Details about Yongmiao Hong

Homepage:	https://people.ucas.ac.cn/~ymhong?language=en
Postal address:	Room 404 South Building, Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China
Workplace:	School of Economics and Management, University of Chinese Academy of Sciences, (more information at EDIRC)

Access statistics for papers by Yongmiao Hong.

Last updated 2025-10-09. Update your information in the RePEc Author Service.

Short-id: pho691

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Working Papers

2024

1. Sparse Interval-valued Time Series Modeling with Machine Learning
   Papers, arXiv.org

2023

2. Kolmogorov-Smirnov Type Testing for Structural Breaks: A New Adjusted-Range Based Self-Normalization Approach
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (1)
   See also Journal Article Kolmogorov–Smirnov type testing for structural breaks: A new adjusted-range based self-normalization approach, Journal of Econometrics, Elsevier (2024) View citations (3) (2024)

2017

3. Time-varying Model Averaging
   Working Papers, University of California at Riverside, Department of Economics
   See also Journal Article Time-varying model averaging, Journal of Econometrics, Elsevier (2021) View citations (15) (2021)

2007

4. Central limit theorems for weighted quadratic forms of dependent processes with applications in specification testing
   MPRA Paper, University Library of Munich, Germany View citations (2)
5. Detecting Misspecifications in Autoregressive Conditional Duration Models
   CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington

2005

6. Identifying Threshold Effects and Typologies in Economic Growth: A Panel Approach
   2005 Annual meeting, July 24-27, Providence, RI, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association) View citations (4)

2004

7. Are the directions of stock price changes predictable? A generalized cross-spectral approach
   Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (1)
8. Detecting Neglected Nonlinearity in Dynamic Panel Data with Time-Varying Conditional Heteroskedasticity
   Econometric Society 2004 Far Eastern Meetings, Econometric Society
9. Generalized (Cross) Spectral Tests for Optimal Forecasts and Conditional Predictive Ability Under Generalized Loss Functions
   Econometric Society 2004 North American Winter Meetings, Econometric Society
10. Specification Testing for Multivariate Time Series Volatility Models
    Econometric Society 2004 Far Eastern Meetings, Econometric Society

2003

11. Nonparametric Methods in Continuous-Time Finance: A Selective Review
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (8)

2002

12. Nonparametric specification testing for continuous-time models with application to spot interest rates
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (21)
13. Spectral density bandwith choice and prewightening in the estimation of heteroskadasticity and autocorrelation consistent covariance matrices in panel data models
    10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data

2001

14. Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (11)

2000

15. Wavelet-Based Testing for Serial Correlation of Unknown Form in Panel Models
    Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University
    See also Journal Article Wavelet-Based Testing for Serial Correlation of Unknown Form in Panel Models, Econometrica, Econometric Society (2004) View citations (40) (2004)
16. Wavelet-based Estimation for Heteroskedasticity and Autocorrelation Consistent Variance-Covariance Matrices
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (7)

1999

17. M-Testing Using Finite and Infinite Dimensional Parameter Estimators
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (3)

1996

18. Testing for independence between two covariance stationary time series
    MPRA Paper, University Library of Munich, Germany View citations (33)

1994

19. Nonparametric Coherency-Based Testing for Independence Between Two Stationary Time Series
    Working Papers, Cornell - Department of Economics

Journal Articles

2025

1. A Novel Hybrid Nonlinear Forecasting Model for Interval‐Valued Gas Prices
   Journal of Forecasting, 2025, 44, (5), 1826-1848
2. Forecasting Inflation Using Economic Narratives
   Journal of Business & Economic Statistics, 2025, 43, (1), 216-231
3. Shrinkage estimation of spatial panel data models with multiple structural breaks and a multifactor error structure
   Journal of Econometrics, 2025, 251, (C)
4. Structural stability of functional data — A new adjusted-range-based self-normalization approach
   Economics Letters, 2025, 253, (C)

