Yongmiao Hong : Citation Profile


Are you Yongmiao Hong?

Cornell University

23

H index

32

i10 index

1793

Citations

RESEARCH PRODUCTION:

57

Articles

17

Papers

1

Chapters

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   27 years (1994 - 2021). See details.
   Cites by year: 66
   Journals where Yongmiao Hong has often published
   Relations with other researchers
   Recent citing documents: 200.    Total self citations: 27 (1.48 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pho691
   Updated: 2021-11-28    RAS profile: 2021-11-21    
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Relations with other researchers


Works with:

Lee, Tae Hwy (2)

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

Is cited by:

GUPTA, RANGAN (45)

LINTON, OLIVER (26)

Zhu, Ke (22)

Escanciano, Juan Carlos (19)

Swanson, Norman (18)

GAO, Jiti (17)

van Dijk, Dick (17)

Çevik, Emrah (16)

Lyócsa, Štefan (15)

Sentana, Enrique (15)

Výrost, Tomᚠ(14)

Cites to:

Engle, Robert (36)

White, Halbert (32)

Hansen, Bruce (31)

Bollerslev, Tim (29)

Diebold, Francis (24)

Singleton, Kenneth (18)

Andrews, Donald (17)

Granger, Clive (17)

Wooldridge, Jeffrey (15)

Ait-Sahalia, Yacine (15)

Hamilton, James (13)

Main data


Where Yongmiao Hong has published?


Journals with more than one article published# docs
Journal of Econometrics11
Econometric Theory8
Econometrica5
China Economic Review3
Journal of Banking & Finance2
The Review of Economics and Statistics2
Energy Economics2
Econometric Reviews2
Review of Financial Studies2
Journal of Time Series Analysis2
Journal of the Royal Statistical Society Series B2
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
Econometric Society 2004 Far Eastern Meetings / Econometric Society2
MPRA Paper / University Library of Munich, Germany2
Econometric Society 2004 North American Winter Meetings / Econometric Society2
SFB 373 Discussion Papers / Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes2

Recent works citing Yongmiao Hong (2021 and 2020)


YearTitle of citing document
2020Time-Varying Spillovers between Currency and Stock Markets in the USA: Historical Evidence From More than Two Centuries. (2020). Hkiri, Besma ; Gupta, Rangan ; Coronado, Semei ; Rojas, Omar. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:24:y:2020:i:4:p:44-76.

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2021.

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2020Time-Varying Spillovers between Currency and Stock Markets in the USA: Historical Evidence From More than Two Centuries. (2020). Gupta, Rangan ; Coronado, Semei ; Rojas, Omar ; Hkiri, Besma. In: International Association of Decision Sciences. RePEc:ahq:wpaper:v:24:y:2020:i:4:p:44-76.

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2020Adaptive inference for a semiparametric generalized autoregressive conditional heteroscedastic model. (2019). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Papers. RePEc:arx:papers:1907.04147.

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2020Quantitative portfolio selection: using density forecasting to find consistent portfolios. (2019). Beasley, John ; Adcock, C J ; Meade, N. In: Papers. RePEc:arx:papers:1908.08442.

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2020Testing nonparametric shape restrictions. (2019). Hidalgo, Javier ; Komarova, Tatiana. In: Papers. RePEc:arx:papers:1909.01675.

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2020Unveiling the relation between herding and liquidity with trader lead-lag networks. (2019). Tantari, Daniele ; Lillo, Fabrizio ; Campajola, Carlo. In: Papers. RePEc:arx:papers:1909.10807.

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2021Structural stability of infinite-order regression. (2019). SEO, MYUNG HWAN ; Gupta, Abhimanyu. In: Papers. RePEc:arx:papers:1911.08637.

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2020Multi-frequency-band tests for white noise under heteroskedasticity. (2020). Zhu, Ke ; Liu, Mengya. In: Papers. RePEc:arx:papers:2004.09161.

