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A test for volatility spillover with application to exchange rates

Hong, Yongmiao - In: Journal of econometrics 103 (2001) 1/2, pp. 183-224

Persistent link: https://www.econbiz.de/10001585360

One-sided testing for ARCH effects using wavelets

Hong, Yongmiao; Lee, Jin - In: Econometric theory 17 (2001) 6, pp. 1051-1081

Persistent link: https://www.econbiz.de/10001638375

Testing the structure of conditional correlations in multivariate GARCH models : a generalized cross-spectrum approach

McCloud, Nadine; Hong, Yongmiao - In: International economic review 52 (2011) 4, pp. 991-1037

Persistent link: https://www.econbiz.de/10009385429

Financial volatility forecasting with range-based autoregressive volatility model

Li, Hongquan; Hong, Yongmiao - In: Finance research letters 8 (2011) 2, pp. 69-76

Persistent link: https://www.econbiz.de/10009301308

Can the random walk model be beaten in out-of-sample density forecasts? : Evidence form intraday foreign exchange rates

Hong, Yongmiao; Li, Haitao; Zhao, Feng - In: Journal of econometrics 141 (2007) 2, pp. 736-776

Persistent link: https://www.econbiz.de/10003571349

Detecting for smooth structural changes in GARCH models

Chen, Bin; Hong, Yongmiao - In: Econometric theory 32 (2016) 3, pp. 740-791

Persistent link: https://www.econbiz.de/10011606827

Forecasting crude oil price intervals and return volatility via autoregressive conditional interval models

He, Yanan; Han, Ai; Hong, Yongmiao; Sun, Yuying; Wang, … - In: Econometric reviews 40 (2021) 6, pp. 584-606

Persistent link: https://www.econbiz.de/10012624525

Asymmetric pass-through of oil prices to gasoline prices with interval time series modelling

Sun, Yuying; Zhang, Xun; Hong, Yongmiao; Wang, Shouyang - In: Energy economics 78 (2019), pp. 165-173

Persistent link: https://www.econbiz.de/10012159915

A score statistic for testing the presence of a stochastic trend in conditional variances

Hong, Yongmiao; Linton, Oliver; McCabe, Brendan Peter Martin - In: Economics letters 213 (2022), pp. 1-6

Persistent link: https://www.econbiz.de/10013442141

Bounded Influence Estimation for Auto-Regressive Conditional Heteroskedasticity Models with Estimates of the Variances of Foreign Exchange Rates

Kao, Chihwa - 2011

This paper proposes a robust estimation procedure, the bounded influence estimate (BIE), that is robust against departure from the conditional normality of the autoregressive conditional heteroskedasticity (ARCH) models to describe the behavior of exchange rates. First, the BIE identifies the...

Persistent link: https://www.econbiz.de/10014183528