Predictability of Equity Returns over Different Time Horizons: A Nonparametric Approach, with Q. Chen.
Are the Directions of Stock Price Changes Predictable? Statistical Theory and Evidence, with J. Chung.
Autoregressive Conditional Models for Interval-Valued Time Series Data, with A. Han and S. Wang.
Forecasting Interval-valued Crude Oil Prices via Autoregressive Conditional Interval Models, with A. Han and S. Wang.
Generalized Residual-Based Specification Testing for Duration Models with Censoring, with J. Liu.
A Unified Approach to Testing Nonlinear Time Series Models, with Y.-J. Lee.
Specification Testing for Multivariate Time Series Volatility Models, with Y.-J. Lee.
Is the Drift of the Interest Rate Process Linear? A New Approach and Evidence, with Y.-J. Lee and Z. Song.
Wavelet-based Estimation of Heteroskedasticity and Autocorrelation Consistent Covariance Matrices, with J. Lee.
Detecting for Smooth Structural Changes in GARCH Models, with B. Chen.
Contact Information
Yongmiao Hong
424 Uris Hall
Ithaca, NY 14853
yh20@cornell.edu
607-255-5130