Hong Miao

Colorado State University, Fort Collins - Department of Finance & Real Estate

Fort Collins, CO 80523

United States

SCHOLARLY PAPERS

14

DOWNLOADS
Rank 20,740

SSRN RANKINGS

Top 20,740

in Total Papers Downloads

1,870

CITATIONS
Rank 30,856

SSRN RANKINGS

Top 30,856

in Total Papers Citations

7

Scholarly Papers (14)

Information Driven Price Jumps and Trading Strategy: Evidence from Stock Index Futures

Number of pages: 51 Posted: 01 Sep 2011 Last Revised: 18 Jan 2012
Colorado State University, Fort Collins - Department of Finance & Real Estate, Colorado State University, Fort Collins - Department of Finance & Real Estate and Colorado State University, Fort Collins - Department of Finance & Real Estate
Downloads 342 (71,639)
Citation 1

Abstract:

Macroeconomic News, Jumps, Index Futures, Trading Strategy

Information Driven Price Jumps and Trading Strategy: Evidence from Stock Index Futures

Midwest Finance Association 2012 Annual Meetings Paper
Number of pages: 47 Posted: 15 Sep 2011
Colorado State University, Fort Collins - Department of Finance & Real Estate, Colorado State University, Fort Collins - Department of Finance & Real Estate and Colorado State University, Fort Collins - Department of Finance & Real Estate
Downloads 196 (129,620)
Citation 1

Abstract:

Macroeconomic News, Jumps, Index Futures, Trading Strategy

2.
Downloads 449 ( 52,167)
Citation 2

Investment Timing Under Regime Switching

Number of pages: 35 Posted: 20 Feb 2007
Robert J. Elliott, Hong Miao and Jin Yu
University of Calgary - Haskayne School of Business, Colorado State University, Fort Collins - Department of Finance & Real Estate and Vienna Graduate School of Finance
Downloads 380 (63,215)
Citation 2

Abstract:

Investment Timing, Real Option, Regime Switching

Investment Timing Under Regime Switching

International Journal of Theoretical and Applied Finance, Vol. 12, No. 4, pp. 443-463, 2009
Number of pages: 21 Posted: 16 Apr 2010 Last Revised: 09 Feb 2013
Robert J. Elliott, Hong Miao and Yu Jin
University of Calgary - Haskayne School of Business, Colorado State University, Fort Collins - Department of Finance & Real Estate and University of New South Wales (UNSW)
Downloads 69 (285,382)
Citation 2

Abstract:

Regime Switching, Real Option, Investment Timing

3.

General Equilibrium Asset Pricing Under Regime Switching

Number of pages: 26 Posted: 18 Mar 2007
Robert J. Elliott, Hong Miao and Jin Yu
University of Calgary - Haskayne School of Business, Colorado State University, Fort Collins - Department of Finance & Real Estate and Vienna Graduate School of Finance
Downloads 239 (99,547)
Citation 1

Abstract:

General Equilibrium, Representative Agent, Utility Function, Regime Switching, Stochastic Discount Factor, Equity Premium Puzzle

4.

Jumps in Oil Prices: The Role of Economic News

Energy Journal, 2013
Number of pages: 32 Posted: 23 Aug 2012 Last Revised: 18 Feb 2013
John Elder, Hong Miao and Sanjay Ramchander
Colorado State University, Colorado State University, Fort Collins - Department of Finance & Real Estate and Colorado State University, Fort Collins - Department of Finance & Real Estate
Downloads 117 (140,508)

Abstract:

oil, jumps, macroeconomic announcements

5.

The Informational Relevance of Forward-Looking Measures of Returns and Volatility in Forecasting Defaults

Number of pages: 38 Posted: 30 Jul 2014
Colorado State University, Fort Collins - Department of Finance & Real Estate, Colorado State University, Fort Collins - Department of Finance & Real Estate, Colorado State University, Fort Collins - Department of Finance & Real Estate and Colorado State University - Department of Finance & Real Estate
Downloads 71 (244,297)

Abstract:

Distance to Default, Default Prediction

6.

Price Discovery in Crude Oil Futures

Energy Economics, Forthcoming
Number of pages: 34 Posted: 18 Sep 2014
John Elder, Hong Miao and Sanjay Ramchander
Colorado State University, Colorado State University, Fort Collins - Department of Finance & Real Estate and Colorado State University, Fort Collins - Department of Finance & Real Estate
Downloads 47 (237,388)

Abstract:

Crude Oil Futures, WTI, Brent, Information Sharing, Inventory Level, Spread

7.

