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Autonomy and incentives in Chinese state enterprises

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T Groves, Y Hong, J McMillan… - The Quarterly Journal …, 1994 - qje.oxfordjournals.org
Abstract When the responsibility for output decisions was shifted from the state to the firm,
and when firms were allowed to retain more of their profits, managers of Chinese state-
owned enterprises strengthened workers' incentives. The managers paid more in bonuses ...
Cited by 598 - Related articles - Library Search - BL Direct - All 20 versions

China's evolving managerial labor market

[PDF] from nsd.edu.cn
T Groves, Y Hong, J McMillan… - Journal of Political Economy, 1995 - JSTOR
Recent reforms of Chinese state-owned enterprises strengthened a nascent managerial
labor market by incorporating incentives suggestive of competitive Western labor markets.
Poorly performing firms were more likely to have a new manager selected by auction, to ...
Cited by 365 - Related articles - Get it from MIT Libraries - Library Search - BL Direct - All 20 versions

Nonparametric specification testing for continuous-time models with applications to term structure of interest rates

Full text - MIT Libraries
Y Hong… - Review of Financial Studies, 2005 - Soc Financial Studies
Abstract We develop a nonparametric specification test for continuous-time models using the
transition density. Using a data transform and correcting for the boundary bias of kernel
estimators, our test is robust to serial dependence in data and provides excellent finite ...
Cited by 198 - Related articles - All 15 versions

Consistent specification testing via nonparametric series regression

[PDF] from nsd.edu.cn
Y Hong… - Econometrica: Journal of the Econometric Society, 1995 - JSTOR
This paper proposes two consistent one-sided specification tests for parametric regression
models, one based on the sample covariance between the residual from the parametric
model and the discrepancy between the parametric and nonparametric fitted values; the ...
Cited by 162 - Related articles - Get it from MIT Libraries - BL Direct - All 18 versions

Consistent testing for serial correlation of unknown form

[PDF] from nsd.edu.cn
Y Hong - Econometrica: Journal of the Econometric Society, 1996 - JSTOR
This paper proposes three classes of consistent one-sided tests for serial correlation of
unknown form for the residual from a linear dynamic regression model that includes both
lagged dependent variables and exogenous variables. The tests are obtained by ...
Cited by 110 - Related articles - Get it from MIT Libraries - BL Direct - All 11 versions

Asymmetries in stock returns: Statistical tests and economic evaluation

[PDF] from xmu.edu.cn
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Y Hong, J Tu… - Review of Financial Studies, 2007 - Soc Financial Studies
Abstract We provide a model-free test for asymmetric correlations in which stocks move
more often with the market when the market goes down than when it goes up, and also
provide such tests for asymmetric betas and covariances. When stocks are sorted by size, ...
Cited by 110 - Related articles - BL Direct - All 31 versions

Inference on predictability of foreign exchange rates via generalized spectrum and nonlinear time series models

[PDF] from nsd.edu.cn
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Y Hong… - Review of Economics and Statistics, 2003 - MIT Press
It is often documented, based on autocorrelation, variance ratio, and power spectrum, that
exchange rates approximately follow a martingale process. Because these data check serial
uncorrelatedness rather than martingale difference, they may deliver misleading ...
Cited by 100 - Related articles - All 8 versions

A test for volatility spillover with application to exchange rates

[PDF] from nsd.edu.cn
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Y Hong - Journal of Econometrics, 2001 - Elsevier
This paper proposes a class of asymptotic N (0, 1) tests for volatility spillover between two
time series that exhibit conditional heteroskedasticity and may have infinite unconditional
variances. The tests are based on a weighted sum of squared sample cross-correlations ...
Cited by 102 - Related articles - All 10 versions

Asymptotic distribution theory for nonparametric entropy measures of serial dependence

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Y Hong… - Econometrica, 2005 - Wiley Online Library
Entropy is a classical statistical concept with appealing properties. Establishing asymptotic
distribution theory for smoothed nonparametric entropy measures of dependence has so far
proved challenging. In this paper, we develop an asymptotic theory for a class of kernel- ...
Cited by 87 - Related articles - All 19 versions

[PDF] Out-of-sample performance of discrete-time spot interest rate models

[PDF] from amstat.org
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Y Hong, H Li… - Journal of Business and Economic Statistics, 2004 - ASA
We provide a comprehensive analysis of the out-of-sample performance of a wide variety of
spot rate models in forecasting the probability density of future interest rates. Although the
most parsimonious models perform best in forecasting the conditional mean of many ...
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Generalized spectral tests for conditional mean models in time series with conditional heteroscedasticity of unknown form

