Yongmiao Hong

Cornell University - Department of Economics

Department of Statistical Science

414 Uris Hall

Ithaca, NY 14853-7601

United States

SCHOLARLY PAPERS

20

DOWNLOADS
Rank 14,595

SSRN RANKINGS

Top 14,595

in Total Papers Downloads

3,228

CITATIONS
Rank 4,756

SSRN RANKINGS

Top 4,756

in Total Papers Citations

115

Scholarly Papers (20)

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 570 (46,270)
Citation 20

Abstract:

Loading...

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 528 (50,971)
Citation 16

Abstract:

Loading...

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 484 (56,913)
Citation 7

Abstract:

Loading...

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 - John M. Olin Business School and Singapore Management University - Lee Kong Chian School of Business
Downloads 411 (68,853)
Citation 70

Abstract:

Loading...

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 - John M. Olin Business School

Abstract:

Loading...

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 368 (79,090)
Citation 13

Abstract:

Loading...

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 325 (91,153)

Abstract:

Loading...

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 158 (184,742)
Citation 2

Abstract:

Loading...

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 152 (190,836)
Citation 2

Abstract:

Loading...

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 145 (198,366)

Abstract:

Loading...

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

10.

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

Number of pages: 70 Posted: 06 Jun 2019
Qingqing Chen and Yongmiao Hong
Government of the United States of America - Office of the Comptroller of the Currency (OCC) and Cornell University - Department of Economics
Downloads 17 (531,975)

Abstract:

Loading...

Asset Return Predictability, bootstrap, Hypothesis Testing, Kernel, Nonlinearity, Signal-to-Noise

11.

A Nonparametric GMM Series Approach to Solving Multi-equation Asset Pricing Models with Recursive Preferences

Number of pages: 42 Posted: 13 May 2019
Liyuan Cui and Yongmiao Hong
City University of Hong Kong and Cornell University - Department of Economics
Downloads 17 (531,975)

Abstract:

Loading...

CAPM, Epstein and Zin’s model, GMM, price-dividend ratio, recursive preferences, series estimation, simultaneous equation biases, wealth-consumption ratio

12.

A Machine Learning Approach to Estimating Large Positive Definite Covariance Matrix of High Frequency Data

Number of pages: 35 Posted: 08 Jul 2019 Last Revised: 10 Jul 2019
Liyuan Cui, Yongmiao Hong, Yingxing Li and Junhui Wang
City University of Hong Kong, Cornell University - Department of Economics, Xiamen University and City University of Hong Kong (CityUHK) - School of Data Science
Downloads 16 (537,653)

Abstract:

Loading...

Machine Learning, Large Covariance, High Frequency, High Dimension, Positive Definite, Vast Portfolio Evaluation, Sharpe Ratios, ADMM

13.

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 16 (537,653)
Citation 14

Abstract:

Loading...

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

14.

Solving Euler Equations via Two-Stage Nonparametric Penalized Splines

Number of pages: 59 Posted: 14 May 2019
Liyuan Cui, Yongmiao Hong and Yingxing Li
City University of Hong Kong, Cornell University - Department of Economics and Xiamen University
Downloads 15 (543,568)
Citation 5

Abstract:

Loading...

Euler equation, implied price-dividend ratio, nonparametric, penalized splines, two-stage regression, return predictability.

15.

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 3 (620,064)
  • Add to Cart

Abstract:

Loading...

16.

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 (620,064)
Citation 2
  • Add to Cart

Abstract:

Loading...

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

17.

How to Distinguish Abrupt Structural Breaks from Smooth Structural Changes?

Posted: 23 May 2018
Yuying Sun, Yongmiao Hong and Shouyang Wang
Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Science, Cornell University - Department of Economics and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences

Abstract:

Loading...

Abrupt structural break; Boundary problem; Local linear smoothing; Model instability; Predictive regression models; Smooth structural change

Threshold Autoregressive Models for Interval-Valued Time Series Data

Posted: 19 Apr 2018 Last Revised: 28 Apr 2018
Yuying Sun, Ai Han, Yongmiao Hong and Shouyang Wang
Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Cornell University - Department of Economics and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences

Abstract:

Loading...

Asymmetric Reaction, Interval-Valued Data, Minimum Distance Estimation, Nonlinearity, Symbolic Data, Threshold Autoregressive Interval Models

Threshold Autoregressive Models for Interval-Valued Time Series Data

Posted: 24 Apr 2018
Yuying Sun, Ai Han, Yongmiao Hong and Shouyang Wang
Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Science, Independent, Cornell University - Department of Economics and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences

Abstract:

Loading...

Asymmetric Reaction, Interval-Valued Data, Minimum Distance Estimation, Nonlinearity, Symbolic Data, Threshold Autoregressive Interval Models

19.

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:

Loading...

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

20.

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:

Loading...