Yongmiao Hong

Cornell University - Department of Economics

Department of Statistical Science

414 Uris Hall

Ithaca, NY 14853-7601

United States

  • Cornell University - Department of Economics

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    • Tel: 607-255-5130
    • Fax: 607-255-2818
SCHOLARLY PAPERS

30

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108

Scholarly Papers (30)

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1.

Forecasting Inflation Using Economic Narratives

Number of pages: 65 Posted: 04 Aug 2022 Last Revised: 19 Dec 2023
Yongmiao Hong, Fuwei Jiang, Lingchao Meng and Bowen Xue
Cornell University - Department of Economics, Xiamen University, University of International Business and Economics - School of Banking and Finance and Chinese Academy of Sciences (CAS) - School of Economics and Management
Downloads 1,326 (33,037)
Citation 2

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Economic Narratives, Inflation Forecasting, Textual Analysis, Machine Learning

2.

Time-Varying Factor Selection: A Sparse Fused GMM Approach

Number of pages: 35 Posted: 01 May 2023 Last Revised: 21 Nov 2024
Liyuan Cui, Guanhao Feng, Yongmiao Hong and Jiangshan Yang
City University of Hong Kong, City University of Hong Kong (CityU), Cornell University - Department of Economics and City University of Hong Kong (CityU) - Department of Economics & Finance
Downloads 673 (84,324)
Citation 1

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SCAD, structural breaks, stochastic discount factor, time-varying coefficient model, variable selection

3.

Regularized GMM for Time-Varying Models with Applications to Asset Pricing

International Economic Review, Forthcoming
Number of pages: 50 Posted: 08 Apr 2021 Last Revised: 25 Oct 2023
Liyuan Cui, Guanhao Feng and Yongmiao Hong
City University of Hong Kong, City University of Hong Kong (CityU) and Cornell University - Department of Economics
Downloads 657 (86,978)
Citation 2

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GMM, ridge fusion penalty, stochastic discount factor, time-varying coefficient model.

4.

A Regularized High-Dimensional Positive Definite Covariance Estimator with High-Frequency Data

Management Science, forthcoming
Number of pages: 51 Posted: 08 Jul 2019 Last Revised: 29 Aug 2023
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 (CityU) - School of Data Science
Downloads 653 (87,643)

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Covariance estimation, High frequency, Large dimension, Weak factors, Nuclear norm, weighted group LASSO, Vast portfolio evaluation.

5.

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

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 643 (89,423)
Citation 8

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

6.

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 575 (103,156)
Citation 3

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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

7.

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

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 545 (110,279)
Citation 4

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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

8.

Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation

Downloads 511 (119,462)
Citation 49

Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation

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 Shanghai Jiao Tong University (SJTU), Antai College of Economics and Management, Students
Downloads 511 (117,923)
Citation 49

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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

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9.

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

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 421 (150,455)
Citation 4

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

10.

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 374 (171,852)

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

11.

Estimating and Testing for Smooth Structural Changes in Moment Condition Models

Number of pages: 45 Posted: 25 Feb 2021 Last Revised: 26 Feb 2022
Haiqi Li, Jin Zhou and Yongmiao Hong
Hunan University, Hunan University and Cornell University - Department of Economics
Downloads 353 (183,244)
Citation 1

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Boundary correction, Local GMM, Local stationarity, Nonparametric tests, Smooth structural changes

12.

Kolmogorov-Smirnov type testing for structural breaks: A new adjusted-range based self-normalization approach

Number of pages: 77 Posted: 27 May 2021 Last Revised: 17 Apr 2023
Yongmiao Hong, Oliver B. Linton, Brendan McCabe, Jiajing Sun and Shouyang Wang
Cornell University - Department of Economics, University of Cambridge, University of Liverpool - Management School (ULMS), University of Chinese Academy of Sciences - School of Economics and Management and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences
Downloads 239 (275,348)
Citation 3

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Change-point testing; CUSUM process; Parameter constancy; Studentization.

13.

A Semi-nonparametric Estimation-based Approach for Solving Multi-Euler Equations

Number of pages: 46 Posted: 13 May 2019 Last Revised: 31 Jul 2023
Liyuan Cui, Yongmiao Hong and Jingyi Yao
City University of Hong Kong, Cornell University - Department of Economics and City University of Hong Kong (CityU) - School of Data Science
Downloads 234 (281,171)

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Adaptive sparse group Lasso, variable selection, high-dimensional moment restrictions, continuous-updating efficient GMM, Euler equations, numerical solutions.

14.

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 209 (313,311)
Citation 2

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

15.