[PDF] from cenet.org.cn
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Y Hong… - Review of Economic Studies, 2005 - Wiley Online Library
Economic theories in time series contexts usually have implications on and only on the
conditional mean dynamics of underlying economic variables. We propose a new class of
specification tests for time series conditional mean models, where the dimension of the ...
Cited by 56 - Related articles - All 18 versions

[CITATION] Evaluation of out of sample probability density forecasts with applications to S&P 500 stock prices

Y Hong - 2001 - Working Paper, Cornell University
Cited by 38 - Related articles - All 2 versions

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

[PDF] from nbn-resolving.de
Y Hong… - 2002 - papers.ssrn.com
Abstract: We propose two nonparametric specification tests for continuous-time models
based on transition density, which unlike the marginal density used in the literature, can
capture the full dynamics of a continuous-time process. To improve the finite sample ...
Cited by 33 - Related articles - All 11 versions

Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates

[PDF] from xmu.edu.cn
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Y Hong, H Li… - Journal of Econometrics, 2007 - Elsevier
It has been documented that random walk outperforms most economic structural and time
series models in out-of-sample forecasts of the conditional mean dynamics of exchange
rates. In this paper, we study whether random walk has similar dominance in out-of- ...
Cited by 31 - Related articles - All 12 versions

Validating forecasts of the joint probability density of bond yields: Can affine models beat random walk?

Full text - MIT Libraries
AV Egorov, Y Hong… - Journal of Econometrics, 2006 - Elsevier
Most existing empirical studies on affine term structure models (ATSMs) have mainly
focused on in-sample goodness-of-fit of historical bond yields and ignored out-of-sample
forecast of future bond yields. Using an omnibus nonparametric procedure for density ...
Cited by 25 - Related articles - All 6 versions

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

[PDF] from xmu.edu.cn
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Y Hong, Y Liu… - Journal of econometrics, 2009 - Elsevier
Controlling and monitoring extreme downside market risk are important for financial risk
management and portfolio/investment diversification. In this paper, we introduce a new
concept of Granger causality in risk and propose a class of kernel-based tests to detect ...
Cited by 22 - Related articles - All 14 versions

A new test for ARCH effects and its finite-sample performance

[PDF] from nsd.edu.cn
Y Hong… - Journal of Business & Economic Statistics, 1999 - JSTOR
We propose a test for autoregressive conditional heteroscedasticity based on a weighted
sum of the squared sample autocorrelations of squared residuals from a regression, typically
with greater weight given to lower-order lags. The tests of Engle, Box and Pierce, and ...
Cited by 22 - Related articles - Get it from MIT Libraries - BL Direct - All 11 versions

[CITATION] Productivity growth in Chinese state-run industry

T Groves, Y Hong, J McMillan… - Reform of China's State-Owned …, 1995
Cited by 22 - Related articles

Wavelet‐Based Testing for Serial Correlation of Unknown Form in Panel Models

[PDF] from econometricsociety.org
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Y Hong… - Econometrica, 2004 - Wiley Online Library
Wavelet analysis is a new mathematical method developed as a unified field of science over
the last decade or so. As a spatially adaptive analytic tool, wavelets are useful for capturing
serial correlation where the spectrum has peaks or kinks, as can arise from persistent ...
Cited by 21 - Related articles - BL Direct - All 9 versions

[PDF] Nonparametric methods in continuous-time finance: A selective review

[PDF] from econstor.eu
Z Cai… - Recent Advances and Trends in Nonparametric …, 2003 - econstor.eu
Abstract This paper gives a selective review on the recent developments of nonparametric
methods in continuous-time finance, particularly in the areas of nonparametric estimation of
diffusion processes, nonparametric testing of parametric diffusion models, and ...
Cited by 21 - Related articles - View as HTML - All 17 versions

Model‐free evaluation of directional predictability in foreign exchange markets

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J Chung… - Journal of Applied Econometrics, 2007 - Wiley Online Library
We examine directional predictability in foreign exchange markets using a model-free
statistical evaluation procedure. Based on a sample of foreign exchange spot rates and
futures prices in six major currencies, we document strong evidence that the directions of ...
Cited by 20 - Related articles - Library Search - BL Direct - All 11 versions

One-sided testing for ARCH effects using wavelets

Full text - MIT Libraries
Y Hong… - Econometric Theory, 2001 - Cambridge Univ Press
Abstract There has been increasing interest recently in hypothesis testing with inequality
restrictions. An important example in time series econometrics is hypotheses on
autoregressive conditional heteroskedasticity (ARCH). We propose a one-sided test for ...
Cited by 19 - Related articles - BL Direct - All 11 versions

[CITATION] Evaluation of out-of-sample density forecasts with applications to stock prices

