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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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Can the random walk model be beaten in out-of-sample density forecasts? : Evidence form 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/10003571349
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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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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. 991-1037
Persistent link: https://www.econbiz.de/10009385429
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One-sided testing for ARCH effects using wavelets
Hong, Yongmiao; Lee, Jin - In: Econometric theory 17 (2001) 6, pp. 1051-1081
Persistent link: https://www.econbiz.de/10001638375
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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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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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Foreign investment, regulation, volatility spillovers between the futures and spot markets : evidence from Taiwan
Kuo, Wen-Hsiu; Hsu, Hsinan; Chiang, Min-Hsien - In: Applied financial economics 18 (2008) 4/6, pp. 421-430
Persistent link: https://www.econbiz.de/10003739137
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Stock market momentum, business conditions, and GARCH option pricing models
Chiang, Min-Hsien; Huang, Hsin-yi - In: Journal of empirical finance 18 (2011) 3, pp. 488-505
Persistent link: https://www.econbiz.de/10009302078
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Volatility effect of ETFs on the constituents of the underlying Taiwan 50 index
Lin, Ching-chung; Chiang, Min-Hsien - In: Applied financial economics 15 (2005) 18, pp. 1315-1322
Persistent link: https://www.econbiz.de/10003229125