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Yongmiao Hong

Personal Details

First Name:Yongmiao
Middle Name:
Last Name:Hong
Suffix:
RePEc Short-ID:pho691
http://hong.economics.cornell.edu/
Department of Economics Cornell University 424 Uris Hall Ithaca, NY 14850, USA

Affiliation

Department of Economics
Cornell University

Ithaca, New York (United States)
http://economics.cornell.edu/

: 607-255-4254
607-255-2818
Uris Hall, 4th Floor, Ithaca NY 14853
RePEc:edi:decorus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters Editorship

Working papers

  1. Gao, Jiti & Hong, Yongmiao, 2007. "Central limit theorems for weighted quadratic forms of dependent processes with applications in specification testing," MPRA Paper 11977, University Library of Munich, Germany, revised Dec 2007.
  2. Yongmiao Hong & Yoon-Jin Lee, 2007. "Detecting Misspecifications in Autoregressive Conditional Duration Models," CAEPR Working Papers 2007-019, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
  3. Hong, Yongmiao & Wang, Dabin & Zhang, Xiaobo, 2005. "Identifying Threshold Effects and Typologies in Economic Growth: A Panel Approach," 2005 Annual meeting, July 24-27, Providence, RI 19163, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  4. Yoon-Jin Lee & Yongmiao Hong, 2004. "Specification Testing for Multivariate Time Series Volatility Models," Econometric Society 2004 Far Eastern Meetings 696, Econometric Society.
  5. Tae-Hwy Lee & Yongmiao Hong, 2004. "Generalized (Cross) Spectral Tests for Optimal Forecasts and Conditional Predictive Ability Under Generalized Loss Functions," Econometric Society 2004 North American Winter Meetings 614, Econometric Society.
  6. Jaehun Chung & Yongmiao Hong, 2004. "Are the directions of stock price changes predictable? A generalized cross-spectral approach," Econometric Society 2004 North American Winter Meetings 469, Econometric Society.
  7. Chihwa Kao & Yongmiao Hong, 2004. "Detecting Neglected Nonlinearity in Dynamic Panel Data with Time-Varying Conditional Heteroskedasticity," Econometric Society 2004 Far Eastern Meetings 753, Econometric Society.
  8. Cai, Zongwu & Hong, Yongmiao, 2003. "Nonparametric Methods in Continuous-Time Finance: A Selective Review," SFB 373 Discussion Papers 2003,15, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  9. Hong, Yongmiao & Li, Haitao, 2002. "Nonparametric specification testing for continuous-time models with application to spot interest rates," SFB 373 Discussion Papers 2002,32, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  10. Min-Hsien Chiang & Yongmiao Hong & Chihwa Kao, 2002. "Spectral density bandwith choice and prewightening in the estimation of heteroskadasticity and autocorrelation consistent covariance matrices in panel data models," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 A6-3, International Conferences on Panel Data.
  11. Giampiero M. Gallo & Yongmiao Hong & Tae-Why Lee, 2001. "Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns," Econometrics Working Papers Archive wp2001_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  12. Yongmiao Hong & Jin Lee, 2000. "Wavelet-based Estimation for Heteroskedasticity and Autocorrelation Consistent Variance-Covariance Matrices," Econometric Society World Congress 2000 Contributed Papers 1211, Econometric Society.
  13. Yongmiao Hong & Chihwa Kao, 2000. "Wavelet-Based Testing for Serial Correlation of Unknown Form in Panel Models," Center for Policy Research Working Papers 32, Center for Policy Research, Maxwell School, Syracuse University.
  14. White, Halbert & Hong, Yongmiao, 1999. "M-Testing Using Finite and Infinite Dimensional Parameter Estimators," University of California at San Diego, Economics Working Paper Series qt9qz123ng, Department of Economics, UC San Diego.
  15. Hong, Y., 1994. "Nonparametric Coherency-Based Testing for Independence Between Two Stationary Time Series," Papers 94-31, Cornell - Department of Economics.

Articles

  1. Sun, Yuying & Zhang, Xun & Hong, Yongmiao & Wang, Shouyang, 2019. "Asymmetric pass-through of oil prices to gasoline prices with interval time series modelling," Energy Economics, Elsevier, vol. 78(C), pages 165-173.
  2. Wang, Xia & Hong, Yongmiao, 2018. "Characteristic Function Based Testing For Conditional Independence: A Nonparametric Regression Approach," Econometric Theory, Cambridge University Press, vol. 34(4), pages 815-849, August.
  3. Sun, Yuying & Han, Ai & Hong, Yongmiao & Wang, Shouyang, 2018. "Threshold autoregressive models for interval-valued time series data," Journal of Econometrics, Elsevier, vol. 206(2), pages 414-446.
  4. Yang, Lianqiang & Hong, Yongmiao, 2017. "Adaptive penalized splines for data smoothing," Computational Statistics & Data Analysis, Elsevier, vol. 108(C), pages 70-83.
  5. Yongmiao Hong & Xia Wang & Shouyang Wang, 2017. "Testing Strict Stationarity With Applications To Macroeconomic Time Series," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 58(4), pages 1227-1277, November.
  6. Ke, Xiao & Chen, Haiqiang & Hong, Yongmiao & Hsiao, Cheng, 2017. "Do China's high-speed-rail projects promote local economy?—New evidence from a panel data approach," China Economic Review, Elsevier, vol. 44(C), pages 203-226.
  7. Yongmiao Hong & Xia Wang & Wenjie Zhang & Shouyang Wang, 2017. "An efficient integrated nonparametric entropy estimator of serial dependence," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 728-780, October.
  8. Yang, Jinqiu & Hong, Yongmiao & Ma, Shuangge, 2016. "Impact of the new health care reform on hospital expenditure in China: A case study from a pilot city," China Economic Review, Elsevier, vol. 39(C), pages 1-14.
  9. Wei Yang & Ai Han & Yongmiao Hong & Shouyang Wang, 2016. "Analysis of crisis impact on crude oil prices: a new approach with interval time series modelling," Quantitative Finance, Taylor & Francis Journals, vol. 16(12), pages 1917-1928, December.
  10. Chen, Bin & Hong, Yongmiao, 2016. "Detecting For Smooth Structural Changes In Garch Models," Econometric Theory, Cambridge University Press, vol. 32(3), pages 740-791, June.
  11. Chen, Bin & Hong, Yongmiao, 2014. "A unified approach to validating univariate and multivariate conditional distribution models in time series," Journal of Econometrics, Elsevier, vol. 178(P1), pages 22-44.
  12. Chen, Haiqiang & Choi, Paul Moon Sub & Hong, Yongmiao, 2013. "How smooth is price discovery? Evidence from cross-listed stock trading," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 668-699.
  13. Peng, Ling & Hong, Yongmiao, 2013. "Productivity spillovers among linked sectors," China Economic Review, Elsevier, vol. 25(C), pages 44-61.
  14. Hong, Yongmiao & Lin, Hai & Wu, Chunchi, 2012. "Are corporate bond market returns predictable?," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2216-2232.
  15. Chen, Bin & Hong, Yongmiao, 2012. "Testing For The Markov Property In Time Series," Econometric Theory, Cambridge University Press, vol. 28(1), pages 130-178, February.
  16. Bin Chen & Yongmiao Hong, 2012. "Testing for Smooth Structural Changes in Time Series Models via Nonparametric Regression," Econometrica, Econometric Society, vol. 80(3), pages 1157-1183, May.
  17. Nadine McCloud & Yongmiao Hong, 2011. "Testing The Structure Of Conditional Correlations In Multivariate Garch Models: A Generalized Cross‐Spectrum Approach," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 52(4), pages 991-1037, November.
  18. Chen, Bin & Hong, Yongmiao, 2011. "Generalized spectral testing for multivariate continuous-time models," Journal of Econometrics, Elsevier, vol. 164(2), pages 268-293, October.
  19. Yongmiao Hong & Yoon‐Jin Lee, 2011. "Detecting misspecifications in autoregressive conditional duration models and non‐negative time‐series processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(1), pages 1-32, January.
  20. Li, Hongquan & Hong, Yongmiao, 2011. "Financial volatility forecasting with range-based autoregressive volatility model," Finance Research Letters, Elsevier, vol. 8(2), pages 69-76, June.
  21. Hong, Yongmiao & Lin, Hai & Wang, Shouyang, 2010. "Modeling the dynamics of Chinese spot interest rates," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1047-1061, May.
  22. Chen, Bin & Hong, Yongmiao, 2010. "Characteristic Function–Based Testing For Multifactor Continuous-Time Markov Models Via Nonparametric Regression," Econometric Theory, Cambridge University Press, vol. 26(4), pages 1115-1179, August.
  23. Hong, Yongmiao & Liu, Yanhui & Wang, Shouyang, 2009. "Granger causality in risk and detection of extreme risk spillover between financial markets," Journal of Econometrics, Elsevier, vol. 150(2), pages 271-287, June.
  24. Kuan, Chung-Ming & Hong, Yongmiao, 2009. "Guest editors' introduction," Journal of Econometrics, Elsevier, vol. 150(2), pages 117-118, June.
  25. Jiti Gao & Yongmiao Hong, 2008. "Central limit theorems for generalized -statistics with applications in nonparametric specification," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 20(1), pages 61-76.