Y Hong - 2000 - Working Paper, Department of …
Cited by 17 - Related articles

[PDF] Are the directions of stock price changes predictable? Statistical theory and evidence

[PDF] from acrobatplanet.com
Y Hong… - manuscript, Cornell University, 2003 - acrobatplanet.com
Abstract We propose a model-free omnibus statistical procedure to check whether the
direction of changes in an economic variable is predictable using the history of its past
changes. A class of separate inference procedures are also given to gauge possible ...
Cited by 15 - Related articles - View as HTML - All 4 versions

[CITATION] Consistent testing for serial correlation of unknown form under general conditional heteroskedasticity

Y Hong… - Preprint, Cornell University, 2003
Cited by 12 - Related articles - All 2 versions

[CITATION] Granger causality in risk and detection of risk transmission between financial markets

Y Hong - Department of Economics and Department of Statistical …, 2001
Cited by 12 - Related articles

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

[PDF] from tamu.edu
B Chen… - 2007 - econwebb.tamu.edu
Abstract Checking parameter stability of economic models is a long% standing problem in
time series econometrics. A classical econometric procedure is Chowns (1960) test, which
checks for the existence of a structural change on a known date. Various extensions have ...
Cited by 11 - Related articles - View as HTML - All 7 versions

Wavelet-based estimation for heteroskedasticity and autocorrelation consistent variance-covariance matrices

Y Hong… - … Society World Congress 2000 Contributed Papers, 2000 - ideas.repec.org
As is well-known, a heteroskedasticity and autocorrelation consistent covariance matrix is
proportional to a spectral density matrix at frequency zero and can be consistently estimated
by such popular kernel methods as those of Andrews-Newey-West. In practice, it is difficult ...
Cited by 11 - Related articles - Cached - All 4 versions

[PDF] Extreme risk spillover between Chinese stock market and international stock markets

[PDF] from vanderbilt.edu
Y Hong, S Cheng, Y Liu… - CHINA ECONOMIC …, 2004 - vanderbilt.edu
ABSTRACT In this paper, we provide an empirical study on spillover of extreme downside
market risk among Shares A, B and H in the Chinese stock market, between different stock
markets in Greater China, and between the Chinese stock market and other international ...
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[CITATION] The Firm as an Incentive System: Evidence from China's State Firms

Y Hong… - Cornell University and University of California, San …, 1994
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Performance of discrete-time spot rate models in China: an empirical test on Chinese Repo Rates

Y Hong… - CHINA ECONOMIC QUARTERLY-BEIJING-, 2006 - en.cnki.com.cn
We examine a wide variety of popular spot interest rate models in China using daily data of
7-day repo rates from July 22, 1996 to August 26, 2004. The estimation suggests that
introducing GARCH, regime-switching and jump effect substantially improves the fitting ...
Cited by 8 - Related articles - Cached - BL Direct

Interval time series analysis with an application to the sterling-dollar exchange rate

Full text - MIT Libraries
A Han, Y Hong, KK Lai… - Journal of Systems Science and …, 2008 - Springer
Abstract Traditional econometrics has long employed “points” to measure time series data.
In real life situations, however, it suffers the loss of volatility information, since many
variables are bounded by intervals in a given period. To address this issue, this paper ...
Cited by 8 - Related articles - All 4 versions

[PDF] How well can autoregressive duration models capture the price durations dynamics of foreign exchanges

[PDF] from olsen.ch
Y Liu, Y Hong… - 2004 - olsen.ch
Abstract Using a new omnibus density forecast evaluation procedure, we examine various
commonly used Autoregressive Conditional Duration (ACD) models in capturing the price
duration dynamics of Euro/Dollar and Yen/Dollar exchange rates. The ACD models under ...
Cited by 7 - Related articles - View as HTML - All 3 versions

Some recent developments in nonparametric finance

[PDF] from xmu.edu.cn
Z Cai… - Advances in Econometrics, 2009 - emeraldinsight.com
ABSTRACT This paper gives a selective review on some recent developments of
nonparametric methods in both continuous and discrete time finance, particularly in the
areas of nonparametric estimation and testing of diffusion processes, nonparametric ...
Cited by 6 - Related articles - All 12 versions

[PDF] Forecasting in data-rich environments

[PDF] from cornell.edu
L Aguiar-Conraria… - Department of Economics, Cornell …, 2003 - arts.cornell.edu
Abstract Stock and Watson (1998 and 1999) developed a factor-model approach which
allows for big data sets to be systematically reduced to a few explanatory factors. In this
paper two other methods are proposed. The first one, Partial Least Squares is imported ...
Cited by 5 - Related articles - View as HTML - All 4 versions

