archive-edu.com » EDU » C » CORNELL.EDU

Total: 6

Choose link from "Titles, links and description words view":

Or switch to "Titles and links view".
  • Yongmiao Hong
    1985 and MA in Economics in 1988 from Xiamen University his PHD in Economics from University of California at San Diego and joined Cornell University in 1993 He was President of Chinese Economists Society in North America in 2009 2010 Professor Hong s research interests include model specification testing nonlinear time series analysis financial econometrics and empirical studies on Chinese economy and financial markets He publishes refereed articles in mainstream

    Original URL path: https://hong.economics.cornell.edu/ (2015-07-10)
    Open archived version from archive


  • Cornell University Website Template - Two Column
    2000 Journal of Rayal Statistical Society Series B develops nonparametric Hoeffding type measures of and tests for serial dependence in a time series which can detect subtle dependence structure In particular Hong and White 2005 Econometrica develop a challenging asymptotic distribution theory for smoothed nonparametric entropy measures of serial dependence which was not previously available in the literature Chen and Hong 2012 Econometrica propose a new approach to testing parameter constancy of a time series regression model against smooth structural changes as well as abrupt structural breaks On another important development Hong 1999 Journal of American Statistical Association proposes a new analytic tool for nonlinear economic time series the generalized spectrum The basic idea is to transform original time series data via a complex valued exponential function and then consider the spectrum of the transformed series This can capture both linear and nonlinear serial dependence while avoiding the drawbacks of the conventional spectrum which cannot capture nonlinear serial dependence and higher order spectra e g bispectrum which requires the existence of restrictive moment conditions Real data applications e g Hong and Lee 2003a Review of Economics and Statistics show that the generalized spectral tool can detect dynamic structures which would otherwise be neglected by conventional tools thus offering new insights into economic and financial time series data The generalized spectrum is also used to develop powerful procedures for nonlinear time series analysis For example Hong and Lee 2003b Econometric Theory use it to check any neglected dependence structure in the estimated standardized residuals of a nonlinear time series model and Hong and Lee 2005 Review of Economic Studies use the first order partial derivative of the generalized spectrum to focus on neglected nonlinearity in the conditional mean dynamics of a time series model Hong and Lee 2003b Econometric Theory win

    Original URL path: https://hong.economics.cornell.edu/research.html (2015-07-10)
    Open archived version from archive

  • Cornell University Website Template - Two Column
    22 2007 855 889 Asymmetries in Stock Returns Statistical Tests and Economic Evaluation with J Tu and G Zhuo Review of Financial Studies 20 2007 1547 1581 Can the Random Walk Model be Beaten in Out of Sample Density Forecasts Evidence from Intraday Foreign Exchange Rates with H Li and F Zhao Journal of Econometrics 141 2007 736 776 An improved generalized spectral test for time series models with conditional heteroskedasticity of unknown form with Y Lee Econometric Theory 23 106 154 Validating Forecasts of the Joint Probability Density of Bond Yields Can Affine Models Beat Random Walk with A Egorov and H Li Journal of Econometrics 135 2006 255 284 Asymptotic theory for nonparametric entropy based measure of serial dependence with H White Econometrica 73 2005 837 901 Generalized spectral testing for conditional mean models in time series with conditional heteroskedasticity of unknown form with Y Lee Review of Economic Studies 72 2005 499 541 Nonparametric specification testing for continuous time models with applications to spot interest rates with H Li Review of Financial Studies 18 2005 37 84 Wavelet based consistent testing for serial correlation in panel models with D Kao Econometrica 72 2004 1519 1563 Out of sample performance of discrete time short term interest models with H Li and F Zhao Journal of Business and Economic Statistics 22 2004 457 473 Inference on predictability of exchange rates via generalized spectrum and nonlinear time series models with T H Lee Review of Economics and Statistics 85 2003 1048 1062 Diagnostic checking for the adequacy of nonlinear time series models with T H Lee Econometric Theory 19 2003 1065 1121 One sided testing for ARCH effects using wavelets with J Lee Econometric Theory 17 2001 1051 1081 A test for volatility spillover with application to exchange rates Journal

    Original URL path: https://hong.economics.cornell.edu/publications.html (2015-07-10)
    Open archived version from archive

  • Cornell University Website Template - Two Column
    Interval Valued Time Series Data with A Han and S Wang Forecasting Interval valued Crude Oil Prices via Autoregressive Conditional Interval Models with A Han and S Wang Generalized Residual Based Specification Testing for Duration Models with Censoring with J Liu A Unified Approach to Testing Nonlinear Time Series Models with Y J Lee Specification Testing for Multivariate Time Series Volatility Models with Y J Lee Is the Drift of

    Original URL path: https://hong.economics.cornell.edu/working.html (2015-07-10)
    Open archived version from archive

  • Cornell University Website Template - Two Column
    options Home Research Summary Selected Publications Working Papers Books CV Yongmiao Hong Home Research Summary Selected Publications Working Papers Books CV Advanced Econometrics Higher Education Press 2011 Contact Information Yongmiao Hong 424 Uris Hall Ithaca NY 14853 yh20 cornell edu

    Original URL path: https://hong.economics.cornell.edu/books.html (2015-07-10)
    Open archived version from archive

  • Cornell University Website Template - Two Column
    more options Home Research Summary Selected Publications Working Papers Books CV Yongmiao Hong Home Research Summary Selected Publications Working Papers Books CV Curriculum vitae pdf version Contact Information Yongmiao Hong 424 Uris Hall Ithaca NY 14853 yh20 cornell edu 607

    Original URL path: https://hong.economics.cornell.edu/cv.html (2015-07-10)
    Open archived version from archive