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2021Tail Granger causalities and where to find them: extreme risk spillovers vs. spurious linkages. (2020). Lillo, Fabrizio ; Campajola, Carlo ; Zaoli, Silvia ; Mazzarisi, Piero. In: Papers. RePEc:arx:papers:2005.01160.

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2020On the Time Trend of COVID-19: A Panel Data Study. (2020). Gao, Jiti ; Dong, Chaohua ; Peng, Bin ; Linton, Oliver. In: Papers. RePEc:arx:papers:2006.11060.

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2020Testing error distribution by kernelized Stein discrepancy in multivariate time series models. (2020). Li, Dong ; Gong, Huan ; Zhu, KE ; Luo, Donghang. In: Papers. RePEc:arx:papers:2008.00747.

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2021Time-Varying Parameters as Ridge Regressions. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2009.00401.

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2021Tail-risk protection: Machine Learning meets modern Econometrics. (2020). Hardle, Wolfgang Karl ; Spilak, Bruno. In: Papers. RePEc:arx:papers:2010.03315.

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2020Measures of Model Risk in Continuous-time Finance Models. (2020). Qi, Shuyuan ; Lazar, Emese ; Tunaru, Radu. In: Papers. RePEc:arx:papers:2010.08113.

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2020Time-varying Forecast Combination for High-Dimensional Data. (2020). Maung, Kenwin ; Chen, Bin. In: Papers. RePEc:arx:papers:2010.10435.

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2020Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552.

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2020Growth, development, and structural change at the firm-level: The example of the PR China. (2020). Dai, Shuanping ; Yang, Jangho ; Heinrich, Torsten. In: Papers. RePEc:arx:papers:2012.14503.

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2021Consistent specification testing under spatial dependence. (2021). Gupta, Abhimanyu ; Qu, XI. In: Papers. RePEc:arx:papers:2101.10255.

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2021Simultaneous Bandwidths Determination for DK-HAC Estimators and Long-Run Variance Estimation in Nonparametric Settings. (2021). Perron, Pierre ; Grassi, Stefano ; Catania, Leopoldo ; Casini, Alessandro ; Belotti, Federico. In: Papers. RePEc:arx:papers:2103.00060.

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2021Theory of Low Frequency Contamination from Nonstationarity and Misspecification: Consequences for HAR Inference. (2021). Perron, Pierre ; Deng, Taosong ; Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.01604.

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2021Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models. (2021). Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.02981.

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2021Dimension reduction of open-high-low-close data in candlestick chart based on pseudo-PCA. (2021). Wang, Shanshan ; Huang, Wenyang. In: Papers. RePEc:arx:papers:2103.16908.

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2021Estimating high-dimensional Markov-switching VARs. (2021). Maung, Kenwin. In: Papers. RePEc:arx:papers:2107.12552.

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2021Nonparametric Tests of Conditional Independence for Time Series. (2021). Wei, Haoyu ; Song, Xiaojun. In: Papers. RePEc:arx:papers:2110.04847.

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2021On Time-Varying VAR Models: Estimation, Testing and Impulse Response Analysis. (2021). Peng, Bin ; Gao, Jiti ; Yan, Yayi. In: Papers. RePEc:arx:papers:2111.00450.

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2020Can Time–Space Compression Promote Urban Economic Growth? Evidence from Chinas High‐speed Rail Projects. (2020). Fang, Jing ; Yao, Shujie ; He, Hongbo. In: China & World Economy. RePEc:bla:chinae:v:28:y:2020:i:5:p:90-117.

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2020How does labour share respond to risk? Theory and evidence from the Chinese industrial sector. (2020). Shen, Guangjun ; Zou, Jingxian ; Jia, Shen. In: International Labour Review. RePEc:bla:intlab:v:159:y:2020:i:2:p:259-281.

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2020An Asymptotic F Test for Uncorrelatedness in the Presence of Time Series Dependence. (2020). Sun, Yixiao ; Wang, Xuexin. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:4:p:536-550.

