Professor Yongmiao Hong is currently a distinguished research fellow at Academy of Mathematics and Systems Science and Center for Forecasting Science, Chinese Academy of Sciences (CAS), and a special-term professor at School of Economics and Management, University of Chinese Academy of Sciences (UCAS). He is a Fellow of The World Academy of Sciences (TWAS) for the advancement of science in developing countries, a Fellow of The Econometric Society, a Fellow of International Association of Applied Econometrics (IAAE), and a Senior Fellow of Rimini Center for Economic Analysis (RCEA).
Before he joined CAS and UCAS, Professor Hong was the Ernest S. Liu Professor of Economics and International Studies, a Professor of Statistics, and a field member in Center of Applied Mathematics at Cornell University in the United States.
ABOUT
Professor Yongmiao Hong is currently a distinguished research fellow at Academy of Mathematics and Systems Science and Center for Forecasting Science, Chinese Academy of Sciences (CAS), and a special-term professor at School of Economics and Management, University of Chinese Academy of Sciences (UCAS). He is a Fellow of The World Academy of Sciences (TWAS) for the advancement of science in developing countries, a Fellow of The Econometric Society, a Fellow of International Association of Applied Econometrics (IAAE), and a Senior Fellow of Rimini Center for Economic Analysis (RCEA).
Before he joined CAS and UCAS, Professor Hong was the Ernest S. Liu Professor of Economics and International Studies, a Professor of Statistics, and a field member in Center of Applied Mathematics at Cornell University in the United States.
Professor Hong received his BS in Physics in 1985 and MA in Economics in 1988 from Xiamen University, and his PhD in Economics from University of California at San Diego in 1993. Upon graduation, he joined as a faculty member in the Department of Economics and Department of Statistics and Data Science at Cornell University and later became the Ernest S. Liu Professor of Economics and International Studies from 2010 to 2020. He moved from Cornell University to University of Chinese Academy of Sciences in December, 2020. He was President of Chinese Economists Society in North America from 2009 to 2010.
Professor Hong's research interests include model specification testing, nonlinear time series analysis, financial econometrics, and empirical studies on Chinese economy and financial markets. He publishes refereed articles in mainstream economic, financial and statistical journals such as Annals of Statistics, Biometrika, Econometric Theory, Econometrica, International Economic Review, Journal of American Statistical Association, Journal of Applied Econometrics, Journal of Business and Economic Statistics, Journal of Econometrics, Journal of Political Economy, Journal of Royal Statistical Society (Series B), Quarterly Journal of Economics, Review of Economic Studies, Review of Economics and Statistics, and Review of Financial Studies.
AWARDS & HONORS
1. September 2020 Senior Fellow, Rimini Centre for Economic Analysis (RCEA)
2. November 2019 Fellow, International Association for Applied Econometrics (IAAE)
3. November 2018 Fellow, The Econometric Society
4. August 2018 40 Most Influential Chinese Overseas Students of the Past Four Decades, by The China Press and Eastday.com
5. June 2018 Elsevier Awards for the Best Papers for the paper entitled as “Do China's High-speed-rail Projects Promote Local Economy? New Evidence from a Panel Data Approach,” coauthored with X. Ke, H. Chen and C. Hsiao, China Economic Review (2017).
6. 2017 Charter Fellow, Institute for Nonlinear Dynamical Inference (INDI), Moscow, Russia
7. November 2015 Fellow, The World Academy of Science (TWAS) for Advance of Sciences in Developing Countries
8. 2014-2023 Annual Most Cited Chinese Scholars in Economics, Econometrics and Finance, Published by Elsevier
9. March 2006 Tjalling C. Koopmans Econometric Theory Prize2006 for the paper entitled as “Diagnostic Checking for the Adequacy of Nonlinear Time Series Models,” coauthored with T.H. Lee, Econometric Theory (2003), Volume 19, 1065-1121.