2024

5. A Regularized High-Dimensional Positive Definite Covariance Estimator with High-Frequency Data
   Management Science, 2024, 70, (10), 7242-7264 View citations (2)
6. Climate change and crude oil prices: An interval forecast model with interval-valued textual data
   Energy Economics, 2024, 134, (C) View citations (4)
7. Estimating and testing for smooth structural changes in moment condition models
   Journal of Econometrics, 2024, 246, (1) View citations (1)
8. Forecasting interval carbon price through a multi-scale interval-valued decomposition ensemble approach
   Energy Economics, 2024, 139, (C) View citations (3)
9. Kolmogorov–Smirnov type testing for structural breaks: A new adjusted-range based self-normalization approach
   Journal of Econometrics, 2024, 238, (2) View citations (3)
   See also Working Paper Kolmogorov-Smirnov Type Testing for Structural Breaks: A New Adjusted-Range Based Self-Normalization Approach, Cambridge Working Papers in Economics (2023) View citations (1) (2023)
10. Post-averaging inference for optimal model averaging estimator in generalized linear models
    Econometric Reviews, 2024, 43, (2-4), 98-122 View citations (1)
11. REGULARIZED GMM FOR TIME‐VARYING MODELS WITH APPLICATIONS TO ASSET PRICING
    International Economic Review, 2024, 65, (2), 851-883
12. The impact of COVID-19 on global financial markets: A multiscale volatility spillover analysis
    International Review of Financial Analysis, 2024, 95, (PB) View citations (5)
13. Time-varying forecast combination for factor-augmented regressions with smooth structural changes
    Journal of Econometrics, 2024, 240, (1) View citations (6)

2023

14. Fast estimation of a large TVP-VAR model with score-driven volatilities
    Journal of Economic Dynamics and Control, 2023, 157, (C) View citations (6)
15. ON MULTIPLE STRUCTURAL BREAKS IN DISTRIBUTION: AN EMPIRICAL CHARACTERISTIC FUNCTION APPROACH
    Econometric Theory, 2023, 39, (3), 534-581
16. Penalized time-varying model averaging
    Journal of Econometrics, 2023, 235, (2), 1355-1377 View citations (6)
17. Specification tests for time-varying coefficient models
    Journal of Econometrics, 2023, 235, (2), 720-744 View citations (2)
18. Speculation or currency? Multi-scale analysis of cryptocurrencies—The case of Bitcoin
    International Review of Financial Analysis, 2023, 88, (C) View citations (7)
19. Testing for structural changes in large dimensional factor models via discrete Fourier transform
    Journal of Econometrics, 2023, 233, (1), 302-331 View citations (5)

2022

20. A score statistic for testing the presence of a stochastic trend in conditional variances
    Economics Letters, 2022, 213, (C)
21. Adjusted-range self-normalized confidence interval construction for censored dependent data
    Economics Letters, 2022, 220, (C) View citations (2)
22. Forecasting interval-valued crude oil prices using asymmetric interval models
    Quantitative Finance, 2022, 22, (11), 2047-2061 View citations (11)
23. Probabilistic and deterministic wind speed forecasting based on non-parametric approaches and wind characteristics information
    Applied Energy, 2022, 306, (PA) View citations (17)

2021

24. Forecasting crude oil price intervals and return volatility via autoregressive conditional interval models
    Econometric Reviews, 2021, 40, (6), 584-606 View citations (12)
25. Policy assessments for the carbon emission flows and sustainability of Bitcoin blockchain operation in China
    Nature Communications, 2021, 12, (1), 1-10 View citations (62)
26. Solving Euler equations via two-stage nonparametric penalized splines
    Journal of Econometrics, 2021, 222, (2), 1024-1056
27. Time-varying model averaging
    Journal of Econometrics, 2021, 222, (2), 974-992 View citations (15)
    See also Working Paper Time-varying Model Averaging, Working Papers (2017) (2017)

2019

28. A model-free consistent test for structural change in regression possibly with endogeneity
    Journal of Econometrics, 2019, 211, (1), 206-242 View citations (1)
29. Asymmetric pass-through of oil prices to gasoline prices with interval time series modelling
    Energy Economics, 2019, 78, (C), 165-173 View citations (24)

2018

30. CHARACTERISTIC FUNCTION BASED TESTING FOR CONDITIONAL INDEPENDENCE: A NONPARAMETRIC REGRESSION APPROACH
    Econometric Theory, 2018, 34, (4), 815-849 View citations (12)
31. Threshold autoregressive models for interval-valued time series data
    Journal of Econometrics, 2018, 206, (2), 414-446 View citations (32)