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2020On Time Trend of COVID-19: A Panel Data Study. (2020). Peng, B ; Linton, O ; Gao, J ; Dong, C. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2065.

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2020Measuring Systemic Risk: A Quantile Factor Analysis. (2020). Sagner, Andres. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:874.

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2021The Impact of Place-Based Policy: Evidence from a Multiple Synthetic Control Analysis of the Northeastern Revitalization Program in China. (2021). Peng, Linan ; Callais, Justin T. In: Working Papers. RePEc:dew:wpaper:2021-03.

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2020Assessing the price dynamics of onshore and offshore RMB markets: An ITS model approach. (2020). Wang, Shouyang ; Zheng, Jiali ; Bao, Qin ; Sun, Yuying. In: China Economic Review. RePEc:eee:chieco:v:62:y:2020:i:c:s1043951x20300730.

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2020Examining the impact of high-speed railways on land value and government revenue: Evidence from China. (2020). Li, Zhigang ; Yuan, Jia. In: China Economic Review. RePEc:eee:chieco:v:63:y:2020:i:c:s1043951x20300997.

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2021Transportation infrastructure and entrepreneurship: Evidence from high-speed railway in China. (2021). Sun, Weizeng ; Niu, Dongxiao ; Ma, Liya. In: China Economic Review. RePEc:eee:chieco:v:65:y:2021:i:c:s1043951x20301747.

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2021Supply-induced demand for medical services under price regulation: Evidence from hospital expansion in China. (2021). Fu, Mingwei ; Zhao, Shaoyang ; Zhou, Mei. In: China Economic Review. RePEc:eee:chieco:v:68:y:2021:i:c:s1043951x21000602.

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2020Non-controlling large shareholders in emerging markets: Evidence from China. (2020). Wei, Minghai ; Lu, Rui ; Lin, Bingxuan ; Cheng, Minying. In: Journal of Corporate Finance. RePEc:eee:corfin:v:63:y:2020:i:c:s0929119916301857.

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2021Need for speed: High-speed rail and firm performance. (2021). Liu, Zijie ; Kuang, Chun ; Zhu, Wenyu. In: Journal of Corporate Finance. RePEc:eee:corfin:v:66:y:2021:i:c:s0929119920302741.

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2021Evaluating multiplicative error models: A residual-based approach. (2021). Lu, Wanbo ; Ke, Rui ; Jia, Jing. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:153:y:2021:i:c:s0167947320301778.

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2022Bootstrapping multivariate portmanteau tests for vector autoregressive models with weak assumptions on errors. (2022). Zhang, Yanfen ; Li, Muyi. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:165:y:2022:i:c:s0167947321001559.

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2020Tail Granger causalities and where to find them: Extreme risk spillovers vs spurious linkages. (2020). Lillo, Fabrizio ; Campajola, Carlo ; Zaoli, Silvia ; Mazzarisi, Piero. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:121:y:2020:i:c:s0165188920301901.

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2020Crude oil and BRICS stock markets under extreme shocks: New evidence. (2020). He, Chengting ; Niu, Tianjiao ; Ma, Feng ; Wang, LU. In: Economic Modelling. RePEc:eee:ecmode:v:86:y:2020:i:c:p:54-68.

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2020Volatility forecasting using related markets’ information for the Tokyo stock exchange. (2020). Su, Jen-Je ; Li, Bin ; Todorova, Neda ; Jayawardena, Nirodha I. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:143-158.

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2020Trend instrumental variable regression with an application to the US New Keynesian Phillips Curve. (2020). Xia, Huizhu ; Chen, Zhihong. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:595-604.

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2021High-speed rails and rural-urban migrants’ wages. (2021). Yang, Zhiqing ; Liu, Lihua ; Kong, Dongmin. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:1030-1042.

