Yongmiao Hong

Cornell University - Department of Economics

Department of Statistical Science

414 Uris Hall

Ithaca, NY 14853-7601

United States

SCHOLARLY PAPERS

14

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CITATIONS
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90

Scholarly Papers (14)

1.

Can the Random Walk Model be Beaten in Out-of-Sample Density Forecasts: Evidence from Intraday Foreign Exchange Rates

EFA 2003 Annual Conference Paper No. 843
Number of pages: 34 Posted: 03 Aug 2003
Yongmiao Hong, Haitao Li and Feng Zhao
Cornell University - Department of Economics, University of Michigan - Stephen M. Ross School of Business and University of Texas at Dallas - Jindal School of Management
Downloads 534 (39,894)
Citation 10

Abstract:

density forecasts, eurodollar, GARCH, intraday exchange rate, jumps, maximum likelihood estimation, nonlinear time series, out-of-sample forecasts, regime-switching

2.

Out-of-Sample Performance of Spot Interest Rate Models

Number of pages: 38 Posted: 12 Oct 2002
Haitao Li, Yongmiao Hong and Feng Zhao
University of Michigan - Stephen M. Ross School of Business, Cornell University - Department of Economics and University of Texas at Dallas - Jindal School of Management
Downloads 510 (43,594)
Citation 10

Abstract:

Density forecasts, Diffusion model, GARCH, Generalized spectrum, Jumps, Out-of-sample forecasts, Nonlinear time series, Parameter estimation uncertainty, Regime-Switching, Short-term interest rate, Transition density

3.

Nonparametric Specification Testing for Continuous-Time Models with Application to Spot Interest Rates

EFA 2002 Berlin Meetings Presented Paper; Cornell University Working Paper
Number of pages: 48 Posted: 20 Mar 2002
Yongmiao Hong and Haitao Li
Cornell University - Department of Economics and University of Michigan - Stephen M. Ross School of Business
Downloads 472 (48,113)
Citation 18

Abstract:

Boundary bias, Continuous-time model, Generalized residual, Hellinger metric, Kernel method, Parameter estimation uncertainty, Probability integral transform, Quadratic form, Short-term interest rate, Transition density

Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation

14th Annual Conference on Financial Economics and Accounting (FEA)
Number of pages: 52 Posted: 15 Jan 2004
Yongmiao Hong, Guofu Zhou and Jun Tu
Cornell University - Department of Economics, Washington University in St. Louis - Olin School of Business and Singapore Management University - Lee Kong Chian School of Business
Downloads 396 (60,762)
Citation 32

Abstract:

Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation

The Review of Financial Studies, Vol. 20, No. 5, pp. 1547-1581, 2007
Posted: 25 Jun 2008
Yongmiao Hong and Guofu Zhou
Cornell University - Department of Economics and Washington University in St. Louis - Olin School of Business

Abstract:

5.

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

EFA 2003 Annual Conference Paper No. 820
Number of pages: 33 Posted: 01 Aug 2003
Yongmiao Hong, Haitao Li and Alexei V. Egorov
Cornell University - Department of Economics, University of Michigan - Stephen M. Ross School of Business and West Virginia University - College of Business & Economics
Downloads 359 (66,854)
Citation 6

Abstract:

Density forecast, Affine term structure models, Probability integral transform, Financial risk management, Value-at-Risk, Fixed-income portfolio management

6.

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

Number of pages: 33 Posted: 10 Jul 2002
Yongmiao Hong and Tae-Hwy Lee
Cornell University - Department of Economics and University of California, Riverside (UCR) - Department of Economics
Downloads 310 (78,816)
Citation 8

Abstract:

bootstrap, combined forecast, data snooping, directional forecast, functional-coefficient model, generalized spectral test, martingale, moving average technical trading rule, nonlinearity in mean, trading return

7.

Diagnosing Multivariate Continuous-Time Models with Application to Affine Term Structure Models

Number of pages: 42 Posted: 01 Dec 2005
Bin Chen and Yongmiao Hong
University of Rochester - Department of Economics and Cornell University - Department of Economics
Downloads 145 (163,177)

Abstract:

Affine jump diffusion model, Affine term structure model, Conditional characteristic function, Generalized cross-spectrum, Levy processes, Multivariate continuous-time model

8.

Modeling the Dynamics of Chinese Spot Interest Rates

Journal of Banking and Finance, Forthcoming
Number of pages: 44 Posted: 14 Oct 2008 Last Revised: 26 Nov 2010
Yongmiao Hong, Hai Lin and Shouyang Wang
Cornell University - Department of Economics, Victoria University of Wellington - School of Economics & Finance and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences
Downloads 144 (167,895)
Citation 2

Abstract:

Spot rate models, Term structure of interest rates, Market segmentation, Nonparametric specification tests

9.

Detecting Misspecifications in Autoregressive Conditional Duration Models

CAEPR Working Paper No. 2007-019
Number of pages: 33 Posted: 28 Sep 2007
Yongmiao Hong and Yoon-Jin Lee
Cornell University - Department of Economics and Kansas State University
Downloads 136 (170,730)

Abstract:

Autoregressive Conditional Duration, Dispersion Clustering, Finite Sample Correction, Generalized Spectral Derivative, Nonlinear Time Series, Parameter Estimation Uncertainty, Wooldridge's Device

10.

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

Center for Policy Research Working Paper No. 32
Number of pages: 62 Posted: 13 Apr 2011
Yongmiao Hong and Chihwa Kao
Cornell University - Department of Economics and Syracuse University
Downloads 14 (483,495)
Citation 4

Abstract:

Error component, Panel model, Hypothesis testing, Serial correlation of unknown form, Spectral peak, Unbalanced panel data, Wavelet

11.

Detecting Misspecifications in Autoregressive Conditional Duration Models and Non-Negative Time-Series Processes

Journal of Time Series Analysis, Vol. 32, Issue 1, pp. 1-32, 2010
Number of pages: 32 Posted: 19 Dec 2010
Yongmiao Hong and Yoon-Jin Lee
Cornell University - Department of Economics and affiliation not provided to SSRN
Downloads 3 (537,555)
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Abstract:

Autoregressive conditional duration, dispersion clustering, finite sample correction, generalized spectral derivative, nonlinear time series, parameter estimation uncertainty, Wooldridge's Device

12.

Testing the Structure of Conditional Correlations in Multivariate GARCH Models: A Generalized Cross‐Spectrum Approach

International Economic Review, Vol. 52, Issue 4, pp. 991-1037, 2011
Number of pages: 47 Posted: 25 Nov 2011
Nadine McCloud and Yongmiao Hong
University of the West Indies (Mona) - Department of Economics and Cornell University - Department of Economics
Downloads 2 (537,555)
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Abstract:

13.

Characteristic Function-Based Testing for Multifactor Continuous-Time Markov Models Via Nonparametric Regression

Posted: 14 Oct 2008
Bin Chen and Yongmiao Hong
University of Rochester - Department of Economics and Cornell University - Department of Economics

Abstract:

Conditional characteristic function, Goodness-of-fit, Multifactor continuous-time Markov model, Nonparametric regression

14.

Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates

The Review of Financial Studies, Vol. 18, Issue 1, pp. 37-84, 2005
Posted: 29 Feb 2008
Yongmiao Hong
Cornell University - Department of Economics

Abstract: