← All authors Yongmiao Hong National Center for Mathematics and Interdisciplinary Sciences (per OpenAlex) · ORCID · OpenAlex
105 papers in scope · 104 published · 1 on the econ.EM arXiv · 6,931 citations · h-index 38 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Yuning Li Li Yu-ning Jia Chen Chen Jia Michela Bia Degui Li Graziano Moramarco Oliver Linton Lukáš Lafférs Giuseppe Cavaliere Dimitris Korobilis Matteo Barigozzi Jonas Striaukas Éric Ghysels Martin Huber Andrii Babii Weichi Wu Lujia Bai Baokuo Li Gary Koop Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (2 of 105)
Early COVID-19 Policies and Their Enduring Impact on Unemployment: Causal Evidence Through 2024
published 2026 · Statistics and Public Policy
with Y Zhou, Y Li, Xiaoqin Wang
Multi-Matrix Autoregressive Models with an Application to Multi-Modal Network
published 2026 · Journal of Business and Economic Statistics
with Shiqi Ye, Tingguo Zheng, Han Xiao
Autoregressive Conditional Models for Interval-Valued Time Series
published 2026 · Journal of Systems Science and Complexity · 24 citations · first circulated 2012
Regularized Interval-valued Time Series Modeling*
published 2026 · Journal of Business and Economic Statistics
Time-varying model averaging for FAVAR models with smooth structural changes*
published 2026 · Journal of Business and Economic Statistics
with Qitong Chen, Haiqi Li, Xia Wang
Do Asset Prices Help Predict Inflation? Evidence from Individual Stock Prices
published 2026 · Journal of Business and Economic Statistics
with Yumeng Cui, Naijing Huang, Yicheng Wang
Forecasting GDP Growth Rates Using Accounting Earnings: A Large Panel Microdata Approach
published 2026 · Management Science
with Yumeng Cui, Naijing Huang, Yicheng Wang
Estimating and Testing Multiple Structural Breaks in Nonparametric Regressions
published 2025 · Journal of Time Series Analysis
with Yiqiu Cao, Zhonghao Fu, Xia Wang, Xingtong Zhang
Inference for time-varying factor models under local stationarity
published 2025 · Journal of Econometrics · first circulated 2024
Shrinkage estimation of spatial panel data models with multiple structural breaks and a multifactor error structure
published 2025 · Journal of Econometrics · 1 citations · first circulated 2024
Structural stability of functional data — A new adjusted-range-based self-normalization approach
published 2025 · Economics Letters · 1 citations
with Jiajing Sun, Zhuo Lin, Weichao Xu, Lin Zhuo
A Novel Hybrid Nonlinear Forecasting Model for Interval‐Valued Gas Prices
published 2025 · Journal of Forecasting · 6 citations
TIME-VARYING COMPLETE SUBSET AVERAGING IN A DATA-RICH ENVIRONMENT
published 2025 · Econometric Theory · 1 citations
with Haiqi Li, Jing Zhang, Xingyi Chen
working paper 2024 · arXiv · 1 citations
Estimating and testing for smooth structural changes in moment condition models
published 2024 · Journal of Econometrics · 3 citations · first circulated 2021
with Haiqi Li, Jin Zhou
Forecasting interval carbon price through a multi-scale interval-valued decomposition ensemble approach
published 2024 · Energy Economics · 22 citations · first circulated 2023
The impact of COVID-19 on global financial markets: A multiscale volatility spillover analysis
published 2024 · International Review of Financial Analysis · 20 citations
Climate change and crude oil prices: An interval forecast model with interval-valued textual data
published 2024 · Energy Economics · 16 citations
Forecasting Inflation Using Economic Narratives
published 2024 · Journal of Business and Economic Statistics · 32 citations
with Fuwei Jiang, Lingchao Meng, Bowen Xue
Time-varying forecast combination for factor-augmented regressions with smooth structural changes
published 2024 · Journal of Econometrics · 9 citations
Post-averaging inference for optimal model averaging estimator in generalized linear models
published 2024 · Econometric Reviews · 6 citations
Quantifying the Temporal and Spatial Spread of COVID-19: Empirical Evidence from Shanghai