10. January 2006 NSFC International Excellent Young Scientist
11. May 2003 Cornell Hatfield Fund for Innovating Undergraduate Teaching
12. 1989-1993 Academic Excellence Awards, Department of Economics, University of California, San Diego
RESEARCH
Professor Hong's research interests include model specification testing and evaluation, nonlinear time series analysis, locally stationary time series analysis, generalized spectral analysis, financial econometrics, interval-valued time series data analysis, and machine learning-based time series analysis.
On specification testing, and evalution Professor Hong develops a class of sophisticated semiparametric tests for econometric models of cross-sectional, time series, and panel data respectively. The basic idea is to compare a null econometric model with a flexible nonparametric alternative, developing tests that have power against various model misspecifications. Nonparametric tools used include orthogonal series, kernel, and wavelet methods. In Hong and White (1995, Econometrica), a generalized F test is developed by comparing the sums of squared residuals of a parametric regression model and a nonparametric series regression model where the order of the series expansion grows with the sample size, ensuring the test able to detect various functional form misspecifications. This methodology is extended in Hong (1996, Econometrica) to test a dynamic regression model. This is achieved by comparing a nonparametric kernel estimator for the spectral density of the estimated model residual with the flat spectrum of a serially uncorrelated white noise. An optimal kernel function or weighting function for lags is derived to ensure that the proposed test has optimal power. This test is generalized in Hong and Kao (2004, Econometrica) to a panel data regression model where wavelets are used in nonparametric spectral density estimation. Hong and Lee (2013, Annals of Statistics) show that a loss function-based specification testing approach is asymptotically more efficient than a generalized likelihood ratio test approach which includes the tests based on comparing sums of squared residuals.
Another main area of Professor Hong's research interests is nonlinear time series analysis, locally stationary time series analysis, and generalized spectral analysis. Observing that many economic and financial time series are serially uncorrelated but not serially independent, Hong (1998, Journal of Royal Statistical Society Series B; 2000, Journal of Royal Statistical Society Series B) develops nonparametric Hoeffding-type measures of and tests for serial dependence in a time series which can detect subtle dependence structure. In particular, Hong and White (2005, Econometrica) develop a challenging asymptotic distribution theory for smoothed nonparametric entropy measures of serial dependence which was not previously available in the literature. Chen and Hong (2012, Econometrica) propose a new approach to testing parameter constancy of a time series regression model against smooth structural changes as well as abrupt structural breaks.
On another important development, Hong (1999, Journal of American Statistical Association) proposes a new analytic tool for nonlinear economic time series -- the generalized spectrum. The basic idea is to transform original time series data via a complex-valued exponential function and then consider the spectrum of the transformed series. This can capture both linear and nonlinear serial dependence while avoiding the drawbacks of the conventional spectrum, which cannot capture nonlinear serial dependence, and higher order spectra (e.g., bispectrum), which requires the existence of restrictive moment conditions. Real data applications (e.g., Hong and Lee (2003a, Review of Economics and Statistics)) show that the generalized spectral tool can detect dynamic structures which would otherwise be neglected by conventional tools, thus offering new insights into economic and financial time series data. The generalized spectrum is also used to develop powerful procedures for nonlinear time series analysis. For example, Hong and Lee (2003b, Econometric Theory) use it to check any neglected dependence structure in the estimated standardized residuals of a nonlinear time series model, and Hong and Lee (2005, Review of Economic Studies) use the first order partial derivative of the generalized spectrum to focus on neglected nonlinearity in the conditional mean dynamics of a time series model. Hong and Lee (2003b, Econometric Theory) win the Koopman Econometrics Prize 2006.
Hong also works on financial econometrics. Hong and Li (2005, Review of Financial Studies) develop a nonparametric specification test for continuous-time models using discretely sampled data. The basic idea is to consider transformed data via the model-implied dynamic transition density, which should be independent and uniformly distributed if the continuous-time model is correctly specified. The proposed test is generally applicable and robust to persistent dependence in data because the i.i.d. property holds even if the original data display highly persistent dependence. Hong, Tu and Zhou (2007, Review of Financial Studies) develop copula-based tests for asymmetric dependence in asset returns and assess their economic implications.
