pairwise serial independence via the empirical distribution function In: Journal of the Royal Statistical Society Series B.
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2000Generalized spectral tests for serial dependence In: Journal of the Royal Statistical Society Series B.
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article25
1997One‐sided testing for conditional heteroskedasticity in time series models In: Journal of Time Series Analysis.
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article0
2011Detecting misspecifications in autoregressive conditional duration models and non‐negative time‐series processes In: Journal of Time Series Analysis.
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article4
1999M-Testing Using Finite and Infinite Dimensional Parameter Estimators In: University of California at San Diego, Economics Working Paper Series.
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paper1
2002Spectral density bandwith choice and prewightening in the estimation of heteroskadasticity and autocorrelation consistent covariance matrices in panel data models In: 10th International Conference on Panel Data, Berlin, July 5-6, 2002.
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paper0
2001Testing for Independence between Two stationary Time Series via the Empirical Characteristic Function In: Annals of Economics and Finance.
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article1
2001TESTING FOR SERIAL CORRELATION OF UNKNOWN FORM USING WAVELET METHODS In: Econometric Theory.
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article14
2001ONE-SIDED TESTING FOR ARCH EFFECTS USING WAVELETS In: Econometric Theory.
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article9
2003DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS In: Econometric Theory.
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article24
2007AN IMPROVED GENERALIZED SPECTRAL TEST FOR CONDITIONAL MEAN MODELS IN TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY OF UNKNOWN FORM In: Econometric Theory.
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article5
2010CHARACTERISTIC FUNCTION–BASED TESTING FOR MULTIFACTOR CONTINUOUS-TIME MARKOV MODELS VIA NONPARAMETRIC REGRESSION In: Econometric Theory.
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article9
2012TESTING FOR THE MARKOV PROPERTY IN TIME SERIES In: Econometric Theory.
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article2
2016DETECTING FOR SMOOTH STRUCTURAL CHANGES IN GARCH MODELS In: Econometric Theory.
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article2
2018CHARACTERISTIC FUNCTION BASED TESTING FOR CONDITIONAL INDEPENDENCE: A NONPARAMETRIC REGRESSION APPROACH In: Econometric Theory.
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article0
1995Consistent Specification Testing via Nonparametric Series Regression. In: Econometrica.
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article88
1996Consistent Testing for Serial Correlation of Unknown Form. In: Econometrica.
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article68
2004Wavelet-Based Testing for Serial Correlation of Unknown Form in Panel Models In: Econometrica.
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article25
2000Wavelet-Based Testing for Serial Correlation of Unknown Form in Panel Models.(2000) In: Center for Policy Research Working Papers.
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2005Asymptotic Distribution Theory for Nonparametric Entropy Measures of Serial Dependence In: Econometrica.
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2012Testing for Smooth Structural Changes in Time Series Models via Nonparametric Regression In: Econometrica.
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article29
2004Specification Testing for Multivariate Time Series Volatility Models In: Econometric Society 2004 Far Eastern Meetings.
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paper0
2004Detecting Neglected Nonlinearity in Dynamic Panel Data with Time-Varying Conditional Heteroskedasticity In: Econometric Society 2004 Far Eastern Meetings.
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paper0
2004Are the directions of stock price changes predictable? A generalized cross-spectral approach In: Econometric Society 2004 North American Winter Meetings.
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paper0
2004Generalized (Cross) Spectral Tests for Optimal Forecasts and Conditional Predictive Ability Under Generalized Loss Functions In: Econometric Society 2004 North American Winter Meetings.
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paper0
2000Wavelet-based Estimation for Heteroskedasticity and Autocorrelation Consistent Variance-Covariance Matrices In: Econometric Society World Congress 2000 Contributed Papers.
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paper1
2013Productivity spillovers among linked sectors In: China Economic Review.
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article0
2016Impact of the new health care reform on hospital expenditure in China: A case study from a pilot city In: China Economic Review.
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article3
2017Do Chinas high-speed-rail projects promote local economy?—New evidence from a panel data approach In: China Economic Review.
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article2
2017Adaptive penalized splines for data smoothing In: Computational Statistics & Data Analysis.
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article0
2001A test for volatility spillover with application to exchange rates In: Journal of Econometrics.
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article153
2006Validating forecasts of the joint probability density of bond yields: Can affine models beat random walk? In: Journal of Econometrics.
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article26
2007Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates In: Journal of Econometrics.
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2009Guest editors introduction In: Journal of Econometrics.
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2009Granger causality in risk and detection of extreme risk spillover between financial markets In: Journal of Econometrics.
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article64
2011Generalized spectral testing for multivariate continuous-time models In: Journal of Econometrics.
