Details about Hong Miao

Access statistics for papers by Hong Miao.

Last updated 2022-09-01. Update your information in the RePEc Author Service.

Short-id: pmi643

Journal Articles

2021

1. Volatility spillovers in commodity futures markets: A network approach
   Journal of Futures Markets, 2021, 41, (12), 1959-1987 View citations (26)

2019

2. Forecasting of density functions with an application to cross-sectional and intraday returns
   International Journal of Forecasting, 2019, 35, (4), 1304-1317 View citations (9)
3. Losers and prospectors in the short‐term options market
   Journal of Futures Markets, 2019, 39, (6), 721-743
4. Risk Analysis of Cumulative Intraday Return Curves
   Journal of Time Series Econometrics, 2019, 11, (2), 31 View citations (1)

2018

5. Default prediction models: The role of forward-looking measures of returns and volatility
   Journal of Empirical Finance, 2018, 46, (C), 146-162 View citations (4)
6. Dynamic Functional Regression with Application to the Cross-section of Returns
   Journal of Financial Econometrics, 2018, 16, (3), 461-485 View citations (11)
7. The impact of crude oil inventory announcements on prices: Evidence from derivatives markets
   Journal of Futures Markets, 2018, 38, (1), 38-65 View citations (18)

2017

8. Influential factors in crude oil price forecasting
   Energy Economics, 2017, 68, (C), 77-88 View citations (104)
9. Risk-shifting, equity risk, and the distress puzzle
   Journal of Corporate Finance, 2017, 44, (C), 275-288 View citations (4)
10. Role of index futures on China's stock markets: Evidence from price discovery and volatility spillover
    Pacific-Basin Finance Journal, 2017, 44, (C), 13-26 View citations (20)
11. Testing for asymmetry in betas of cumulative returns: Impact of the financial crisis and crude oil price
    Statistics & Risk Modeling, 2017, 34, (1-2), 33-53 View citations (1)
12. The economic and social performance of integrated photovoltaic and agricultural greenhouses systems: Case study in China
    Applied Energy, 2017, 190, (C), 204-212 View citations (36)

2016

13. An examination of the flow characteristics of crude oil: Evidence from risk-neutral moments
    Energy Economics, 2016, 54, (C), 213-223 View citations (18)

2015

14. Functional Dynamic Factor Model for Intraday Price Curves
    Journal of Financial Econometrics, 2015, 13, (2), 456-477 View citations (16)
15. Short-term options: Clienteles, market segmentation, and event trading
    Journal of Banking & Finance, 2015, 61, (C), 237-250 View citations (2)
16. Stock‐Versus‐Flow Distinctions, Information, and the Role of Inventory
    Journal of Futures Markets, 2015, 35, (11), 1003-1025 View citations (1)
17. The Forecasting Efficacy of Risk‐Neutral Moments for Crude Oil Volatility
    Journal of Forecasting, 2015, 34, (3), 177-190 View citations (16)

2014

18. Crude oil moments and PNG stock returns
    Energy Economics, 2014, 44, (C), 222-235 View citations (3)
19. Currency jumps, cojumps and the role of macro news
    Journal of International Money and Finance, 2014, 40, (C), 42-62 View citations (47)
20. Price discovery in crude oil futures
    Energy Economics, 2014, 46, (S1), S18-S27 View citations (45)
21. S&P 500 Index‐Futures Price Jumps and Macroeconomic News
    Journal of Futures Markets, 2014, 34, (10), 980-1001 View citations (17)
22. The Response of Bond Prices to Insurer Ratings Changes
    The Geneva Papers on Risk and Insurance - Issues and Practice, 2014, 39, (2), 389-413 View citations (1)

2013

23. Fractional differencing in discrete time
    Quantitative Finance, 2013, 13, (2), 195-204 View citations (1)

2012

24. Does the price of crude oil respond to macroeconomic news?
    Journal of Futures Markets, 2012, 32, (6), 536-559 View citations (34)
25. Impact of macroeconomic news on metal futures
    Journal of Banking & Finance, 2012, 36, (1), 51-65 View citations (110)
26. Viterbi-Based Estimation for Markov Switching GARCH Model
    Applied Mathematical Finance, 2012, 19, (3), 219-231 View citations (4)

2011

27. Return and Volatility Transmission in U.S. Housing Markets
    Real Estate Economics, 2011, 39, (4), 701-741 View citations (54)
28. Return distributions and volatility forecasting in metal futures markets: Evidence from gold, silver, and copper
    Journal of Futures Markets, 2011, 31, (1), 55-80 View citations (46)

2010

29. A model for energy pricing with stochastic emission costs
    Energy Economics, 2010, 32, (4), 838-847

2009

30. INVESTMENT TIMING UNDER REGIME SWITCHING
    International Journal of Theoretical and Applied Finance (IJTAF), 2009, 12, (04), 443-463 View citations (4)
31. Risk-Hedging in Real Estate Markets
    Asia-Pacific Financial Markets, 2009, 16, (4), 265-285
32. VaR and expected shortfall: a non-normal regime switching framework
    Quantitative Finance, 2009, 9, (6), 747-755 View citations (2)