On Multiple Structural Breaks in Distribution: An Empirical Characteristic Function Approach

Number of pages: 50 Posted: 14 Apr 2020 Last Revised: 05 May 2022
Zhonghao Fu, Yongmiao Hong and Xia Wang
Fudan University - School of Economics, Cornell University - Department of Economics and Sun Yat-sen University (SYSU) - Lingnan (University) College
Downloads 192 (339,069)

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Structural break, Joint distribution, Empirical characteristic function, Information criterion

16.

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 - Te Herenga Waka - School of Economics & Finance and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences
Downloads 188 (345,714)
Citation 1

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

17.

Solving Euler Equations via Two-Stage Nonparametric Penalized Splines

Journal of Econometrics, Forthcoming
Number of pages: 52 Posted: 14 May 2019 Last Revised: 30 Apr 2020
Liyuan Cui, Yongmiao Hong and Yingxing Li
City University of Hong Kong, Cornell University - Department of Economics and Xiamen University
Downloads 177 (364,925)
Citation 4

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

18.

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 175 (368,701)
Citation 1

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

19.

Detecting Misspecifications in Autoregressive Conditional Duration Models

CAEPR Working Paper No. 2007-019
Number of pages: 33 Posted: 28 Sep 2007
Yongmiao Hong, Yoon-Jin Lee and Yoon-Jin Lee
Cornell University - Department of Economics and Kansas State UniversityKansas State university - Department of Economics
Downloads 174 (370,540)

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

20.

Testing for Structural Changes in Large Dimensional Factor Models via Discrete Fourier Transform

Number of pages: 50 Posted: 14 Apr 2020 Last Revised: 05 May 2022
Zhonghao Fu, Yongmiao Hong and Xia Wang
Fudan University - School of Economics, Cornell University - Department of Economics and Sun Yat-sen University (SYSU) - Lingnan (University) College
Downloads 170 (378,338)
Citation 5

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Factor model, Structural change, Discrete Fourier transform, Local power

21.

Adaptive Shrinkage Estimation of High Dimensional Moment Condition Model with Smooth Structural Changes

Number of pages: 60 Posted: 25 Feb 2021 Last Revised: 13 Apr 2021
Xingyi Chen, Yongmiao Hong and Haiqi Li
Hunan University - School of Finance and Statistics, Cornell University - Department of Economics and Hunan University
Downloads 157 (405,191)

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High dimensional moment conditions, Moment selection, Shrinkage local GMM estimator, Smooth structural changes

22.

Structural Stability of Functional Data - a New Adjusted-Range Based Self-Normalization Approach

Number of pages: 12 Posted: 14 Feb 2025
Jiajing Sun, Yongmiao Hong, Zhuo Lin and Weichao Xu
University of Chinese Academy of Sciences - School of Economics and Management, Cornell University - Department of Economics, Academy of Mathematics and Systems Science, Chinese Academy of Sciences and Xiamen University
Downloads 64 (747,096)

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Adjusted-range, Functional time series, Karhunen-Loève expansion, self-normalization.

23.

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 57 (792,432)
Citation 18

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

24.

Inference for Time-Varying Factor Models Under Local Stationarity

Number of pages: 37 Posted: 19 Oct 2024
Weichi Wu, Zhou Zhou and Yongmiao Hong
Tsinghua University, University of Toronto and Cornell University - Department of Economics
Downloads 37 (959,911)

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Factor model, local stationarity, high dimensional time series, constancy of factor loadings, adaptive estimation

25.

Shrinkage Estimation of Spatial Panel Data Models with Multiple Structural Breaks and a Multifactor Error Structure

Number of pages: 73 Posted: 30 Aug 2024
Siqi Dai, Yongmiao Hong, Haiqi Li and Chaowen Zheng
Hunan University, Cornell University - Department of Economics, Hunan University and University of Southampton - Department of Economics
Downloads 36 (969,943)

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Common Factors, PGMM-CCEX Estimation, Spatial Panel Models, structural breaks

26.

Structural stability of functional data - a new adjusted-range based self-normalization approach

Number of pages: 12 Posted: 21 Feb 2025
Jiajing Sun, Yongmiao Hong, Zhuo Lin and Weichao Xu
University of Chinese Academy of Sciences - School of Economics and Management, Cornell University - Department of Economics, Academy of Mathematics and Systems Science, Chinese Academy of Sciences and Xiamen University
Downloads 7 (1,294,914)

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27.

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 (AMSS), Cornell University - Department of Economics and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences

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

28.

Threshold Autoregressive Models for Interval-Valued Time Series Data

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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 (AMSS), 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

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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 (AMSS), Independent, Cornell University - Department of Economics and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences

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

29.

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

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

30.

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

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