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2021Asymmetries and flight-to-safety effects in the price discovery process of cross-listed stocks. (2021). Anghel, Dan Gabriel ; Cepoi, Cosmin-Octavian ; Pop, Ionu Daniel. In: Economic Modelling. RePEc:eee:ecmode:v:98:y:2021:i:c:p:302-318.

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2020Forecasting volatility with component conditional autoregressive range model. (2020). Hou, Xinmeng ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s106294081930083x.

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2020Measuring extreme risk spillovers across international stock markets: A quantile variance decomposition analysis. (2020). Su, Xianfang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819304085.

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2020Holidays, weekends and range-based volatility. (2020). Pardo, Angel ; Diaz-Mendoza, Ana-Carmen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819303110.

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2021Risk spillover between Bitcoin and conventional financial markets: An expectile-based approach. (2021). GUPTA, RANGAN ; Ma, Shu-Jiao ; Bouri, Elie ; Zhang, Yue-Jun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820301868.

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2021Analysis of the cross-region risk contagion effect in stock market based on volatility spillover networks: Evidence from China. (2021). Wang, Jian ; Zhuang, Xintian ; Li, Yanshuang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302400.

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2021Are Google searches making the Bitcoin market run amok? A tail event analysis. (2021). Neto, David. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000796.

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2020A modified bootstrap for kernel-based specification test with heavy-tailed data. (2020). Li, Zheng ; Huang, Ta-Cheng. In: Economics Letters. RePEc:eee:ecolet:v:189:y:2020:i:c:s0165176520300276.

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2020A time-varying diffusion index forecasting model. (2020). Zhang, Yonghui ; Wei, Jie. In: Economics Letters. RePEc:eee:ecolet:v:193:y:2020:i:c:s0165176520302172.

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2020A joint test for serial correlation and heteroscedasticity in fixed-T panel regression models with interactive effects. (2020). Wu, Jianhong. In: Economics Letters. RePEc:eee:ecolet:v:197:y:2020:i:c:s0165176520303578.

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2020Time-invariant restrictions of volatility functionals: Efficient estimation and specification tests. (2020). Yang, Xiye. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:486-516.

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2020Kernel-based Inference in Time-Varying Coefficient Cointegrating Regression. (2020). Phillips, Peter ; GAO, Jiti. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:607-632.

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2020Testing distributional assumptions using a continuum of moments. (2020). Sentana, Enrique ; Carrasco, Marine ; Amengual, Dante. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:655-689.

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2021New testing approaches for mean–variance predictability. (2021). Sentana, Enrique ; Fiorentini, Gabriele. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:516-538.

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2021Consistent inference for predictive regressions in persistent economic systems. (2021). Andersen, Torben ; Varneskov, Rasmus T. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:215-244.

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2021Boosting high dimensional predictive regressions with time varying parameters. (2021). Ng, Serena ; Yousuf, Kashif. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:60-87.

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2020A general white noise test based on kernel lag-window estimates of the spectral density operator. (2020). Rice, Gregory ; Characiejus, Vaidotas. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:175-196.

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2021On diagnostic checking in ARMA models with conditionally heteroscedastic martingale difference using wavelet methods. (2021). Liou, Chu Pheuil ; Duchesne, Pierre . In: Econometrics and Statistics. RePEc:eee:ecosta:v:19:y:2021:i:c:p:169-187.

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2020Local Gaussian correlations in financial and commodity markets. (2020). Chevallier, Julien ; Nguyen, Quynh Nga ; Zhu, Bangzhu ; Zhang, Lyuyuan ; Aboura, Sofiane. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:1:p:306-323.

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2021Quantitative portfolio selection: Using density forecasting to find consistent portfolios. (2021). Beasley, John ; Meade, N ; Adcock, C J. In: European Journal of Operational Research. RePEc:eee:ejores:v:288:y:2021:i:3:p:1053-1067.

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2020Does going public imply short-termism in investment behavior? Evidence from China. (2020). Li, Jie ; Zhang, Jie ; Yu, Zhuangxiong . In: Emerging Markets Review. RePEc:eee:ememar:v:42:y:2020:i:c:s1566014119305138.