2017

32. Adaptive penalized splines for data smoothing
    Computational Statistics & Data Analysis, 2017, 108, (C), 70-83 View citations (4)
33. An efficient integrated nonparametric entropy estimator of serial dependence
    Econometric Reviews, 2017, 36, (6-9), 728-780
34. Do China's high-speed-rail projects promote local economy?—New evidence from a panel data approach
    China Economic Review, 2017, 44, (C), 203-226 View citations (87)
35. TESTING STRICT STATIONARITY WITH APPLICATIONS TO MACROECONOMIC TIME SERIES
    International Economic Review, 2017, 58, (4), 1227-1277 View citations (11)

2016

36. Analysis of crisis impact on crude oil prices: a new approach with interval time series modelling
    Quantitative Finance, 2016, 16, (12), 1917-1928 View citations (13)
37. DETECTING FOR SMOOTH STRUCTURAL CHANGES IN GARCH MODELS
    Econometric Theory, 2016, 32, (3), 740-791 View citations (17)
38. Impact of the new health care reform on hospital expenditure in China: A case study from a pilot city
    China Economic Review, 2016, 39, (C), 1-14 View citations (9)

2014

39. A unified approach to validating univariate and multivariate conditional distribution models in time series
    Journal of Econometrics, 2014, 178, (P1), 22-44 View citations (3)
40. Time-varying Granger causality tests for applications in global crude oil markets
    Energy Economics, 2014, 42, (C), 289-298 View citations (77)

2013

41. How smooth is price discovery? Evidence from cross-listed stock trading
    Journal of International Money and Finance, 2013, 32, (C), 668-699 View citations (25)
42. Productivity spillovers among linked sectors
    China Economic Review, 2013, 25, (C), 44-61 View citations (1)

2012

43. Are corporate bond market returns predictable?
    Journal of Banking & Finance, 2012, 36, (8), 2216-2232 View citations (29)
44. TESTING FOR THE MARKOV PROPERTY IN TIME SERIES
    Econometric Theory, 2012, 28, (1), 130-178 View citations (9)
45. Testing for Smooth Structural Changes in Time Series Models via Nonparametric Regression
    Econometrica, 2012, 80, (3), 1157-1183 View citations (109)

2011

46. Detecting misspecifications in autoregressive conditional duration models and non‐negative time‐series processes
    Journal of Time Series Analysis, 2011, 32, (1), 1-32 View citations (5)
47. Financial volatility forecasting with range-based autoregressive volatility model
    Finance Research Letters, 2011, 8, (2), 69-76 View citations (38)
48. Generalized spectral testing for multivariate continuous-time models
    Journal of Econometrics, 2011, 164, (2), 268-293 View citations (3)
49. TESTING THE STRUCTURE OF CONDITIONAL CORRELATIONS IN MULTIVARIATE GARCH MODELS: A GENERALIZED CROSS‐SPECTRUM APPROACH
    International Economic Review, 2011, 52, (4), 991-1037 View citations (5)

2010

50. CHARACTERISTIC FUNCTION–BASED TESTING FOR MULTIFACTOR CONTINUOUS-TIME MARKOV MODELS VIA NONPARAMETRIC REGRESSION
    Econometric Theory, 2010, 26, (4), 1115-1179 View citations (13)
51. Modeling the dynamics of Chinese spot interest rates
    Journal of Banking & Finance, 2010, 34, (5), 1047-1061 View citations (9)

2009

52. Granger causality in risk and detection of extreme risk spillover between financial markets
    Journal of Econometrics, 2009, 150, (2), 271-287 View citations (226)
53. Guest editors' introduction
    Journal of Econometrics, 2009, 150, (2), 117-118

2008

54. An empirical study on information spillover effects between the Chinese copper futures market and spot market
    Physica A: Statistical Mechanics and its Applications, 2008, 387, (4), 899-914 View citations (16)
55. Central limit theorems for generalized -statistics with applications in nonparametric specification
    Journal of Nonparametric Statistics, 2008, 20, (1), 61-76 View citations (4)

