Yongmiao Hong : Citation Profile


Are you Yongmiao Hong?

Cornell University

18

H index

24

i10 index

1323

Citations

RESEARCH PRODUCTION:

51

Articles

15

Papers

1

Chapters

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   24 years (1994 - 2018). See details.
   Cites by year: 55
   Journals where Yongmiao Hong has often published
   Relations with other researchers
   Recent citing documents: 155.    Total self citations: 17 (1.27 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pho691
   Updated: 2019-10-15    RAS profile: 2019-04-28    
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Relations with other researchers


Works with:

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 (19)

GUPTA, RANGAN (18)

van Dijk, Dick (17)

Panchenko, Valentyn (16)

Escanciano, Juan Carlos (15)

GAO, Jiti (14)

Swanson, Norman (13)

Diks, Cees (12)

Bhaumik, Sumon (12)

WANG, YIJIANG (11)

Cites to:

Engle, Robert (34)

Bollerslev, Tim (29)

White, Halbert (26)

Diebold, Francis (25)

Hansen, Bruce (25)

Singleton, Kenneth (17)

Granger, Clive (17)

Ait-Sahalia, Yacine (16)

Wooldridge, Jeffrey (15)

Hamilton, James (12)

Swanson, Norman (12)

Main data


Where Yongmiao Hong has published?


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

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

Recent works citing Yongmiao Hong (2019 and 2018)


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

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2019Quantile-Frequency Analysis and Spectral Divergence Metrics for Diagnostic Checks of Time Series With Nonlinear Dynamics. (2019). Li, Ta-Hsin . In: Papers. RePEc:arx:papers:1908.02545.

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

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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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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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2019THE REACTIVE BETA MODEL. (2019). Grebenkov, Denis ; Aboura, Sofiane ; Valeyre, Sebastien. In: Journal of Financial Research. RePEc:bla:jfnres:v:42:y:2019:i:1:p:71-113.

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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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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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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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2019Asymmetric Threshold Cointegration and Nonlinear Adjustment between Oil Prices and Financial Stress. (2019). Mighri, Zouheir Ahmed ; al Saggaf, Majid Ibrahim ; Alsaggaf, Majid Ibrahim. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2019-03-10.

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2019Density tourism demand forecasting revisited. (2019). Liu, Chang ; Wen, Long ; Song, Haiyan. In: Annals of Tourism Research. RePEc:eee:anture:v:75:y:2019:i:c:p:379-392.

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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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2019Bayesian copula spectral analysis for stationary time series. (2019). Zhang, Shibin . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:133:y:2019:i:c:p:166-179.

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2019Measuring network systemic risk contributions: A leave-one-out approach. (2019). Tokpavi, Sessi ; Lucotte, Yannick ; Hue, Sullivan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:86-114.

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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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2019Return spillovers around the globe: A network approach. (2019). Baumohl, Eduard ; Vrost, Toma ; Lyocsa, Tefan. In: Economic Modelling. RePEc:eee:ecmode:v:77:y:2019:i:c:p:133-146.

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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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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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2019The time-frequency co-movement of Asian effective exchange rates: A wavelet approach with daily data. (2019). Huang, Chia-Hsing ; Meng, Xiangcai. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:131-148.

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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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2019Consistent specification test for partially linear models with the k-nearest-neighbor method. (2019). Wang, Qiao. In: Economics Letters. RePEc:eee:ecolet:v:177:y:2019:i:c:p:89-93.

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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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2019Alternative tests for correct specification of conditional predictive densities. (2019). Sekhposyan, Tatevik ; Rossi, Barbara. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:638-657.

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2019A model-free consistent test for structural change in regression possibly with endogeneity. (2019). Hong, Yongmiao ; Fu, Zhonghao. In: Journal of Econometrics. RePEc:eee:econom:v:211:y:2019:i:1:p:206-242.