Price Responsiveness and Stock - Flow Distinctions in Commodities

Number of pages: 43 Posted: 27 Jul 2011
University of Portland - Dr. Robert B. Pamplin, Jr. School of Business Administration, University of Portland - Dr. Robert B. Pamplin, Jr. School of Business Administration, University of Southern Mississippi - College of Business Administration, Colorado State University, Fort Collins - Department of Finance & Real Estate and Colorado State University, Fort Collins - Department of Finance & Real Estate
Downloads 45 (331,209)

Abstract:

Stock-Flow, Macroeconomic News, Metal Futures

8.

Fractional Differencing in Discrete Time

Quantitative Finance, (with revisions), 2013, Forthcoming
Number of pages: 27 Posted: 27 Jul 2011 Last Revised: 05 Feb 2013
John Elder, Robert J. Elliott and Hong Miao
Colorado State University, University of Calgary - Haskayne School of Business and Colorado State University, Fort Collins - Department of Finance & Real Estate
Downloads 44 (337,179)

Abstract:

Fractional Difference, Discrete Time, Metal Futures, Long Memory

9.

Examination on the Flow Characteristic of Crude Oil: Evidence from the Risk-Neutral Moments

Number of pages: 38 Posted: 14 Feb 2015 Last Revised: 09 May 2015
University of Portland - Dr. Robert B. Pamplin, Jr. School of Business Administration, Colorado State University, Fort Collins - Department of Finance & Real Estate, Colorado State University, Fort Collins - Department of Finance & Real Estate and Colorado State University - Department of Finance & Real Estate
Downloads 34 (322,398)

Abstract:

Risk-Neutral Moments, Crude Oil Futures, Returns, Volatility

Return and Volatility Transmission in U.S. Housing Markets

Real Estate Economics, Vol. 39, Issue 4, pp. 701-741, 2011
Number of pages: 41 Posted: 16 Nov 2011
Colorado State University, Fort Collins - Department of Finance & Real Estate, Colorado State University, Fort Collins - Department of Finance & Real Estate and The John B. and Lillian E. Neff Department of Finance, University of Toledo
Downloads 2 (568,434)
Citation 3
  • Add to Cart

Abstract:

Return and Volatility Transmission in U.S. Housing Markets

Real Estate Economics, Forthcoming
Posted: 31 Aug 2010 Last Revised: 15 Sep 2011
Colorado State University, Fort Collins - Department of Finance & Real Estate, Colorado State University, Fort Collins - Department of Finance & Real Estate and The John B. and Lillian E. Neff Department of Finance, University of Toledo

Abstract:

return tranmsission, volatility transmission, Case-Shiller, residential markets, spatial dependencies

11.

Market Implications of Default Prediction

Number of pages: 40 Posted: 30 May 2017
Colorado State University, Fort Collins - Department of Finance & Real Estate, Colorado State University, Fort Collins - Department of Finance & Real Estate, Colorado State University, Fort Collins - Department of Finance & Real Estate and Colorado State University - Department of Finance & Real Estate
Downloads 0 (376,953)

Abstract:

Default Prediction, Distance to Default, Implied Cost of Capital, Implied Volatility

12.

Risk-Shifting, Equity Risk, and the Distress Puzzle

Journal of Corporate Finance, Vol. 44, April, 2017
Number of pages: 34 Posted: 24 Nov 2015 Last Revised: 28 May 2017
Keming Li, Jimmy Lockwood and Hong Miao
Texas A&M University (TAMU) - San Antonio, Colorado State University and Colorado State University, Fort Collins - Department of Finance & Real Estate
Downloads 0 (263,113)

Abstract:

Financial Distress; Bankruptcy; Risk-Shifting; Credit Spread

13.

The Forecasting Efficacy of Risk-Neutral Moments for Crude Oil Volatility

Chatrath, A., Miao, H., Ramchander, S., & Wang, T. (2015). The Forecasting Efficacy of Risk‚ÄźNeutral Moments for Crude Oil Volatility. Journal of Forecasting, 34(3), 177-190.,
Posted: 20 Apr 2015
University of Portland - Dr. Robert B. Pamplin, Jr. School of Business Administration, Colorado State University, Fort Collins - Department of Finance & Real Estate, Colorado State University, Fort Collins - Department of Finance & Real Estate and Colorado State University - Department of Finance & Real Estate

Abstract:

risk-neutral moments; crude oil futures options; implied volatility

14.

The Response of Bond Prices to Insurer Ratings Changes

Miao, H., Ramchander, S., & Wang, T. (2014). The Response of Bond Prices to Insurer Ratings Changes. The Geneva Papers on Risk and Insurance-Issues and Practice, 39(2), 389-413.
Posted: 20 Apr 2015 Last Revised: 20 Oct 2015
Colorado State University, Fort Collins - Department of Finance & Real Estate, Colorado State University, Fort Collins - Department of Finance & Real Estate and Colorado State University - Department of Finance & Real Estate

Abstract:

insurer ratings changes; ratings agency; bond price impact; event study