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Testing for independence between two stationary time series via the empirical characteristic function

Hong, Yongmiao - In: Annals of economics and finance 2 (2001) 1, pp. 123-164

Persistent link: https://www.econbiz.de/10001732263

Consistent specification testing via nonparametric series regression

Hong, Yongmiao; White, Halbert - 1994 - Rev

Persistent link: https://www.econbiz.de/10000892194

An improved generalized spectral test for conditional mean models in time series with conditional heteroskedasticity of unknown form

Hong, Yongmiao; Lee, Yoon-jin - In: Econometric theory 23 (2007) 1, pp. 106-154

Persistent link: https://www.econbiz.de/10003407425

Characteristic function-based testing for multifactor continuous-time Markov models via nonparametric regression

Chen, Bin; Hong, Yongmiao - In: Econometric theory 26 (2010) 4, pp. 1115-1179

Persistent link: https://www.econbiz.de/10003993831

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

Generalized spectral testing for multivariate continuous-time models

Chen, Bin; Hong, Yongmiao - In: Journal of econometrics 164 (2011) 2, pp. 268-293

Persistent link: https://www.econbiz.de/10009301912

Nonparametric specification testing for continuous-time models with application to spot interest rates

Hong, Yongmiao; Li, Haitao - 2002

We propose two nonparametric transition density-based speciÞcation tests for continuous-time diffusion models. In contrast to marginal density as used in the literature, transition density can capture the full dynamics of a diffusion process, and in particular, can distinguish processes with...

Persistent link: https://www.econbiz.de/10009621413

Testing for smooth structural changes in time series models via nonparametric regression

Chen, Bin; Hong, Yongmiao - In: Econometrica : journal of the Econometric Society, an … 80 (2012) 3, pp. 1157-1183

Persistent link: https://www.econbiz.de/10009629017

A unified approach to validating univariate and multivariate conditional distribution models in time series

Chen, Bin; Hong, Yongmiao - In: Journal of econometrics 178 (2014) 1, pp. 22-44

Persistent link: https://www.econbiz.de/10010254990