  26. Liu, Xiangli & Cheng, Siwei & Wang, Shouyang & Hong, Yongmiao & Li, Yi, 2008. "An empirical study on information spillover effects between the Chinese copper futures market and spot market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(4), pages 899-914.
  27. Hong, Yongmiao & Lee, Yoon-Jin, 2007. "An Improved Generalized Spectral Test For Conditional Mean Models In Time Series With Conditional Heteroskedasticity Of Unknown Form," Econometric Theory, Cambridge University Press, vol. 23(1), pages 106-154, February.
  28. Hong, Yongmiao & Li, Haitao & Zhao, Feng, 2007. "Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates," Journal of Econometrics, Elsevier, vol. 141(2), pages 736-776, December.
  29. Jaehun Chung & Yongmiao Hong, 2007. "Model-free evaluation of directional predictability in foreign exchange markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(5), pages 855-889.
  30. Yongmiao Hong & Jun Tu & Guofu Zhou, 2006. "Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation," Review of Financial Studies, Society for Financial Studies, vol. 20(5), pages 1547-1581, 2007 23.
  31. Egorov, Alexei V. & Hong, Yongmiao & Li, Haitao, 2006. "Validating forecasts of the joint probability density of bond yields: Can affine models beat random walk?," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 255-284.
  32. Yongmiao Hong, 2005. "Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates," Review of Financial Studies, Society for Financial Studies, vol. 18(1), pages 37-84.
  33. Yongmiao Hong & Yoon-Jin Lee, 2005. "Generalized Spectral Tests for Conditional Mean Models in Time Series with Conditional Heteroscedasticity of Unknown Form," Review of Economic Studies, Oxford University Press, vol. 72(2), pages 499-541.
  34. Yongmiao Hong & Halbert White, 2005. "Asymptotic Distribution Theory for Nonparametric Entropy Measures of Serial Dependence," Econometrica, Econometric Society, vol. 73(3), pages 837-901, May.
  35. Yongmiao Hong & Chihwa Kao, 2004. "Wavelet-Based Testing for Serial Correlation of Unknown Form in Panel Models," Econometrica, Econometric Society, vol. 72(5), pages 1519-1563, September.
  36. Yongmiao Hong & Haitao Li & Feng Zhao, 2004. "Out-of-Sample Performance of Discrete-Time Spot Interest Rate Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 457-473, October.
  37. Yongmiao Hong & Tae-Hwy Lee, 2004. "ERRATUM: Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models," The Review of Economics and Statistics, MIT Press, vol. 86(3), pages 840-840, August.
  38. Hong, Yongmiao & Lee, Tae-Hwy, 2003. "Diagnostic Checking For The Adequacy Of Nonlinear Time Series Models," Econometric Theory, Cambridge University Press, vol. 19(6), pages 1065-1121, December.
  39. Yongmiao Hong & Tae-Hwy Lee, 2003. "Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models," The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 1048-1062, November.
  40. Yongmiao Hong, 2001. "Testing for Independence between Two stationary Time Series via the Empirical Characteristic Function," Annals of Economics and Finance, Society for AEF, vol. 2(1), pages 123-164, May.
  41. Lee, Jin & Hong, Yongmiao, 2001. "Testing For Serial Correlation Of Unknown Form Using Wavelet Methods," Econometric Theory, Cambridge University Press, vol. 17(2), pages 386-423, April.
  42. Hong, Yongmiao & Lee, Jin, 2001. "One-Sided Testing For Arch Effects Using Wavelets," Econometric Theory, Cambridge University Press, vol. 17(6), pages 1051-1081, December.
  43. Hong, Yongmiao, 2001. "A test for volatility spillover with application to exchange rates," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 183-224, July.
  44. Yongmiao Hong, 2000. "Generalized spectral tests for serial dependence," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 62(3), pages 557-574.
  45. Hong, Yongmiao & Shehadeh, Ramsey D, 1999. "A New Test for ARCH Effects and Its Finite-Sample Performance," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(1), pages 91-108, January.
  46. Yongmiao Hong, 1998. "Testing for pairwise serial independence via the empirical distribution function," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 60(2), pages 429-453.
  47. Yongmiao Hong, 1997. "One‐sided testing for conditional heteroskedasticity in time series models," Journal of Time Series Analysis, Wiley Blackwell, vol. 18(3), pages 253-277, May.
  48. Hong, Yongmiao, 1996. "Consistent Testing for Serial Correlation of Unknown Form," Econometrica, Econometric Society, vol. 64(4), pages 837-864, July.
  49. Hong, Yongmiao & White, Halbert, 1995. "Consistent Specification Testing via Nonparametric Series Regression," Econometrica, Econometric Society, vol. 63(5), pages 1133-1159, September.
  50. Groves, Theodore & Yongmiao Hong & John McMillan & Barry Naughton, 1995. "China's Evolving Managerial Labor Market," Journal of Political Economy, University of Chicago Press, vol. 103(4), pages 873-892, August.
  51. Theodore Groves & Yongmiao Hong & John McMillan & Barry Naughton, 1994. "Autonomy and Incentives in Chinese State Enterprises," The Quarterly Journal of Economics, Oxford University Press, vol. 109(1), pages 183-209.

