Similar Search Results

Asymmetries in stock returns : statistical tests and economic evaluation

Hong, Yongmiao; Tu, Jun; Zhou, Guofu - In: The review of financial studies 20 (2007) 5, pp. 1547-1581

Persistent link: https://www.econbiz.de/10003621186

Model-free evaluation of directional predictability in foreign exchange markets

Chung, Jaehun; Hong, Yongmiao - In: Journal of applied econometrics 22 (2007) 5, pp. 855-889

Persistent link: https://www.econbiz.de/10003550888

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

Granger causality in risk and detection of extreme risk spillover between financial markets

Hong, Yongmiao; Liu, Yanhui; Wang, Shouyang - In: Journal of econometrics 150 (2009) 2, pp. 271-287

Persistent link: https://www.econbiz.de/10003858904

Recent development in financial econometrics

Kuan, Chung-ming (contributor); Hong, Yongmiao (contributor) - 2009

Persistent link: https://www.econbiz.de/10003858949

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

How smooth is price discovery? : evidence from cross-listed stock trading

Chen, Haiqiang; Choi, Paul Moon Sub; Hong, Yongmiao - In: Journal of international money and finance 32 (2013), pp. 668-699

Persistent link: https://www.econbiz.de/10009733481

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