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article1
2014A unified approach to validating univariate and multivariate conditional distribution models in time series In: Journal of Econometrics.
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article2
2018Threshold autoregressive models for interval-valued time series data In: Journal of Econometrics.
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article1
2011Financial volatility forecasting with range-based autoregressive volatility model In: Finance Research Letters.
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article22
2010Modeling the dynamics of Chinese spot interest rates In: Journal of Banking & Finance.
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article7
2012Are corporate bond market returns predictable? In: Journal of Banking & Finance.
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article14
2013How smooth is price discovery? Evidence from cross-listed stock trading In: Journal of International Money and Finance.
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article14
2008An empirical study on information spillover effects between the Chinese copper futures market and spot market In: Physica A: Statistical Mechanics and its Applications.
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article9
2016A Vector Autoregressive Moving Average Model for Interval-Valued Time Series Data In: Advances in Econometrics.
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chapter0
2001Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns In: Econometrics Working Papers Archive.
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paper6
1994Nonparametric Coherency-Based Testing for Independence Between Two Stationary Time Series. In: Cornell - Department of Economics.
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paper0
2011TESTING THE STRUCTURE OF CONDITIONAL CORRELATIONS IN MULTIVARIATE GARCH MODELS: A GENERALIZED CROSS‐SPECTRUM APPROACH In: International Economic Review.
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article2
2007Detecting Misspecifications in Autoregressive Conditional Duration Models In: CAEPR Working Papers.
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paper0
2007Model-free evaluation of directional predictability in foreign exchange markets In: Journal of Applied Econometrics.
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article15
1994Autonomy and Incentives in Chinese State Enterprises In: The Quarterly Journal of Economics.
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article209
2005Generalized Spectral Tests for Conditional Mean Models in Time Series with Conditional Heteroscedasticity of Unknown Form In: Review of Economic Studies.
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article29
2005Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates In: Review of Financial Studies.
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article85
2006Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation In: Review of Financial Studies.
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article10
2007Central limit theorems for weighted quadratic forms of dependent processes with applications in specification testing In: MPRA Paper.
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paper1
2017An efficient integrated nonparametric entropy estimator of serial dependence In: Econometric Reviews.
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article0
2008Central limit theorems for generalized -statistics with applications in nonparametric specification In: Journal of Nonparametric Statistics.
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article2
2016Analysis of crisis impact on crude oil prices: a new approach with interval time series modelling In: Quantitative Finance.
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article2
2003Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models In: The Review of Economics and Statistics.
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article41
2004ERRATUM: Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models In: The Review of Economics and Statistics.
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article0
1995Chinas Evolving Managerial Labor Market. In: Journal of Political Economy.
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article122
2017TESTING STRICT STATIONARITY WITH APPLICATIONS TO MACROECONOMIC TIME SERIES In: International Economic Review.
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article0
2013Can the Random Walk Model be Beaten in Out-of-Sample Density Forecasts? Evidence from Intraday Forei In: Working Papers.
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paper0
2013Nonparametric Specifiation Tests of Discrete Time Spot Interest Rate Models in China In: Working Papers.
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paper0
2013Model-Free Evaluation of Directional Predictability in Foreign Exchange In: Working Papers.
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paper0
2013Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation In: Working Papers.
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paper0
2013New Test of Asset Pricing Models in China In: Working Papers.
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paper0
2013A Simulation Test for Continuous-Time Models In: Working Papers.
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paper0
2013Granger Causality in Risk and Detection of Extreme Risk Spillover Between Financial Markets In: Working Papers.
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paper0
2013Characteristic Function-Based Testing for Multifactor Continuous-Time Markov Models via Nonparametri In: Working Papers.
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paper0
2013Testing for the Markov Property in Time Series In: Working Papers.
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paper0
2013Modeling the Dynamics of Chinese Spot Interest Rates In: Working Papers.
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paper1
2013Some Recent Developments in Nonparametric Finance In: Working Papers.
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paper0
2013Detecting for Smooth Structural Changes in GARCH Models In: Working Papers.
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paper0
2013A Unified Approach to Validating Univariate and Multivariate Conditional Distribution Models in Time Series In: Working Papers.
[Full Text][Citation analysis]
paper0
2013Forecasting Interval-valued Crude Oil Prices via Autoregressive Conditional Interval Models In: Working Papers.
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paper0
2002Nonparametric specification testing for continuous-time models with application to spot interest rates In: SFB 373 Discussion Papers.
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paper9
2003Nonparametric Methods in Continuous-Time Finance: A Selective Review In: SFB 373 Discussion Papers.
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