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2020Do structural breaks in volatility cause spurious volatility transmission?. (2020). Caporin, Massimiliano ; Malik, Farooq. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:60-82.

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2020Price and volatility linkages between international REITs and oil markets. (2020). Soytas, Ugur ; GUPTA, RANGAN ; Gormus, Alper ; Nazlioglu, Saban. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320301195.

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2020A nonparametric analysis of energy environmental Kuznets Curve in Chinese Provinces. (2020). Shahbaz, Muhammad ; Khalid, Usman ; Shafiullah, Muhammad ; Song, Malin. In: Energy Economics. RePEc:eee:eneeco:v:89:y:2020:i:c:s0140988320301547.

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2021International crude oil price, regulation and asymmetric response of Chinas gasoline price. (2021). Sun, Zesheng ; Chen, Hao. In: Energy Economics. RePEc:eee:eneeco:v:94:y:2021:i:c:s0140988320303893.

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2021Systemic risk and financial contagion across top global energy companies. (2021). Zhang, Dayong ; Ji, Qiang ; Wu, Fei. In: Energy Economics. RePEc:eee:eneeco:v:97:y:2021:i:c:s0140988321001262.

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2021The importance of extreme shock: Examining the effect of investor sentiment on the crude oil futures market. (2021). Liang, Chao ; Niu, Tianjiao ; Ma, Feng ; Wang, LU. In: Energy Economics. RePEc:eee:eneeco:v:99:y:2021:i:c:s0140988321002255.

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2021Best practices for analyzing the direct energy use of blockchain technology systems: Review and policy recommendations. (2021). Koomey, Jonathan ; Masanet, Eric ; Lei, Nuoa. In: Energy Policy. RePEc:eee:enepol:v:156:y:2021:i:c:s0301421521002925.

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2020Dynamic complexity and causality of crude oil and major stock markets. (2020). Wang, Jun ; Xiao, DI. In: Energy. RePEc:eee:energy:v:193:y:2020:i:c:s0360544219324867.

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2020Extreme risk spillovers between crude oil prices and the U.S. exchange rate: Evidence from oil-exporting and oil-importing countries. (2020). Wang, Yudong ; Ma, Chaoqun ; Liu, LI ; Wen, Danyan. In: Energy. RePEc:eee:energy:v:212:y:2020:i:c:s0360544220318478.

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2021Dynamic dependence and risk connectedness among oil and stock markets: New evidence from time-frequency domain perspectives. (2021). Zou, Huiwen ; Li, Binlin ; Goh, Mark ; Cui, Jinxin. In: Energy. RePEc:eee:energy:v:216:y:2021:i:c:s0360544220324099.

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2021Study on the impacts of Shanghai crude oil futures on global oil market and oil industry based on VECM and DAG models. (2021). Di, Peng ; Zhang, QI ; Farnoosh, Arash. In: Energy. RePEc:eee:energy:v:223:y:2021:i:c:s0360544221002991.

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2021Coherence, extreme risk spillovers, and dynamic linkages between oil and China’s commodity futures markets. (2021). Zou, Huiwen ; Goh, Mark ; Cui, Jinxin. In: Energy. RePEc:eee:energy:v:225:y:2021:i:c:s0360544221004394.

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2021Fuel price co-movements among France, Germany and Italy: A time-frequency investigation. (2021). Albulescu, Claudiu ; Mutascu, Mihai Ioan . In: Energy. RePEc:eee:energy:v:225:y:2021:i:c:s0360544221004850.

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2020Risk spillovers between FinTech and traditional financial institutions: Evidence from the U.S.. (2020). Li, Jingyu ; Casu, Barbara ; Yao, Yinhong ; Zhu, Xiaoqian. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301885.

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2021Skewness-based market integration: A systemic risk measure across international equity markets. (2021). Li, Xupei ; Jian, Zhihong. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000077.

