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 ...
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 ...
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 ...
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 ...
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 ...
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, ...
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 ...
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 ...
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- ...
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 ...
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 ...
[CITATION] Evaluation of out of sample probability density forecasts with applications to S&P 500 stock prices
Y Hong - 2001 - Working Paper, Cornell University
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 ...
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- ...
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 ...
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 ...
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 ...
[CITATION] Productivity growth in Chinese state-run industry
T Groves, Y Hong, J McMillan… - Reform of China's State-Owned …, 1995
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 ...
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 ...
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 ...
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 ...
[CITATION] Evaluation of out-of-sample density forecasts with applications to stock prices
Y Hong - 2000 - Working Paper, Department of …
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 ...
[CITATION] Consistent testing for serial correlation of unknown form under general conditional heteroskedasticity
Y Hong… - Preprint, Cornell University, 2003
[CITATION] Granger causality in risk and detection of risk transmission between financial markets
Y Hong - Department of Economics and Department of Statistical …, 2001
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 ...
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 ...
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 ...
[CITATION] The Firm as an Incentive System: Evidence from China's State Firms
Y Hong… - Cornell University and University of California, San …, 1994
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
[CITATION] Barry Naughton.“
T Groves, Y Hong… - China's Evolving Managerial Labor Market.” Journal …, 1995
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 ...
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 ...
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 ...
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 ...
[CITATION] Forecasting the joint probability density of bond yields: can affine models beat random walk
A Egorov, Y Hong… - 2005 - mimeo, Cornell University
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 ...
[CITATION] VHas Chinese Stock Market Become Effi cient
T Chen… - Evidence from, 2003
[CITATION] Some Recent Development in Financial Econometrics [J]
H Yongmiao - China Economic Quarterly, 2002
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-
[CITATION] Restructuring China's state firms
Y Hong… - Unpublished, University of California, San Diego, 1996
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- ...
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 ...
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 ...
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 ...
[CITATION] Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns
Y Hong, GM Gallo… - 2001 - working paper
[CITATION] Study on the Dynamics of China's Spot Interest Rate----Empirical Analysis Based on Short Term Repo Rate
Y Hong… - Working paper, 2004
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 ...
[CITATION] Granger causality in risk and detection of risk transmission between two time series
Y Hong - 2001 - Working Papers
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
[CITATION] Nonparametric Methods in Continuous-Time Finance: A Selective Review
ZCY Hong - 2003
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 ...
[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
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 ...
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, ...
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 ...
[CITATION] Editors: TAKESHI AMEMIYA A. RONALD GALLANT JOHN F. GEWEKE
C HSIAO, P ROBINSON, A ZELLNER… - Journal of …, 2008 - North Holland Pub. Co.
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 ...
[CITATION] Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation (Digest Summary)
Y Hong, J Tu… - CFA Digest, 2008 - CFA Institute
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 ( ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ( ...
[CITATION] Specification testing in economics using m-tests
Y Hong - 1993 - University of California, San Diego, …
[CITATION] The Predictability of the Corporate Bond Market Returns
Y Hong, H Lin…
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, ...
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 ...
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 ...
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 ...
[CITATION] Financial Studies
KJMCVB Nair, C Wei, DHCA Hennessy, HE Leland… - 2007 - JSTOR
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
[CITATION] Nonparametric Specification Testing for Continuous-Time Model s wit h Application to Spot Interest Rates
Y Hong… - 2002
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, ...
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 ...
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/ ...
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 ...
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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