Professor Hong has recently started a research on modeling interval-valued time series data. An interval-valued observation in a time period contains more information than a point-valued observation in the same time period. Examples of interval data include the maximum and minimum temperatures in a day, the maximum and minimum GDP growth rates in a year, the maximum and minimum stock prices in a trading day, the ask and bid prices in a trading period, the long term and short term interest, and the 90%-tile and 10%-tile incomes of a cohort in a year, etc. Interval forecasts may be of direct interest in practice, as it contains information on the range of variation and the level of economic variables. Moreover, the informational advantage of interval data can be exploited for more efficient econometric estimation and inference. Hong and his coauthors (e.g) Sun, Han, Hong and Wang (2018, Journal of Econometrics) propose a new class of autoregressive conditional interval (ACI) models for interval-valued time series data. A minimum distance estimation method is developed to estimate the parameters of an ACI model. Both simulation and empirical studies show that the use of interval time series data can provide more accurate estimation for model parameters in terms of mean squared error criterion.
PUBLICATIONS
"Forecasting Inflation Using Economic Narratives," with F Jiang, L Meng, and B Xue, forthcoming in Journal of Business and Economics (2024).
"Time-varying forecast combination for factor-augmented regressions with smooth structural changes," with
Q. Chen, and H. Li, Journal of Econometrics 240.1 (2024), 105693."Kolmogorov-Smirnov type testing for structural breaks: A new adjusted-range based self-normalization approach," with B. McCabe, J. Sun, and S. Wang, Journal of Econometrics 238.2 (2024), 105603.
"Regularized GMM for time-varying models with applications to asset pricing," with L. Cui, and F. Guan, International Economic Review (2023), https://doi.org/10.1111/iere.12678.
"A regularized high-dimensional positive definite covariance estimator with high-frequency data," with L. Cui, Y. Li, and J. Wang, Management Science (2023), https://doi.org/10.1287/mnsc.2022.04138.
"The climate impact of high seas shipping," with Y. Li, P. Jia, S. Jiang, H. Li, H. Kuang, S. Wang, X. Zhao, and D. Guan, National Science Review 10.3 (2023), nwac279.
"Speculation or currency? Multi-scale analysis of cryptocurrencies—The case of Bitcoin," with D. Zhang, Y. Sun, H. Duan and S. Wang, International Review of Financial Analysis 88 (2023): 102700.
"Fast estimation of a large TVP-VAR model with score-driven volatilities," with Tingguo Zheng, and Shiqi Ye,
Journal of Economic Dynamics and Control 157 (2023), 104762.
"Testing for structural changes in large dimensional factor models via discrete Fourier transform," with Z. Fu, and
X. Wang, Journal of Econometrics 1 (2023), 302-331.
"On multiple structural breaks in distribution: An empirical characteristic function approach,” with Z. Fu, and X. Wang,
Econometric Theory 39.3 (2023), 534-581.
"Penalized time-varying model averaging," with Y. Sun, S. Wang, and X. Zhang, Journal of Econometrics 235.2 (2023),
1355-1377."Specification tests for time-varying coefficient models," with Z. Fu, L. Su, and X. Wang, Journal of Econometrics
235.2 (2023), 720-744."Adjusted-range self-normalized confidence interval construction for censored dependent data," with J. Sun, O. Linton, and X. Zhao, Economics Letters 220 (2022), 110873.
"Forecasting interval-valued crude oil prices using asymmetric interval models," with Q. Lu, Y. Sun, and S. Wang, Quantitative Finance 22.11 (2022), 2047-2061.
"A score statistic for testing the presence of a stochastic trend in conditional variances," with O. Linton, B. McCabe, and J. Sun, Economics Letter, 213 (2022), 110394.
"Probabilistic and deterministic wind speed forecasting based on non-parametric approaches and wind characteristics
information,” with J. Heng, J. Hu, and S. Wang, Applied Energy, 306 (2022), 118029."Forecasting crude oil price intervals and return volatility via autoregressive conditional interval models," with Y. He,
A. Han, Y. Sun and S. Wang, Econometric Review, 40.6 (2021), 584-606."Policy assessments for the carbon emission flows and sustainability of Bitcoin blockchain operation in China," with
S. Jiang, Y. Li, Q. Lu, D. Guan, Y. Xiong and S. Wang, Nature Communications 12, 1938 (2021)."Solving Euler equations via two-stage nonparametric penalized splines," with L. Cui and Y. Li, Journal of Econometrics 222.2 (2021), 1024–1056.
"Time-varying model averaging," with T. Lee, Y. Sun, S. Wang and X. Zhang, Journal of Econometrics 222.2, (2021), 974–992.
"A model-free consistent test for structural change in regression possibly with endogeneity," with Z. Fu, Journal of Econometrics 211 (2019), 206-242.
"Asymmetric pass-through of oil prices to gasoline prices with interval time series modelling," with Y. Sun, X. Zhang and S. Wang, Energy Economics 78 (2019), 165-173.
"Out-of-sample forecasts of China's economic growth and inflation using rolling weighted least squares," with Y. Sun and S. Wang, Journal of Management Science and Engineering, 4.1 (2019), 1-11.
"Nowcasting China's GDP using a Bayesian approach," with Y. Zhang, C. Yu and H. Li, Journal of Management Science and Engineering 3 (2018), 232-258.
"Advance in theoretical econometrics—Essays in honor of Takeshi Amemiya," with Z. Cai and C. Hsiao, Journal of Econometrics 206 (2018), 279-281.
"Econometric modeling and economic forecasting," with Z. Cai and S. Wang, Journal of Management Science and Engineering 3 (2018), 179-182.
"Threshold autoregressive models for interval-valued time series data," with Y. Sun, A. Han, and S. Wang, Journal of Econometrics 206 (2018), 414-446.
"Characteristic function-based testing for conditional independence via a nonparametric regression approach," with
X. Wang, Econometric Theory 34 (2018), 815-849."Testing strict stationarity with applications to macroeconomic time series," with X. Wang and S. Wang, International Economic Review 58 (2017), 1227-1277.
"A general approach to testing volatility models in time series," with Y. J. Lee, Journal of Management Science and Engineering 2 (2017), 1-33.
"An efficient integrated nonparametric entropy estimator of serial dependence," with X. Wang, W. Zhang and S. Wang,
Econometric Reviews 36 (2017), 728–780."Do China's high-speed-rail projects promote local economy? New evidence from a panel data approach," with X. Ke, H. Chen and C. Hsiao, China Economic Review 44 (2017), 203-226.
"A vector autoregressive moving average model for interval-valued time series data," with A. Han, S. Wang and X. Yun,
Advances in Econometrics 36 (2016), edited by R. Hill, G. Gonzalez-Rivera and T. Lee, pp.417-460."Analysis of crisis impact on crude oil prices: A new approach with interval time series modeling," with W. Yang, A. Han and S. Wang, Quantitative Finance 16 (2016), 1917-1928.
"Detecting for smooth structural changes in GARCH models," with B. Chen, Econometric Theory 32 (2016), 740-791.
"Impact of the new health care reform on hospital expenditures in China: A case study from a pilot city," with J. Yang and S. Ma, China Economic Review 39 (2016), 1-14.
"Time-varying Granger causality tests for applications in global crude oil markets," with F. Lu, S. Wang, K. Lai and J. Liu,
Energy Economics. 42 (2014), 289-298."A unified approach to validating univariate and multivariate conditional distribution models in time series," with
B. Chen, Journal of Econometrics 178 (2014), 22-44."A loss function approach to model specification testing and its relative efficiency," with Y. Lee, Annals of Statistics 41 (2013), 1166-1203.
"How smooth is price discovery? Evidence from cross-listed stock trading," with H. Chen and P.M. Choi, Journal of International Money and Finance 32 (2013), 668-699.
"Productivity spillovers among linked sectors," with L. Peng, China Economic Review 25 (2013), 44-61.
"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.
"Are corporate bond market returns predictable?" with H. Lin and C. Wu, Journal of Banking and Finance 36 (2012), 2216-2232.
"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.
"Modeling the dynamics of Chinese spot interest rates," with H. Lin and S. Wang, Journal of Banking and Finance 34 (2010), 1047-1061.
"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."Central limit theorems for generalized U-statistics with applications in nonparametric specification," with J. Gao, Journal of Nonparametric Statistics 20 (2008), 61-76.
"Interval time series analysis with an application to the Sterling-Dollar exchange rate," with A. Han, K. K. Lai and
S. Wang, Journal of Systems Science and Complexity 21 (2008), 558-573."An empirical study on information spillover effects between the Chinese copper futures market and spot market," with X. Liu, S. Cheng, S. Wang and Y. Li, Physica A 387 (2008), 899-914.
"Serial correlation and serial dependence," The New Palgrave Dictionary in Economics, 2008, 2nd Edition, ed. Steven Durlauf.
"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 (2007), 106-154.
"Validating forecasts of the joint probability density of bond yields: Can affine term structure models beat random walk?" with A. Egorov and H. Li, Journal of Econometrics 135 (2006), 255-284.
"Asymptotic distribution theory for nonparametric entropy measures 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 testing for serial correlation of unknown form in panel models," with C. 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.
"Nonparametric methods if continuous-time finance: A selective review," with Z. Cai, in Recent Advances and Trends in Nonparametric Statistics, (eds.) M. Akritas and D. Politis, Elsevier: New York, 2003, pp. 283-302.
"Testing for independence between two stationary time series via the empirical characteristic function," Annals of Economics and Finance 2 (2001), 123-164.
"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.
"Modeling the impact of overnight surprises on intra-daily stock returns," with G. Gallo and T.-H. Lee, Proceedings for Business and Economic Statistics (2001), American Statistical Association.
"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."M-testing using finite and infinite dimensional parameter estimators," with H. White, in Cointegration, Causality, and Forecasting: A Festschrift in Honour of Clive W. J. Granger, (eds.) R. F. Engle and H. White, London: Oxford University Press, 1999, pp.326-365.
"A new test for ARCH effects 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.
"Productivity growth in Chinese state-run industry," with T. Groves, J. McMillan and B. Naughton, in China's State-owned Enterprise Reforms, (eds.) F. Dong, Z. Tang and H. Du, Beijing: People's Press, 1995.
"Autonomy and incentives in Chinese state enterprises," with T. Groves, J. McMillan and B. Naughton, Quarterly Journal of Economics 1(1994), 183-203.
BOOKS
1. Foundations of Modern Econometrics: A Unified Approach, Singapore: World Scientific Publishing Company, 2020.
Modern economies are full of uncertainties and risk. Economics studies resource allocations in an uncertain market environment. As a generally applicable quantitative analytic tool for uncertain events, probability and statistics have been playing an important role in economic research. Econometrics is statistical analysis of economic and financial data. In the past four decades or so, economics has witnessed a so-called 'empirical revolution' in its research paradigm, and as the main methodology in empirical studies in economics, econometrics has been playing an important role. It has become an indispensable part of training in modern economics, business and management. This book develops a coherent set of econometric theory, methods and tools for economic models. It is written as a textbook for graduate students in economics, business, management, statistics, applied mathematics, and related fields. It can also be used as a reference book on econometric theory by scholars who may be interested in both theoretical and applied econometrics.
"This book is a nice textbook on modern econometrics. It is essentially based on the author's lecture notes taught at Cornell University and several universities in China … The text provides a clear, understandable introduction to key concepts of econometrics."
Contents
Chapter 1. Introduction to Econometrics
Chapter 2. General Regression Analysis
Chapter 3. Classical Linear Regression Models
Chapter 4. Linear Regression Models with Independent Observations
Chapter 5. Linear Regression Models with Dependent Observations
Chapter 6. Linear Regression Models Under Conditional Heteroskedasticity and Autocorrelation
Chapter 7. Instrumental Variables Regression
Chapter 8. Generalized Method of Moments Estimation
Chapter 9. Maximum Likelihood Estimation and Quasi-Maximum Likelihood Estimation
Chapter 10. Modern Econometrics: Retrospect and Prospect
Available at World Scientific and Amazon.
2. Probability and Statistics for Economists, Singapore: World Scientific Publishing Company, 2017.
Probability and Statistics have been widely used in various fields of science, including economics. Like advanced calculus and linear algebra, probability and statistics are indispensable mathematical tools in economics. Statistical inference in economics, namely econometric analysis, plays a crucial methodological role in modern economics, particularly in empirical studies in economics.
This textbook covers probability theory and statistical theory in a coherent framework that will be useful in graduate studies in economics, statistics and related fields. As a most important feature, this textbook emphasizes intuition, explanations and applications of probability and statistics from an economic perspective.
"A focus on issues that are important in economic theory or finance is clear throughout the book, and is likely to be a precious guideline for students of economic disciplines. Graduate students in economics and finance will find this book a valuable tool which will provide them with a strong motivation to deepen their knowledge of probability and statistics, leading to a better understanding of economic and financial theory."
---- Mathematical Reviews Clippings
Contents
Chapter 1. Introduction to Probability and Statistics
Chapter 2. Foundation of Probability Theory
Chapter 3. Random Variables and Univariate Probability Distributions
Chapter 4. Important Probability Distributions
Chapter 5. Multivariate Probability Distributions
Chapter 6. Introduction to Sampling Theory
Chapter 7. Convergences and Limit Theorems
Chapter 8. Parameter Estimation and Evaluation
Chapter 9. Hypothesis Testing
Chapter 10. Classical Linear Regression
Available at World Scientific and Amazon.
3. Information Spillover Effect and Autoregressive Conditional Duration Models, with Xiangli Liu, Yanhui Liu, and Shouyang Wang, Oxfordshire: Routledge, 2015.
This book studies the information spillover among financial markets and explores the intraday effect and ACD models with high frequency data. This book also contributes theoretically by providing a new statistical methodology with comparative advantages for analyzing co-movements between two time series. It explores this new method by testing the information spillover between the Chinese stock market and the international market, futures market and spot market. Using the high frequency data, this book investigates the intraday effect and examines which type of ACD model is particularly suited in capturing financial duration dynamics.
Contents
Chapter 1. Introduction
Chapter 2. Methodology to Detect Extreme Risk Spillover
Chapter 3. VaR Estimation
Chapter 4. Extreme Risk Spillover Between Chinese Stock Markets and International Stock Markets
Chapter 5. Information Spillover Effects Between Chinese Futures Market and Spot Market
Chapter 6. How Well Can Autoregressive Duration Models Capture the Price Durations Dynamics of Foreign Exchanges
Chapter 7. Intraday Effect
Chapter 8. Conclusions and Perspective Studies
TEACHING & MOOC
I. COURSES TAUGHT
Advanced Topics on Nonparametric Analysis (Graduate)
Advanced Topics on Time Series Econometrics (Graduate)
Chinese Economy (Undergraduate)
Econometrics (Undergraduate and Graduate)
Financial Econometrics (Graduate)
Mathematical Economics (Undergraduate and Graduate)
Probability and Statistics for Econometrics (Undergraduate and Graduate)
Time Series Econometrics (Graduate)
II. TEACHING AND RESEARCH EXPERIENCE
December 2020-Present Distinguished Research Fellow, Academy of Mathematics and Systems Science and Center for Forecasting Science, Chinese Academy of Sciences
December 2020-Present Special-Term Professor, School of Economics and Management, University of Chinese Academy of Sciences
November 2010-December 2020 The Ernest S. Liu Professor of Economics and International Studies, Department of Economics, Cornell University
July 2016-June 2019 Director of Graduate Studies in Field of Economics, Cornell University
May 2007 Visiting Chair Professor, Department of Economics, National University of Singapore
July 2005-December 2020 Founding Director, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University
May 2003-December 2020 Member in Field of Applied Mathematics, Center of Applied Mathematics, Cornell University
April 2002-July 2005 Visiting Special-term Professor of Economics, School of Economics and Management, Tsinghua University
July 2001-December 2020 Professor, Department of Economics and Department of Statistical Science, Cornell University
January 1999-January 2000 Visiting Associate Professor, Department of Economics, Hong Kong University of Science and Technology
July 1998-June 2001 Tenured Associate Professor, Department of Economics and Department of Statistical Science, Cornell University
July 1997-June 1998 Assistant Professor and Member in Field of Statistics, Department of Statistical Science, Cornell University
July 1993-June 1998 Assistant Professor, Department of Economics, Cornell University
III. ONLINE COURSES
Syllabus
1. Introduction to Econometrics
2. General Regression Analysis
3. Classical Linear Regression Models
4. Linear Regression Models with I.I.D. Observations
5. Linear Regression Models with Dependent Observations
6. Linear Regression Models under Conditional Heteroskedasticity and Autocorrelation
7. Instrumental Variables Regression
8. Generalized Method of Moments Estimation
Textbook
Foundations of Modern Econometrics: A Unified Approach, Singapore: World Scientific Publishing Company, 2020.
2. Probability and Statistics for Economists
Syllabus
1. Introduction to Statistics and Econometrics
2. Foundation of Probability Theory
3. Random Variables and Univariate Probability Distributions
4. Important Probability Distributions
5. Multivariate Probability Distributions
6. Introduction to Statistic
7. Convergences and Limit Theorems
8. Parameter Estimation and Evaluation
9. Hypothesis Testing
10. Big Data, Machine Learning and Statistics
Textbook
Probability and Statistics for Economists, Singapore: World Scientific Publishing Company, 2017.
3. An Introduction to Nonparamteric Analysis in Time Series Econometrics
Syllabus
0. Course Introduction
1. Motivation
2. Kernel Density Method
3. Nonparametric Regression Estimation
4. Nonparametric Estimation of Time-Varying Models
5. Nonparametric Estimation in Frequency Domain
6. Conclusion
Lecture Notes
COMPUTER CODES
This section contains some of Professor Yongmiao Hong's publications (in PDF format) and downloadable computer codes to implement the proposed econometric tests.
1. "Testing for smooth structural changes in time series models via nonparametric regression," with B. Chen, Econometrica 80 (2012), 1157-1183.
2. "Testing for the Markov property in time series," with B. Chen, Econometric Theory 28 (2012), 130-178.
3. "Testing the structure of conditional correlations in multivariate GARCH models," with N. McCloud, International Economic Review 52.4 (2011), 991-1037.
4. "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.
5. "Nonparametric specification testing for continuous-time models with applications to spot interest rates," with H. Li, Review of Financial Studies 18 (2005), 37-84.
6. "Wavelet-based testing for serial correlation of unknown form in panel models," with C. Kao, Econometrica 72 (2004), 1519-1563.
7. "Diagnostic checking for the adequacy of nonlinear time series models," with T.H. Lee, Econometric Theory 19 (2003), 1065-1121.
8. "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.
[Generalized spectrum has been included as a basic program in "dCovTS: Distance Covariance/Correlation for Time Series", written by M. Pitsillou and K. Fokianos (The R Journal, 8.2 (2016), 324-340.)]
CONTACT
Yongmiao Hong
Room 404 South Building
Academy of Mathematics and Systems Science
Chinese Academy of Sciences
Beijing 100190, China
Email: ymhong@amss.ac.cn