[PDF] Generalized residual-based specification testing for duration models with censoring

[PDF] from temple.edu
Y Hong… - Cornell University, 2007 - courses.temple.edu
Abstract We propose a new test for duration models with censoring--popularly used in
economics, finance and other fields--using a novel computationally simple empirical survival
function that utilizes information from censored observations. The impact of parameter ...
Cited by 4 - Related articles - View as HTML - All 2 versions

[CITATION] Barry Naughton.“

T Groves, Y Hong… - China's Evolving Managerial Labor Market.” Journal …, 1995
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Has Chinese stock market become efficient? evidence from a new approach

M Chen… - Computational Science—ICCS 2003, 2003 - Springer
Using a new statistical procedure suitable to test efficient market hypothesis in presence of
volatility clustering, we find significant evidence against the weak form of efficient market
hypothesis for both Shanghai and Shenzhen stock markets, although they have become ...
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The Status, Roles and Limitations of Econometrics [J]

H Yongmiao - Economic Research Journal, 2007 - en.cnki.com.cn
Econometrics, microeconomics and macroeconomics now constitute three core courses in
modern economics. In China, there has been increasing interest in econometrics, with wide
applications of econometric models, methods and tools in empirical studies on the ...
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[PDF] Detecting extreme risk spillover between financial markets

[PDF] from vanderbilt.edu
Y Hong, Y Liu… - … of Economics and Department of Statistical …, 2003 - vanderbilt.edu
ABSTRACT Controlling and monitoring extreme downside market risk is important in
financial risk management and portfolio/investment diversification. Based on a new concept
of Granger causality in risk, we propose a class of kernel-based tests to detect extreme ...
Cited by 3 - Related articles - View as HTML - All 3 versions

Testing for the Markov property in time series

[PDF] from upenn.edu
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B Chen… - Econometric Theory, 2011 - Cambridge Univ Press
The Markov property is a fundamental property in time series analysis and is often assumed
in economic and financial modeling. We develop a new test for the Markov property using
the conditional characteristic function embedded in a frequency domain approach, which ...
Cited by 3 - Related articles - All 12 versions

[CITATION] Forecasting the joint probability density of bond yields: can affine models beat random walk

A Egorov, Y Hong… - 2005 - mimeo, Cornell University
Cited by 3 - Related articles

Detecting misspecifications in autoregressive conditional duration models

[PDF] from iub.edu
Y Hong… - Caepr Working Papers, 2007 - papers.ssrn.com
Abstract: We propose a new class of specification tests for Autoregressive Conditional
Duration (ACD) models. Both linear and nonlinear ACD models are covered, and
standardized innovations can have time-varying conditional dispersion and higher order ...
Cited by 3 - Related articles - All 6 versions

[CITATION] VHas Chinese Stock Market Become Effi cient

T Chen… - Evidence from, 2003
Cited by 3 - Related articles

[CITATION] Some Recent Development in Financial Econometrics [J]

H Yongmiao - China Economic Quarterly, 2002
Cited by 2 - Related articles

[PDF] Identifying threshold effects and typologies in economic growth: A panel approach

[PDF] from umn.edu
Y Hong, D Wang… - 2005 Annual meeting, July 24 …, 2005 - ageconsearch.umn.edu
Many earlier empirical works on economic growth are based on the assumption that there is
an underlying common linear specification as required by the Solow model and its variants
(Barro, 1991; Mankiw, Romer and Weil (MRW), 1992; Barro and Salai-i-
Cited by 2 - Related articles - View as HTML - All 7 versions

[CITATION] Restructuring China's state firms

Y Hong… - Unpublished, University of California, San Diego, 1996
Cited by 2 - Related articles

[PDF] Modeling the Impact of Overnight Surprises on Intra-daily Stock Returns

[PDF] from ucr.edu
GM Gallo, Y Hong… - Econometrics Working Papers Archive, 2001 - faculty.ucr.edu
Giampiero M. Gallo, Yongmiao Hong, and Tae-Hwy Lee Universita di Firenze, Dipartimento
di Statistica, Cornell University, Departments of Economics & Statistical Science, and
University of California, Riverside, Department of Economics KEY WORDS functional- ...
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Are the directions of stock price changes predictable? A generalized cross-spectral approach

J Chung… - … Society 2004 North American Winter Meetings, 2004 - ideas.repec.org
Using a generalized cross-spectral approach, we propose a model-free omnibus statistical
procedure to check whether the direction of changes in an economic variable is predictable
using the history of its past changes. A class of separate inference procedures are also ...
Cited by 2 - Related articles - Cached - All 4 versions

Modeling the dynamics of Chinese spot interest rates

[PDF] from xmu.edu.cn
Full text - MIT Libraries
Y Hong, H Lin… - Journal of Banking & Finance, 2010 - Elsevier
Using the daily data of Chinese 7-day repo rates from January 1, 1997 to December 31,
2008, this paper tests a variety of popular spot rate models, including single-factor diffusion,
GARCH, Markov regime-switching and jump-diffusion models. We document that Chinese ...
Cited by 2 - Related articles - All 13 versions

[PDF] Nonparametric specification tests of discrete time spot interest rate models in China

[PDF] from xmu.edu.cn
Y Hong… - China: Xiamen University. WISE working paper …, 2006 - wise.xmu.edu.cn
Abstract Understanding the dynamics of spot rates is very important for asset pricing, risk
management and interest rate liberalization. We examine a wide variety of popular spot rate
models in China, including the single&factor diffusion models, GARCH models, Markov ...
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[CITATION] Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns

Y Hong, GM Gallo… - 2001 - working paper
Cited by 2 - Related articles - Get it from MIT Libraries

[CITATION] Study on the Dynamics of China's Spot Interest Rate----Empirical Analysis Based on Short Term Repo Rate

Y Hong… - Working paper, 2004
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Financial volatility forecasting with range-based autoregressive volatility model

[PDF] from xmu.edu.cn
H Li… - Finance Research Letters, 2011 - Elsevier
The classical volatility models, such as GARCH, are return-based models, which are
constructed with the data of closing prices. It might neglect the important intraday information
of the price movement, and will lead to loss of information and efficiency. This study ...
Cited by 2 - Related articles - All 6 versions

[CITATION] Granger causality in risk and detection of risk transmission between two time series

Y Hong - 2001 - Working Papers
Cited by 2 - Related articles - Get it from MIT Libraries

[PDF] Some Recent Developments in Financial Econometrics

[PDF] from cenet.org.cn
Y Hong - 2001 - cenet.org.cn
This paper is a selective review on some recent developments in financial time series
econoM metrics, using a unified statistical framework. The topics covered include tests of the
efficient market hypothesis and prediction of financial returns, volatility clustering and ...
Cited by 1 - Related articles - View as HTML - All 2 versions

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

[PDF] from xmu.edu.cn
Full text - MIT Libraries
Y Hong… - Econometric Theory, 2007 - Cambridge Univ Press
Abstract Dynamic economic theories usually have implications on and only on the
conditional mean dynamics of economic processes. Using a generalized spectral derivative
approach, Hong and Lee (2005, Review of Economic Studies 72, 499–541) recently ...
Cited by 1 - Related articles - BL Direct - All 10 versions

The Comparison of Chinese Copper Futures Market VaR Estimation Using Parametric Method, Semiparametric Method and Nonparametric Method [J]

L Xiangli, C Siwei, W Shouyang… - Management Review, 2008 - en.cnki.com.cn
This paper adopts parametric method, semiparametric method and nonparametric method to
estimate the VaR of the futures market. In view that good news and bad news have different
impact on the market volatility, we adopt EGARCH and TGARCH model in parametric ...
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[PDF] A Loss Function Approach to Model Specification Testing and Its Relative Efficiency to the GLR Test

[PDF] from tamu.edu
Y Hong… - 2009 - econweb.tamu.edu
ABSTRACT The generalized likelihood ratio (GLR) test is proposed by Fan, Zhang and
Zhang (2001) as a generally applicable statistical method to test parametric, semiparametric
or nonparametric models against nonparametric alternative models. It is a natural ...
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Cointegration, causality and forecasting. A festschrift in honour of Clive WJ Granger

JH Stock, MW Watson, NR Swanson, E Ghysels… - 1999 - ecsocman.hse.ru
The book is a collection of essays in honour of Clive Granger. The chapters are by some of
the world's leading econometricians, all of whom have collaborated with or studied with (or
both) Clive Granger. Central themes of Granger's work are reflected in the book with ...
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Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models

Full text - MIT Libraries
Y Hong… - Review of Economics and Statistics, 2004 - MIT Press
Yongmiao Hong and Tae-Hwy Lee's article in the November 2003 issue of this REVIEW (volume
85, number 4, pages 1048–1062) contains a publisher's error. The words “Predictability of Foreign
Exchange Rates” were erroneously omitted from the title as printed on page 1048. The ...

[PDF] Are Corporate Bond Market Returns Predictable?