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2021Realized volatility spillovers between US spot and futures during ECB news: Evidence from the European sovereign debt crisis. (2021). Tsagkanos, Athanasios ; Floros, Christos ; Konstantatos, Christoforos ; Gkillas, Konstantinos. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000491.

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2020On the speculative nature of cryptocurrencies: A study on Garman and Klass volatility measure. (2020). NG, KOK HAUR ; Chan, Jennifer ; Tan, Shay-Kee. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318305105.

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2021Modeling dynamic higher moments of crude oil futures. (2021). Li, Chao ; Wang, Tianyi ; Liang, Fang ; Huang, Zhuo. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s1544612319302727.

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2021Do economic news releases affect tail risk? Evidence from an emerging market. (2021). Siriopoulos, Costas ; Tsagkanos, Athanasios ; Konstantatos, Christoforos ; Gkillas, Konstantinos. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s154461232030297x.

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2020Risk premium spillovers among stock markets: Evidence from higher-order moments. (2020). Aboura, Sofiane ; Finta, Marinela Adriana. In: Journal of Financial Markets. RePEc:eee:finmar:v:49:y:2020:i:c:s1386418120300021.

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2021The liquidity of active ETFs. (2021). Marshall, Ben R ; Pham, Son D ; Visaltanachoti, Nuttawat ; Nguyen, Nhut H. In: Global Finance Journal. RePEc:eee:glofin:v:49:y:2021:i:c:s1044028320302726.

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2020Ratings matter: Announcements in times of crisis and the dynamics of stock markets. (2020). Rosati, Nicoletta ; Bellia, Mario ; Oliveira, Vasco ; Matos, Pedro Verga. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:64:y:2020:i:c:s1042443119300460.

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2021International tail risk connectedness: Network and determinants. (2021). Lambe, Brendan John ; Nguyen, Linh Hoang. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:72:y:2021:i:c:s1042443121000512.

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2020New centrality and causality metrics assessing air traffic network interactions. (2020). Gurtner, Grald ; Delgado, Luis ; Lillo, Fabrizio ; Zaoli, Silvia ; Mazzarisi, Piero. In: Journal of Air Transport Management. RePEc:eee:jaitra:v:85:y:2020:i:c:s0969699719305307.

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2021Network-wide assessment of ATM mechanisms using an agent-based model. (2021). Lillo, Fabrizio ; Cook, Andrew ; Valput, Damir ; Zaoli, Silvia ; Mazzarisi, Piero ; Gurtner, Grald ; Delgado, Luis. In: Journal of Air Transport Management. RePEc:eee:jaitra:v:95:y:2021:i:c:s0969699721000910.

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2020Monetary policy announcements and market interest rates’ response: Evidence from China. (2020). Sun, Rongrong. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:113:y:2020:i:c:s0378426620300303.

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2020Spectral backtests of forecast distributions with application to risk management. (2020). McNeil, Alexander J ; Gordy, Michael B. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:116:y:2020:i:c:s0378426620300844.

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2021Did state-owned enterprises do better during COVID-19? Evidence from a survey of company executives in China. (2021). Xu, Bin ; Wu, Howei . In: Journal of Economics and Business. RePEc:eee:jebusi:v:115:y:2021:i:c:s0148619521000096.

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2021Picking funds with confidence. (2021). Wermers, Russ ; Timmermann, Allan ; Lunde, Asger ; Gronborg, Niels S. In: Journal of Financial Economics. RePEc:eee:jfinec:v:139:y:2021:i:1:p:1-28.

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2021The flight from maturity. (2021). Xie, Lei ; Metrick, Andrew ; Gorton, Gary. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:47:y:2021:i:c:s1042957320300267.

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2020Test for conditional independence with application to conditional screening. (2020). Zhu, Liping ; Liu, Jingyuan ; Zhou, Yeqing. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:175:y:2020:i:c:s0047259x19300168.

