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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

A low-bias simulation scheme for the Sabr Stochastic Volatility model

Chen, Bin; Oosterlee, Cornelis W.; Weide, Hans van der - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-37

Persistent link: https://www.econbiz.de/10009624504

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

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

Asymmetric pass-through of oil prices to gasoline prices with interval time series modelling

Sun, Yuying; Zhang, Xun; Hong, Yongmiao; Wang, Shouyang - In: Energy economics 78 (2019), pp. 165-173

Persistent link: https://www.econbiz.de/10012159915

Fast estimation of a large TVP-VAR model with score-driven volatilities

Zheng, Tingguo; Ye, Shiqi; Hong, Yongmiao - In: Journal of economic dynamics & control 157 (2023), pp. 1-22

Persistent link: https://www.econbiz.de/10014495380

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

Asymmetric impact of oil price shock on stock market in China : a combination analysis based on SVAR model and NARDL model

Hu, Chunyang; Liu, Xinheng; Pan, Bin; Chen, Bin; Xia, … - In: Emerging markets finance & trade : a journal of the … 54 (2018) 7/8/9, pp. 1693-1705

Persistent link: https://www.econbiz.de/10012124505

Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns

Gallo, Giampiero M.; Hong, Yongmiao; Lee, Tae-Why - Dipartimento di Statistica, Informatica, Applicazioni … - 2001

In this paper we examine under what circumstances the information accumulated during market closing time and conveyed to the price formation at market opening may be exploited to predict where the stock price will be at the end of the trading day. In our sample of three financial time series, we...

Persistent link: https://www.econbiz.de/10005687788