[PDF] from nzfc.ac.nz
Y Hong, H Lin… - 2011 - nzfc.ac.nz
ABSTRACT This paper examines predictability of corporate bond returns using the
transaction-based index data for the period from October 1, 2002 to April 30, 2009. We find
evidence of significant serial and cross-serial dependence in daily investment-grade and ...
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Is the Drift of the Interest Rate Process Linear? A New Approach and Evidence

[PDF] from xmu.edu.cn
Y Hong, YJ Lee… - 2009 - papers.ssrn.com
Abstract: Continuous-time models are important for investigating interest rate term structure
and pricing fixed income derivatives. Economic theory often provides little guidance on the
choice of the form of continuous-time models, and existing one-factor and multi-factor ...
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[CITATION] Nonparametric Methods in Continuous-Time Finance: A Selective Review

ZCY Hong - 2003
Related articles

Forecasting the Joint Probability Density of Bond Yields: Can Affine Models Beat Random Walk?

Y Hong, H Li… - 2003 - papers.ssrn.com
Abstract: The numerous empirical studies on affine term structure models have primarily
focused on the in-sample fit of historical bond yields and ignored the out-of-sample forecast
of future bond yields. Based on an omnibus nonparametric procedure for density forecast ...
Related articles

[CITATION] Forthcoming Articles A Bayesian Analysis of Return Dynamics with Levy Jumps Haitao Li, Martin T. Wells, and Cindy L. Yu A Theory of Board Control and …

M Harris, A Raviv, P He, DJ Bradley, BD Jordan… - JSTOR
All 2 versions

[PDF] Testing for Independence between Two stationary Time Series via the Empirical Characteristic Function

[PDF] from aeconf.net
Full text - MIT Libraries
Y Hong - Annals of Economics and Finance, 2001 - aeconf.net
Testing independence between time series is important in multivariate time series analysis.
Haugh (1976) proposes a popular test by first prewhitening two time series and then testing
whether the two residual series are independent via the residual cross-correlation function ...
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Annals of the Institute of Statistical Mathematics acknowledges the following in-dividuals who served as referees from October 2002 to September 2003.

S Aki, S Amari, A Antoniadis, DL Antzoulakos… - Springer
Annals of the Institute of Statistical Mathematics acknowledges the following in- dividuals who
served as referees from October 2002 to September 2003. ... Aki, Sigeo Amari, Shun-ichi
Antoniadis, Anestis Antzoulakos, Demetrios L. Aoki, Satoshi Aoshima, Makoto Asgharian, ...

Generalized (Cross) Spectral Tests for Optimal Forecasts and Conditional Predictive Ability Under Generalized Loss Functions

TH Lee… - … Society 2004 North American Winter Meetings, 2004 - ideas.repec.org
Under the squared error loss, the optimal forecast is the conditional mean, and the one-step
forecast error is a martingale difference (MD). The one-step forecast error forms the
conditional moment condition obtained from the loss derivative with respect to the forecast ...
Cached - All 4 versions

[CITATION] Editors: TAKESHI AMEMIYA A. RONALD GALLANT JOHN F. GEWEKE

C HSIAO, P ROBINSON, A ZELLNER… - Journal of …, 2008 - North Holland Pub. Co.
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Out-of-Sample Performance of Spot Interest Rate Models

H Li, Y Hong… - 2002 - papers.ssrn.com
Abstract: The current large empirical literature on interest rate modeling typically focuses on
the in-sample performance and ignores the out-of-sample performance of existing models.
We fill the gap in this literature by providing probably the first comprehensive empirical ...
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[CITATION] Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation (Digest Summary)

Y Hong, J Tu… - CFA Digest, 2008 - CFA Institute

BIN CHEN

[PDF] from xmu.edu.cn
Full text - MIT Libraries
Y HONG - Econometric Theory, 2010 - Cambridge Univ Press
Continuous-time Markov models are powerful analytic tools in modern finance and
economics. Itô processes have been popularly adapted, and the more general Lévy
processes have been the object of recent research for derivatives pricing in the literature ( ...
Related articles - All 3 versions

Inferences On Predictability Of Foreign Exchange Rates Via Generalized Spectrum And Nonlinear Models

Y Hong… - 2002 - papers.ssrn.com
Abstract: It is often documented, based on autocorrelation, variance ratio and power
spectrum, that exchange rates approximately follow a martingale process. Because
autocorrelation, variance ratio and spectrum check serial uncorrelatedness rather than ...
Related articles

How Smooth is Price Discovery? Evidence from Cross-listed Stock Trading

H Chen, MS Choi… - 2011 - papers.ssrn.com
Abstract: The adjustment to parity can be nonlinear for a cross-listed pair: Convergence may
be quicker when the price deviation is sufficiently profitable. We propose a threshold error
correction model (ECM) to gauge the market-respective information shares of Canadian ...
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Forecasting in data-rich environments