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2020The influence of highway on local economy: Evidence from Chinas Yangtze River Delta region. (2020). Zhang, Xueliang ; Lin, Yongran ; Hu, Yuqi . In: Journal of Transport Geography. RePEc:eee:jotrge:v:82:y:2020:i:c:s0966692319300754.

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2020Oil prices, stock market returns and volatility spillovers: Evidence from Turkey. (2020). Dibooglu, Selahattin ; Çevik, Emrah. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:42:y:2020:i:3:p:597-614.

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2020Time-varying volatility spillovers between oil prices and precious metal prices. (2020). Esen, Omer ; Çevik, Emrah ; Cevik, Emrah Ismail ; Yildirim, Durmu Ari. In: Resources Policy. RePEc:eee:jrpoli:v:68:y:2020:i:c:s0301420720303330.

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2020Spillovers and co-movements between precious metals and energy markets: Implications on portfolio management. (2020). Vo, Xuan Vinh ; Ur, Mobeen ; Mensi, Walid. In: Resources Policy. RePEc:eee:jrpoli:v:69:y:2020:i:c:s0301420720308680.

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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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article10
2004Out-of-Sample Performance of Discrete-Time Spot Interest Rate Models In: Journal of Business & Economic Statistics.
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article36
1998Testing for pairwise serial independence via the empirical distribution function In: Journal of the Royal Statistical Society Series B.
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article6
2000Generalized spectral tests for serial dependence In: Journal of the Royal Statistical Society Series B.
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article30
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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article5
1999M-Testing Using Finite and Infinite Dimensional Parameter Estimators In: University of California at San Diego, Economics Working Paper Series.
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paper3
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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article22
2001ONE-SIDED TESTING FOR ARCH EFFECTS USING WAVELETS In: Econometric Theory.
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article13
2003DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS In: Econometric Theory.
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article27
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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article12
2012TESTING FOR THE MARKOV PROPERTY IN TIME SERIES In: Econometric Theory.
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article6
2016DETECTING FOR SMOOTH STRUCTURAL CHANGES IN GARCH MODELS In: Econometric Theory.
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article6
2018CHARACTERISTIC FUNCTION BASED TESTING FOR CONDITIONAL INDEPENDENCE: A NONPARAMETRIC REGRESSION APPROACH In: Econometric Theory.
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article3
1995Consistent Specification Testing via Nonparametric Series Regression. In: Econometrica.
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article107
1996Consistent Testing for Serial Correlation of Unknown Form. In: Econometrica.
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article87
2004Wavelet-Based Testing for Serial Correlation of Unknown Form in Panel Models In: Econometrica.
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article30
2000Wavelet-Based Testing for Serial Correlation of Unknown Form in Panel Models.(2000) In: Center for Policy Research Working Papers.
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paper
2005Asymptotic Distribution Theory for Nonparametric Entropy Measures of Serial Dependence In: Econometrica.
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article54
2012Testing for Smooth Structural Changes in Time Series Models via Nonparametric Regression In: Econometrica.
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article56
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.
[Citation analysis]
paper0
2004Generalized (Cross) Spectral Tests for Optimal Forecasts and Conditional Predictive Ability Under Generalized Loss Functions In: Econometric Society 2004 North American Winter Meetings.
[Citation analysis]
paper0
2000Wavelet-based Estimation for Heteroskedasticity and Autocorrelation Consistent Variance-Covariance Matrices In: Econometric Society World Congress 2000 Contributed Papers.
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paper6
2013Productivity spillovers among linked sectors In: China Economic Review.
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article1
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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article4
2017Do Chinas high-speed-rail projects promote local economy?—New evidence from a panel data approach In: China Economic Review.
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article24
2017Adaptive penalized splines for data smoothing In: Computational Statistics & Data Analysis.
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article1
2001A test for volatility spillover with application to exchange rates In: Journal of Econometrics.
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article204
2006Validating forecasts of the joint probability density of bond yields: Can affine models beat random walk? In: Journal of Econometrics.
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article28
