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 (19)

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 (6)
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 (3)
6. Dynamic Functional Regression with Application to the Cross-section of Returns
   Journal of Financial Econometrics, 2018, 16, (3), 461-485 View citations (9)
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 (17)

2017

8. Influential factors in crude oil price forecasting
   Energy Economics, 2017, 68, (C), 77-88 View citations (89)
9. Risk-shifting, equity risk, and the distress puzzle
   Journal of Corporate Finance, 2017, 44, (C), 275-288 View citations (3)
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 (19)
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 (30)

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 (17)

2015

14. Functional Dynamic Factor Model for Intraday Price Curves
    Journal of Financial Econometrics, 2015, 13, (2), 456-477 View citations (13)
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 (2)
19. Currency jumps, cojumps and the role of macro news
    Journal of International Money and Finance, 2014, 40, (C), 42-62 View citations (45)
20. Price discovery in crude oil futures
    Energy Economics, 2014, 46, (S1), S18-S27 View citations (41)
21. S&P 500 Index‐Futures Price Jumps and Macroeconomic News
    Journal of Futures Markets, 2014, 34, (10), 980-1001 View citations (16)
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)
24. Jumps in Oil Prices: The Role of Economic News
    The Energy Journal, 2013, Volume 34, (Number 3) View citations (45)

2012

25. Does the price of crude oil respond to macroeconomic news?
    Journal of Futures Markets, 2012, 32, (6), 536-559 View citations (34)
26. Impact of macroeconomic news on metal futures
    Journal of Banking & Finance, 2012, 36, (1), 51-65 View citations (108)
27. Viterbi-Based Estimation for Markov Switching GARCH Model
    Applied Mathematical Finance, 2012, 19, (3), 219-231 View citations (4)

2011

28. Return and Volatility Transmission in U.S. Housing Markets
    Real Estate Economics, 2011, 39, (4), 701-741 View citations (53)
29. 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

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

2009

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