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A new test for ARCH effects and its finite-sample performance

Hong, Yongmiao - In: Journal of business & economic statistics : JBES ; a … 17 (1999) 1, pp. 91-108

Persistent link: https://www.econbiz.de/10001253384

Inference on via generalized spectrum and non-linear time series models

Hong, Yongmiao; Lee, Tae-hwy - In: The review of economics and statistics 85 (2003) 4, pp. 1048-1062

Persistent link: https://www.econbiz.de/10001832972

Nonparametric specification testing for continuous-time models with applications to term structure of interest rates

Hong, Yongmiao; Li, Haitao - In: The review of financial studies 18 (2005) 1, pp. 37-84

Persistent link: https://www.econbiz.de/10002646532

Forecasting interval-valued crude oil prices using asymmetric interval models

Lu, Quanying; Sun, Yuying; Hong, Yongmiao; Wang, Shouyang - In: Quantitative finance 22 (2022) 11, pp. 2047-2061

Persistent link: https://www.econbiz.de/10013490921

Nonparametric specification testing for continuous-time models with application to spot interest rates

Hong, Yongmiao; Li, Haitao - 2002

We propose two nonparametric transition density-based speciÞcation tests for continuous-time diffusion models. In contrast to marginal density as used in the literature, transition density can capture the full dynamics of a diffusion process, and in particular, can distinguish processes with...

Persistent link: https://www.econbiz.de/10009621413

Characteristic function based testing for conditional independence : a nonparametric regression approach

Wang, Xia; Hong, Yongmiao - In: Econometric theory 34 (2018) 4, pp. 815-849

Persistent link: https://www.econbiz.de/10011951432

Solving Euler equations via two-stage nonparametric penalized splines

Cui, Liyuan; Hong, Yongmiao; Li, Yingxing - In: Journal of econometrics 222 (2021) 2, pp. 1024-1056

Persistent link: https://www.econbiz.de/10012619815

Threshold autoregressive models for interval-valued time series data

Sun, Yuying; Han, Ai; Hong, Yongmiao; Wang, Shouyang - In: Journal of econometrics 206 (2018) 2, pp. 414-446

Persistent link: https://www.econbiz.de/10012110403

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

Fast estimation of a large TVP-VAR model with score-driven volatilities

Zheng, Tingguo; Ye, Shiqi; Hong, Yongmiao - In: Journal of economic dynamics & control 157 (2023), pp. 1-22

Persistent link: https://www.econbiz.de/10014495380