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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article37
2009Guest editors introduction In: Journal of Econometrics.
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article0
2009Granger causality in risk and detection of extreme risk spillover between financial markets In: Journal of Econometrics.
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article116
2011Generalized spectral testing for multivariate continuous-time models In: Journal of Econometrics.
[Full Text][Citation analysis]
article2
2014A unified approach to validating univariate and multivariate conditional distribution models in time series In: Journal of Econometrics.
[Full Text][Citation analysis]
article2
2018Threshold autoregressive models for interval-valued time series data In: Journal of Econometrics.
[Full Text][Citation analysis]
article6
2019A model-free consistent test for structural change in regression possibly with endogeneity In: Journal of Econometrics.
[Full Text][Citation analysis]
article0
2021Solving Euler equations via two-stage nonparametric penalized splines In: Journal of Econometrics.
[Full Text][Citation analysis]
article0
2021Time-varying model averaging In: Journal of Econometrics.
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article0
2017Time-varying Model Averaging.(2017) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2014Time-varying Granger causality tests for applications in global crude oil markets In: Energy Economics.
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article41
2019Asymmetric pass-through of oil prices to gasoline prices with interval time series modelling In: Energy Economics.
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article8
2011Financial volatility forecasting with range-based autoregressive volatility model In: Finance Research Letters.
[Full Text][Citation analysis]
article29
2010Modeling the dynamics of Chinese spot interest rates In: Journal of Banking & Finance.
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article8
2012Are corporate bond market returns predictable? In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article17
2013How smooth is price discovery? Evidence from cross-listed stock trading In: Journal of International Money and Finance.
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article17
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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article11
2016A Vector Autoregressive Moving Average Model for Interval-Valued Time Series Data In: Advances in Econometrics.
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chapter1
2001Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]
paper10
1994Nonparametric Coherency-Based Testing for Independence Between Two Stationary Time Series. In: Cornell - Department of Economics.
[Citation analysis]
paper0
2011TESTING THE STRUCTURE OF CONDITIONAL CORRELATIONS IN MULTIVARIATE GARCH MODELS: A GENERALIZED CROSS‐SPECTRUM APPROACH In: International Economic Review.
[Full Text][Citation analysis]
article3
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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article25
2021Policy assessments for the carbon emission flows and sustainability of Bitcoin blockchain operation in China In: Nature Communications.
[Full Text][Citation analysis]
article2
1994Autonomy and Incentives in Chinese State Enterprises In: The Quarterly Journal of Economics.
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article249
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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article37
2005Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates In: Review of Financial Studies.
[Full Text][Citation analysis]
article110
2006Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation In: Review of Financial Studies.
[Full Text][Citation analysis]
article32
1996Testing for independence between two covariance stationary time series In: MPRA Paper.
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paper10
2007Central limit theorems for weighted quadratic forms of dependent processes with applications in specification testing In: MPRA Paper.
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paper2
2017An efficient integrated nonparametric entropy estimator of serial dependence In: Econometric Reviews.
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article0
2021Forecasting crude oil price intervals and return volatility via autoregressive conditional interval models In: Econometric Reviews.
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article0
2008Central limit theorems for generalized -statistics with applications in nonparametric specification In: Journal of Nonparametric Statistics.
[Full Text][Citation analysis]
article3
2016Analysis of crisis impact on crude oil prices: a new approach with interval time series modelling In: Quantitative Finance.
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article3
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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article60
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.
[Full Text][Citation analysis]
article130
2017TESTING STRICT STATIONARITY WITH APPLICATIONS TO MACROECONOMIC TIME SERIES In: International Economic Review.
[Full Text][Citation analysis]
article1
2002Nonparametric specification testing for continuous-time models with application to spot interest rates In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]
paper23
2003Nonparametric Methods in Continuous-Time Finance: A Selective Review In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]
paper7

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