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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

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

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

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

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

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

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

Oil prices and chinese stock market : nonlinear causality and volatility persistence

Wen, Fenghua; Xiao, Jihong; Xia, Xiaohua; Chen, Bin; … - In: Emerging markets, finance & trade : a journal of the … 55 (2019) 6, pp. 1247-1263

Persistent link: https://www.econbiz.de/10012210710

Information spillover effect and autoregressive conditional duration models

Liu, Xiangli; Wang, Shouyang; Hong, Yongmiao; Liu, Yanhui - 2014 - First edition.

chapter 1 Introduction -- chapter 2 Methodology to detect extreme risk spillover -- chapter 3 VaR estimation -- chapter 4 Extreme risk spillover between Chinese stock markets and international stock markets -- chapter 5 Information spillover effects between Chinese futures market and spot market...

Persistent link: https://www.econbiz.de/10013183593