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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

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

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

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

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

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

Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns

Gallo, Giampiero M.; Hong, Yongmiao; Lee, Tae-Why - Dipartimento di Statistica, Informatica, Applicazioni … - 2001

In this paper we examine under what circumstances the information accumulated during market closing time and conveyed to the price formation at market opening may be exploited to predict where the stock price will be at the end of the trading day. In our sample of three financial time series, we...

Persistent link: https://www.econbiz.de/10005687788