2007

56. AN IMPROVED GENERALIZED SPECTRAL TEST FOR CONDITIONAL MEAN MODELS IN TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY OF UNKNOWN FORM
    Econometric Theory, 2007, 23, (1), 106-154 View citations (8)
57. Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates
    Journal of Econometrics, 2007, 141, (2), 736-776 View citations (47)
58. Model-free evaluation of directional predictability in foreign exchange markets
    Journal of Applied Econometrics, 2007, 22, (5), 855-889 View citations (29)

2006

59. Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation
    The Review of Financial Studies, 2006, 20, (5), 1547-1581 View citations (30)
60. Validating forecasts of the joint probability density of bond yields: Can affine models beat random walk?
    Journal of Econometrics, 2006, 135, (1-2), 255-284 View citations (31)

2005

61. Asymptotic Distribution Theory for Nonparametric Entropy Measures of Serial Dependence
    Econometrica, 2005, 73, (3), 837-901 View citations (65)
62. Generalized Spectral Tests for Conditional Mean Models in Time Series with Conditional Heteroscedasticity of Unknown Form
    The Review of Economic Studies, 2005, 72, (2), 499-541 View citations (64)
63. Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates
    The Review of Financial Studies, 2005, 18, (1), 37-84 View citations (161)

2004

64. Out-of-Sample Performance of Discrete-Time Spot Interest Rate Models
    Journal of Business & Economic Statistics, 2004, 22, 457-473 View citations (44)
65. Wavelet-Based Testing for Serial Correlation of Unknown Form in Panel Models
    Econometrica, 2004, 72, (5), 1519-1563 View citations (40)
    See also Working Paper Wavelet-Based Testing for Serial Correlation of Unknown Form in Panel Models, Center for Policy Research Working Papers (2000) (2000)

2003

66. DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS
    Econometric Theory, 2003, 19, (6), 1065-1121 View citations (32)
67. Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models
    The Review of Economics and Statistics, 2003, 85, (4), 1048-1062 View citations (89)
    Also in The Review of Economics and Statistics, 2004, 86, (3), 840-840 (2004)

2001

68. A test for volatility spillover with application to exchange rates
    Journal of Econometrics, 2001, 103, (1-2), 183-224 View citations (271)
69. ONE-SIDED TESTING FOR ARCH EFFECTS USING WAVELETS
    Econometric Theory, 2001, 17, (6), 1051-1081 View citations (13)
70. TESTING FOR SERIAL CORRELATION OF UNKNOWN FORM USING WAVELET METHODS
    Econometric Theory, 2001, 17, (2), 386-423 View citations (25)
71. Testing for Independence between Two stationary Time Series via the Empirical Characteristic Function
    Annals of Economics and Finance, 2001, 2, (1), 123-164 View citations (2)

2000

72. Generalized spectral tests for serial dependence
    Journal of the Royal Statistical Society Series B, 2000, 62, (3), 557-574 View citations (39)

1999

73. A New Test for ARCH Effects and Its Finite-Sample Performance
    Journal of Business & Economic Statistics, 1999, 17, (1), 91-108 View citations (16)

1998

74. Testing for pairwise serial independence via the empirical distribution function
    Journal of the Royal Statistical Society Series B, 1998, 60, (2), 429-453 View citations (19)

1997

75. One‐sided testing for conditional heteroskedasticity in time series models
    Journal of Time Series Analysis, 1997, 18, (3), 253-277 View citations (4)

1996

76. Consistent Testing for Serial Correlation of Unknown Form
    Econometrica, 1996, 64, (4), 837-64 View citations (104)

1995

77. China's Evolving Managerial Labor Market
    Journal of Political Economy, 1995, 103, (4), 873-92 View citations (133)
78. Consistent Specification Testing via Nonparametric Series Regression
    Econometrica, 1995, 63, (5), 1133-59 View citations (120)

1994

79. Autonomy and Incentives in Chinese State Enterprises
    The Quarterly Journal of Economics, 1994, 109, (1), 183-209 View citations (297)

Chapters

2016

1. A Vector Autoregressive Moving Average Model for Interval-Valued Time Series Data
   A chapter in Essays in Honor of Aman Ullah, 2016, vol. 36, pp 417-460 View citations (14)

2009

2. Some recent developments in nonparametric finance
   A chapter in Nonparametric Econometric Methods, 2009, pp 379-432

Editor

1. Advanced Studies in Theoretical and Applied Econometrics
   Springer