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Testing strict stationarity with applications to macroeconomic time series

Hong, Yongmiao; Wang, Xia; Wang, Shouyang - In: International economic review 58 (2017) 4, pp. 1227-1277

Persistent link: https://www.econbiz.de/10011860376

Time-varying model averaging

Sun, Yuying; Hong, Yongmiao; Lee, Tae-hwy; Wang, Shouyang; … - In: Journal of econometrics 222 (2021) 2, pp. 974-992

Persistent link: https://www.econbiz.de/10012619810

Forecasting interval-valued crude oil prices using asymmetric interval models

Lu, Quanying; Sun, Yuying; Hong, Yongmiao; Wang, Shouyang - In: Quantitative finance 22 (2022) 11, pp. 2047-2061

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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...