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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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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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2019A novel market efficiency index for energy futures and their term structure risk premiums. (2019). Roberts, Helen ; Premachandra, I M ; Kuruppuarachchi, Duminda. In: Energy Economics. RePEc:eee:eneeco:v:77:y:2019:i:c:p:23-33.

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2019Electricity prices and industry switching: Evidence from Chinese manufacturing firms. (2019). Zhu, Tong ; Sun, Puyang ; Elliott, Robert. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:567-588.

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2019The China wind paradox: The role of state-owned enterprises in wind power investment versus wind curtailment. (2019). Lu, Jiaqi ; Belis, David ; Qi, YE ; Zhu, Mengye ; Kerremans, Bart. In: Energy Policy. RePEc:eee:enepol:v:127:y:2019:i:c:p:200-212.

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2019The co-movement between oil and clean energy stocks: A wavelet-based analysis of horizon associations. (2019). Abdoh, Hussein ; Awartani, Basel ; Maghyereh, Aktham I. In: Energy. RePEc:eee:energy:v:169:y:2019:i:c:p:895-913.

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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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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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2019Comparison of range-based volatility estimators against integrated volatility in European emerging markets. (2019). Sori, Petar ; Matkovi, Mario ; Arneri, Josip. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:118-124.

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2019The causal relationship between Bitcoin attention and Bitcoin returns: Evidence from the Copula-based Granger causality test. (2019). Gözgör, Giray ; Demir, Ender ; Downing, Gareth ; Dastgir, Shabbir ; Marco, Chi Keung. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:160-164.

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2019A new variant of RealGARCH for volatility modeling. (2019). Wang, Shouyang ; Qi, Nan ; Xie, Haibin. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:438-443.

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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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2019Tests of technical trading rules and the 52-week high strategy in the corporate bond market. (2019). Ulku, Numan ; Raza, Ahmad ; Montgomery, William . In: Global Finance Journal. RePEc:eee:glofin:v:40:y:2019:i:c:p:85-103.

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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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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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2019Commodity-currencies or currency-commodities: Evidence from causality tests. (2019). Demirer, Riza ; Belasen, Ariel. In: Resources Policy. RePEc:eee:jrpoli:v:60:y:2019:i:c:p:162-168.

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2019Time-varying causal relationship between stock market and unemployment in the United Kingdom: Historical evidence from 1855 to 2017. (2019). GUPTA, RANGAN ; Wohar, Mark E ; Sibande, Xolani. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:49:y:2019:i:c:p:81-88.

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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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2019Forecasting the Chinese stock volatility across global stock markets. (2019). Zhang, Yaojie ; Ma, Feng ; Liu, Jing. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:525:y:2019:i:c:p:466-477.

