A Unified Approach to Validating Univariate and Multivariate Conditional Distribution Models in Time Series, with B. Chen, Forthcoming in Journal of Econometrics.
A Loss Function Approach to Model Specification Testing and Its Relative Efficiency, with Y. Lee, Annals of Statistics 41 (2013), 1166-1203.
Testing for Smooth Structural Changes in Time Series Models via Nonparametric Regression, with B. Chen, Econometrica 80 (2012), 1157-1183.
Testing for the Markov Property in Time Series, with B. Chen, Econometric Theory 28 (2012), 130-178.
Testing the Structure of Conditional Correlations in Multivariate GARCH Models: A Generalized Cross-Spectrum Approach, with N. McCloud, International Economic Review 52 (2011), 991-1037.
Generalized Spectral Testing for Multivariate Continuous-time Models, with B. Chen, Journal of Econometrics 164 (2011), 268-293.
Detecting Misspecifications in Autoregressive Conditional Duration Models and Non-negative Time-series Processes, with Y.-J. Lee, Journal of Time Series Analysis 32 (2011), 1-32.
Characteristic Function-based Testing for Multifactor Continuous-time Markov Models via Nonparametric Regression, with B. Chen, Econometric Theory 26 (2010), 1115-1179.
Granger causality in risk and detection of extreme risk spillover between financial markets, with Y. Liu and S. Wang, Journal of Econometrics 150 (2009), 271-287.
Model-Free Evaluation of Directional Predictability in Foreign Exchange Markets, with J. Chung, Journal of Applied Econometrics 22 (2007), 855-889.
Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation, with J. Tu and G. Zhuo, Review of Financial Studies 20 (2007), 1547-1581.
Can the Random Walk Model be Beaten in Out-of-Sample Density Forecasts: Evidence from Intraday Foreign Exchange Rates, with H. Li and F. Zhao, Journal of Econometrics 141 (2007), 736-776.
An improved generalized spectral test for time series models with conditional heteroskedasticity of unknown form, with Y. Lee, Econometric Theory 23, 106-154.
Validating Forecasts of the Joint Probability Density of Bond Yields: Can Affine Models Beat Random Walk?, with A. Egorov and H. Li, Journal of Econometrics 135 (2006), 255-284.
Asymptotic theory for nonparametric entropy-based measure of serial dependence, with H. White, Econometrica 73 (2005), 837-901.
Generalized spectral testing for conditional mean models in time series with conditional heteroskedasticity of unknown form, with Y. Lee, Review of Economic Studies 72 (2005), 499-541.
Nonparametric specification testing for continuous-time models with applications to spot interest rates, with H. Li, Review of Financial Studies 18 (2005), 37-84.
Wavelet-based consistent testing for serial correlation in panel models, with D.Kao, Econometrica 72 (2004), 1519-1563.
Out-of-sample performance of discrete-time short-term interest models, with H. Li and F. Zhao, Journal of Business and Economic Statistics 22 (2004), 457-473.
Inference on predictability of exchange rates via generalized spectrum and nonlinear time series models, with T. H. Lee, Review of Economics and Statistics 85 (2003), 1048-1062.
Diagnostic checking for the adequacy of nonlinear time series models, with T.H. Lee, Econometric Theory 19 (2003), 1065-1121.
One-sided testing for ARCH effects using wavelets, with J. Lee, Econometric Theory 17 (2001), 1051-1081.
A test for volatility spillover with application to exchange rates, Journal of Econometrics 103 (2001), 183-224.
Testing serial correlation of unknown form via wavelet methods, with J. Lee, Econometric Theory 17 (2001), 386-423.
Generalized spectral tests for serial dependence, Journal of the Royal Statistical Society, Series B (Statistical Methodology), 62 (2000), 557.574.
Hypothesis testing in time series via the empirical characteristic function: a generalized spectral density approach Journal of the American Statistical Association 94 (1999), 1201-1220.
A new ARCH test and its finite sample performance, with R. Shehadeh, Journal of Business and Economic Statistics 17 (1999), 91-108.
Testing for pairwise serial independence via the empirical distribution function, Journal of the Royal Statistical Society Series B (Statistical Methodology), 60 (1998), 429-453.
One-sided testing for autoregressive conditional heteroskedasticity in time series models, Journal of Time Series Analysis 18 (1997), 253-277.
Testing for independence between two covariance stationary time series, Biometrika 83 (1996), 615-625.
Consistent testing for serial correlation of unknown form, Econometrica 64 (1996), 837-864.
Consistent specification testing via nonparametric series regressions, with H. White, Econometrica 63 (1995), 1133-1159.
China's evolving managerial labor market, with T. Groves, J. McMillan and B. Naughton, Journal of Political Economy 103 (1995), 873-892.
Autonomy and incentives in Chinese state enterprises, with T. Groves, J. McMillan and B. Naughton, Quarterly Journal of Economics CIX (1994), 183-209.
Contact Information
Yongmiao Hong
424 Uris Hall
Ithaca, NY 14853
yh20@cornell.edu
607-255-5130