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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. 991-1038
Persistent link: https://www.econbiz.de/10009803303
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A New Test for ARCH Effects and Its Finite-Sample Performance
Hong, Yongmiao; Shehadeh, Ramsey D. - In: Journal of business & economic statistics : JBES ; a … 17 (1999) 1, pp. 91-108
Persistent link: https://www.econbiz.de/10008218710
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Out-of-Sample Performance of Discrete-Time Spot Interest Rate Models
Hong, Yongmiao; Li, Haitao; Zhao, Feng - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 4, pp. 457-473
Persistent link: https://www.econbiz.de/10008223230
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A test for volatility spillover with application to exchange rates
Hong, Yongmiao - In: Journal of econometrics 103 (2001) 1, pp. 183-224
Persistent link: https://www.econbiz.de/10006774210
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Productivity spillovers among linked sectors
Peng, Ling; Hong, Yongmiao - In: China economic review : an international journal 25 (2013), pp. 44-61
Persistent link: https://www.econbiz.de/10010109222
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Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation
Hong, Yongmiao; Tu, Jun; Zhou, Guofu - In: The review of financial studies 20 (2013) 5, pp. 1547-1546
Persistent link: https://www.econbiz.de/10010113741
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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 (2013) 1, pp. 37-36
Persistent link: https://www.econbiz.de/10010114461
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Generalized Spectral Tests for Conditional Mean Models in Time Series with Conditional Heteroscedasticity of Unknown Form
Hong, Yongmiao; Lee, Yoon-Jin - In: The review of economic studies 72 (2005) 251, pp. 499-542
Persistent link: https://www.econbiz.de/10007643426
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Model-free evaluation of directional predictability in foreign exchange markets
Chung, Jaehun; Hong, Yongmiao - In: Journal of applied econometrics 22 (2007) 5, pp. 855-890
Persistent link: https://www.econbiz.de/10007763163
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Can the random walk model be beaten in out-of-sample density forecasts? Evidence from 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/10007859771