[PDF] from uminho.pt
LA Conraria… - 2004 - repositorium.sdum.uminho.pt
Stock and Watson (1998 and 1999) developed a factor-model approach which allows for big
data sets to be systematically reduced to a few explanatory factors. In this paper two other
methods are proposed. The first one, Partial Least Squares is imported from the ...
Related articles - All 4 versions

[PDF] UNDERSTANDING MODERN ECONOMETRICS

[PDF] from dufe.cn
Y Hong - 2006 - superv4.dufe.cn
ABSTRACT Econometrics has become an integral part of training in modern economics and
business. Together with microeconomics and macroeconomics, econometrics has been
taught as one of the three core courses in most undergraduate and graduate economic ...
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INFORMATION SPILLOVERS AMONG GLOBAL REFINED PRODUCTS MARKETS—-AN EMPIRICAL STUDY BASED ON CCF METHOD AND COINTEGRATION …

F LU, Y HONG… - Journal of Systems Science and …, 2008 - en.cnki.com.cn
Using Hong (2001) statistics based on cross-correlation function, this paper studies
information spillover effects among the major refined products traded at the Singapore, the
ARA and the New York markets. Also, information transmissions among these three ...
Cached

[PDF] New Test of Asset Pricing Models in China

[PDF] from xmu.edu.cn
H Li… - 2006 - wise.xmu.edu.cn
Abstract: Asset Pricing is a longstanding problem in finance. In this paper, we evaluate both
the one factor model and the Fama-French three factor model for the Chinese capital market
from 1997-2004. The model specifications include (i) without an intercept,(ii) with an ...
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FUNCTION–BASED TESTING FOR MULTIFACTOR CONTINUOUS-TIME MARKOV MODELS VIA NONPARAMETRIC REGRESSION

[PDF] from xmu.edu.cn
BIN CHEN… - Cambridge Univ Press
Continuous-time Markov models are powerful analytic tools in modern finance and
economics. Itô processes have been popularly adapted, and the more general Lévy
processes have been the object of recent research for derivatives pricing in the literature ( ...
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[CITATION] Specification testing in economics using m-tests

Y Hong - 1993 - University of California, San Diego, …
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[CITATION] The Predictability of the Corporate Bond Market Returns

Y Hong, H Lin…

Editorial Board EOV

E Maasoumi, K Abadir, BH Baltagi… - Econometric …, 2011 - Taylor & Francis
Copyright© 2011 Taylor & Francis Group, LLC. All rights reserved. No part of this publication
may be reproduced, stored, transmitted, or disseminated in any form or by any means
without prior written permission from Taylor & Francis Group, LLC. Taylor & Francis Group, ...
Get it from MIT Libraries

THE 2007 AUSTRALASIAN MEETING of the Econometric Society (ESAM) will be hosted by the School of Economics, University of Queensland, Brisbane, Australia, …

Full text - MIT Libraries
J Bai, S Chen, SY Chiu, JC Duan, JT Guo… - …, 2007 - Wiley Online Library
THE 2007 FAR EASTERN MEETING of the Econometric Society will be held in Taipei,
Taiwan, from July 11 to July 13, 2007. The meeting will be organized by the Institute of
Economics, Academia Sinica. The program will consist of plenary, invited, and contributed ...

[PDF] On the Efficiency of Generalized Likelihood Ratio Tests

[PDF] from smu.edu.sg
Y Hong… - 2008 - economics.smu.edu.sg
ABSTRACT This paper considers the relative efficiency of the generalized likelihood ratio
tests to discrepancy measure based tests, particularly L2-norm based test. The generalized
likelihood ratio test was proposed by Fan, Zhang, and Zhang (2001) as a generally ...
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[PDF] Detecting for Smooth Structural Changes in GARCH Models

[PDF] from xmu.edu.cn
B Chen… - 2009 - wise.xmu.edu.cn
Abstract Detecting and modelling structural changes in GARCH processes have attracted
increasing attention in time series econometrics. In this paper, we propose a new approach
to testing struc% tural changes in GARCH models. The idea is to compare the log ...
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[CITATION] Financial Studies

KJMCVB Nair, C Wei, DHCA Hennessy, HE Leland… - 2007 - JSTOR

[PDF] Generalized Residual-Based Diagnostic Testing for Duration Models with Censoring

[PDF] from smu.edu
J Liu… - 2007 - faculty.smu.edu
Abstract We propose some new diagnostic tests for duration models--popularly used in
economics, finance and other fields--using a computationally simple empirical survival
function that utilizes information from censored observations. The impact of parameter ...
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[PDF] Forecasting in Data-Rich Environments: An Application to Inflation Rates