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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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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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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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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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1997One‐sided testing for conditional heteroskedasticity in time series models In: Journal of Time Series Analysis.
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2011Detecting misspecifications in autoregressive conditional duration models and non‐negative time‐series processes In: Journal of Time Series Analysis.
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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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2001TESTING FOR SERIAL CORRELATION OF UNKNOWN FORM USING WAVELET METHODS In: Econometric Theory.
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2001ONE-SIDED TESTING FOR ARCH EFFECTS USING WAVELETS In: Econometric Theory.
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2003DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS In: Econometric Theory.
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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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2010CHARACTERISTIC FUNCTION–BASED TESTING FOR MULTIFACTOR CONTINUOUS-TIME MARKOV MODELS VIA NONPARAMETRIC REGRESSION In: Econometric Theory.
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2012TESTING FOR THE MARKOV PROPERTY IN TIME SERIES In: Econometric Theory.
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2016DETECTING FOR SMOOTH STRUCTURAL CHANGES IN GARCH MODELS In: Econometric Theory.
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2018CHARACTERISTIC FUNCTION BASED TESTING FOR CONDITIONAL INDEPENDENCE: A NONPARAMETRIC REGRESSION APPROACH In: Econometric Theory.
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1995Consistent Specification Testing via Nonparametric Series Regression. In: Econometrica.
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1996Consistent Testing for Serial Correlation of Unknown Form. In: Econometrica.
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2004Wavelet-Based Testing for Serial Correlation of Unknown Form in Panel Models In: Econometrica.
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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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2004Specification Testing for Multivariate Time Series Volatility Models In: Econometric Society 2004 Far Eastern Meetings.
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2004Detecting Neglected Nonlinearity in Dynamic Panel Data with Time-Varying Conditional Heteroskedasticity In: Econometric Society 2004 Far Eastern Meetings.
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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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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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2000Wavelet-based Estimation for Heteroskedasticity and Autocorrelation Consistent Variance-Covariance Matrices In: Econometric Society World Congress 2000 Contributed Papers.
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2013Productivity spillovers among linked sectors In: China Economic Review.
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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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2017Do Chinas high-speed-rail projects promote local economy?—New evidence from a panel data approach In: China Economic Review.
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2017Adaptive penalized splines for data smoothing In: Computational Statistics & Data Analysis.
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2001A test for volatility spillover with application to exchange rates In: Journal of Econometrics.
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2006Validating forecasts of the joint probability density of bond yields: Can affine models beat random walk? In: Journal of Econometrics.
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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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2011Generalized spectral testing for multivariate continuous-time models In: Journal of Econometrics.
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2014A unified approach to validating univariate and multivariate conditional distribution models in time series In: Journal of Econometrics.
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2018Threshold autoregressive models for interval-valued time series data In: Journal of Econometrics.
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2019Asymmetric pass-through of oil prices to gasoline prices with interval time series modelling In: Energy Economics.
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2011Financial volatility forecasting with range-based autoregressive volatility model In: Finance Research Letters.
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2010Modeling the dynamics of Chinese spot interest rates In: Journal of Banking & Finance.
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2012Are corporate bond market returns predictable? In: Journal of Banking & Finance.
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article15
2013How smooth is price discovery? Evidence from cross-listed stock trading In: Journal of International Money and Finance.
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article16
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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2016A Vector Autoregressive Moving Average Model for Interval-Valued Time Series Data In: Advances in Econometrics.
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2001Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns In: Econometrics Working Papers Archive.
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1994Nonparametric Coherency-Based Testing for Independence Between Two Stationary Time Series. In: Cornell - Department of Economics.
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2011TESTING THE STRUCTURE OF CONDITIONAL CORRELATIONS IN MULTIVARIATE GARCH MODELS: A GENERALIZED CROSS‐SPECTRUM APPROACH In: International Economic Review.
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2007Detecting Misspecifications in Autoregressive Conditional Duration Models In: CAEPR Working Papers.
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2007Model-free evaluation of directional predictability in foreign exchange markets In: Journal of Applied Econometrics.
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1994Autonomy and Incentives in Chinese State Enterprises In: The Quarterly Journal of Economics.
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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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2005Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates In: Review of Financial Studies.
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2006Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation In: Review of Financial Studies.
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2007Central limit theorems for weighted quadratic forms of dependent processes with applications in specification testing In: MPRA Paper.
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2017An efficient integrated nonparametric entropy estimator of serial dependence In: Econometric Reviews.
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2008Central limit theorems for generalized -statistics with applications in nonparametric specification In: Journal of Nonparametric Statistics.
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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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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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1995Chinas Evolving Managerial Labor Market. In: Journal of Political Economy.
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2017TESTING STRICT STATIONARITY WITH APPLICATIONS TO MACROECONOMIC TIME SERIES In: International Economic Review.
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article1
2002Nonparametric specification testing for continuous-time models with application to spot interest rates In: SFB 373 Discussion Papers.
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paper10
2003Nonparametric Methods in Continuous-Time Finance: A Selective Review In: SFB 373 Discussion Papers.
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paper2

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