Chapters

  1. Ai Han & Yongmiao Hong & Shouyang Wang & Xin Yun, 2016. "A Vector Autoregressive Moving Average Model for Interval-Valued Time Series Data," Advances in Econometrics, in: Gloria GonzÁlez-Rivera & R. Carter Hill & Tae-Hwy Lee (ed.), Essays in Honor of Aman Ullah, volume 36, pages 417-460, Emerald Publishing Ltd.

Editorship

  1. Advanced Studies in Theoretical and Applied Econometrics, Springer.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
  1. Average Rank Score
  2. Number of Distinct Works, Weighted by Simple Impact Factor
  3. Number of Distinct Works, Weighted by Recursive Impact Factor
  4. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  5. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  6. Number of Citations
  7. Number of Citations, Discounted by Citation Age
  8. Number of Citations, Weighted by Simple Impact Factor
  9. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  10. Number of Citations, Weighted by Recursive Impact Factor
  11. Number of Citations, Weighted by Number of Authors
  12. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  13. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  14. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  15. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  16. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  17. h-index
  18. Number of Registered Citing Authors
  19. Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
  20. Number of Journal Pages
  21. Number of Journal Pages, Weighted by Simple Impact Factor
  22. Number of Journal Pages, Weighted by Recursive Impact Factor
  23. Number of Journal Pages, Weighted by Number of Authors
  24. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  25. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  26. Euclidian citation score
  27. Betweenness measure in co-authorship network
  28. Wu-Index

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (4) 2002-07-10 2004-10-30 2004-10-30 2007-10-06
  2. NEP-ETS: Econometric Time Series (4) 2002-07-04 2004-10-30 2004-10-30 2007-10-06

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