[PDF] from uminho.pt
L Aguiar-Conraria… - 2006 - eeg.uminho.pt
Abstract Stock and Watson (1998 and 1999) developed a factor-model approach which
allows for large data sets to be systematically summarized by to a few explanatory factors. In
this paper two other methods are proposed. The first one, Partial Least Squares is ...
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[PDF] Spectral Density Bandwidth Choice and Prewhitening in the Estimation of Heteroskedasticity and Autocorrelation Consistent Covariance Matrices In Panel Data …

[PDF] from diw.de
MЛH Chiang, Y Hong… - 2002 - diw.de
ABSTRACT This paper investigates the performances kernelЛbased with and without
prewhitening and the parametric heteroskedasticity and autocorrelation consistent (HAC)
covariance matrices in panel data models. A Monte Carlo study is conducted to evaluate ...
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[PDF] Specification Testing for Multivariate Time Series Volatility Models

[PDF] from repec.org
Y Hong… - 2009 - repec.org
ABSTRACT Volatility models have been playing an important role in economics and finance.
Using a multivariate generalized spectral approach, we propose a new class of generally
applicable omnibus tests for univariate and multivariate volatility models. Both GARCH ...
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Specification Testing for Multivariate Time Series Volatility Models

YJ Lee… - Econometric Society 2004 Far Eastern Meetings, 2004 - ideas.repec.org
Volatility models have been playing an important role in economics and finance. Using a
multivariate generalized spectral approach, we propose a new class of generally applicable
omnibus tests for univariate and multivariate volatility models. Both GARCH models and ...
Cached - All 4 versions

[PDF] How Smooth Is Price Discovery?

[PDF] from xmu.edu.cn
H Chen, PMS Choi… - wise.xmu.edu.cn
Abstract The adjustment to parity can be nonlinear for a cross-listed pair: Convergence may
be quicker when the price deviation is sufficiently profitable. We propose a threshold error
correction model (ECM) to gauge the market-respective information shares of Canadian ...
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[PDF] Detecting Neglected Nonlinearity in Dynamic Panel Data with Time-Varying Conditional Heteroskedasticity

[PDF] from repec.org
Y Hong… - 2004 - repec.org
ABSTRACT A new class of specification tests is proposed to detect for neglected
nonlinearity and dynamic misspecification in panel models. The tests can detect a wide
range of model misspecifications while being robust to conditional heteroskedasticity and ...
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[CITATION] Nonparametric Specification Testing for Continuous-Time Model s wit h Application to Spot Interest Rates

Y Hong… - 2002
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[PDF] A Unified Approach to Validating Univariate and Multivariate Conditional Distribution Models in Time Series

[PDF] from webmeets.com
B Chen… - 2006 - webmeets.com
Abstract: Modeling conditional distributions in time series has attracted increasing attention
in economics and finance. We develop a new class of generalized Cramer-von Mises (GCM)
specification tests for time series conditional distribution models using a novel approach, ...
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[PDF] Predictability of Equity Returns over Different Time Horizons: A Nonparametric Approach (Preliminary Version)

[PDF] from ucr.edu
Q Chen… - 2009 - economics.ucr.edu
Abstract This paper aims to test an important hypothesis in financial economics: whether
equity returns are predictable over various horizons? The conventional wisdom in the
literature is that aggregate dividend yields strongly predict excess returns, and the ...
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Wavelet-Based Testing for Serial Correlation of Unknown Form in Panel Models

[PDF] from diw.de
Y Hong… - Center for Policy Research Working Papers, 2000 - papers.ssrn.com
Abstract: Wavelet analysis is a new mathematical tool developed as a unified field of science
over the last decade. As spatially adaptive analytic tools, wavelets are useful for capturing
serial correlation where the spectrum has peaks or kinks, as can arise from persistent/ ...
All 9 versions

Generalized spectral testing for multivariate continuous-time models

B Chen… - Journal of Econometrics, 2011 - Elsevier
We develop an omnibus specification test for multivariate continuous-time models using the
conditional characteristic function, which often has a convenient closed-form or can be
accurately approximated for many multivariate continuous-time models in finance and ...
Get it from MIT Libraries - All 5 versions

[PDF] Predictability of Equity Returns over Different Time Horizons: A Nonparametric Approach

[PDF] from pku.edu.cn
Q Chen… - The 68th International Atlantic Economic …, 2010 - ceq.ccer.pku.edu.cn
Abstract This paper aims to test an important hypothesis in financial economics: whether
equity returns are predictable over various horizons? The conventional wisdom in the
literature is that aggregate dividend yields strongly predict excess returns, and the ...
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