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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
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Time-varying factor selection : a sparse fused GMM approach
Cui, Liyuan; Feng, Guanhao; Hong, Yongmiao; Yang, Jiangshan - 2023
Persistent link: https://www.econbiz.de/10014371831
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A regularized high-dimensional positive definite covariance estimator with high-frequency data
Cui, Liyuan; Hong, Yongmiao; Li, Yingxing; Wang, Junhui - In: Management science : journal of the Institute for … 70 (2024) 10, pp. 7242-7264
Persistent link: https://www.econbiz.de/10015143872
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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
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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
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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
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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
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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