published 2024 · 系统科学与信息学报(英文)
Yongmiao Hong, Oliver Linton, Jiajing Sun, and Meiting Zhu’s contribution to the Discussion of ‘the Discussion Meeting on Probabilistic and statistical aspects of machine learning’
published 2023 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 2 citations
Kolmogorov–Smirnov type testing for structural breaks: A new adjusted-range based self-normalization approach
published 2023 · Journal of Econometrics · 25 citations · first circulated 2021
REGULARIZED GMM FOR TIME‐VARYING MODELS WITH APPLICATIONS TO ASSET PRICING
published 2023 · International Economic Review · 8 citations
Fast estimation of a large TVP-VAR model with score-driven volatilities
published 2023 · Journal of Economic Dynamics and Control · 12 citations
with Tingguo Zheng, Shiqi Ye
Speculation or currency? Multi-scale analysis of cryptocurrencies—The case of Bitcoin
published 2023 · International Review of Financial Analysis · 21 citations
Penalized time-varying model averaging
published 2022 · Journal of Econometrics · 22 citations
Adjusted-range self-normalized confidence interval construction for censored dependent data
published 2022 · Economics Letters · 1 citations
Specification tests for time-varying coefficient models
published 2022 · Journal of Econometrics · 12 citations
Forecasting interval-valued crude oil prices using asymmetric interval models
published 2022 · Quantitative Finance · 19 citations
Testing for structural changes in large dimensional factor models via discrete Fourier transform
published 2022 · Journal of Econometrics · 17 citations · first circulated 2020
with Zhonghao Fu, Xia Wang
ON MULTIPLE STRUCTURAL BREAKS IN DISTRIBUTION: AN EMPIRICAL CHARACTERISTIC FUNCTION APPROACH
published 2022 · Econometric Theory · 5 citations
with Zhonghao Fu, Xia Wang
A score statistic for testing the presence of a stochastic trend in conditional variances
published 2022 · Economics Letters
Probabilistic and deterministic wind speed forecasting based on non-parametric approaches and wind characteristics information
published 2021 · Applied Energy · 58 citations
Forecasting crude oil price intervals and return volatility via autoregressive conditional interval models
published 2021 · Econometric Reviews · 31 citations
Policy assessments for the carbon emission flows and sustainability of Bitcoin blockchain operation in China
published 2021 · Nature Communications · 247 citations · first circulated 2020
Solving Euler equations via two-stage nonparametric penalized splines
published 2020 · Journal of Econometrics · 3 citations · first circulated 2018
published 2020 · Journal of Econometrics · 45 citations · first circulated 2017
Estimating functions and derivatives via adaptive penalized splines
published 2019 · Communications in Statistics - Simulation and Computation · 1 citations
with Lianqiang Yang, Mengzhen Ding, Xuejun Wang
Out-of-sample forecasts of China's economic growth and inflation using rolling weighted least squares
published 2019 · Journal of Management Science and Engineering · 28 citations
A model-free consistent test for structural change in regression possibly with endogeneity
published 2018 · Journal of Econometrics · 14 citations
with Zhonghao Fu
Econometric Modeling and Economic Forecasting
published 2018 · Journal of Management Science and Engineering · 6 citations
Nowcasting China’s GDP Using a Bayesian Approach
published 2018 · Journal of Management Science and Engineering · 9 citations
Asymmetric pass-through of oil prices to gasoline prices with interval time series modelling
published 2018 · Energy Economics · 57 citations
Threshold autoregressive models for interval-valued time series data
published 2018 · Journal of Econometrics · 94 citations
Advance in theoretical econometrics—Essays in honor of Takeshi Amemiya
published 2018 · Journal of Econometrics
with Zongwu Cai, Chêng Hsiao
TESTING STRICT STATIONARITY WITH APPLICATIONS TO MACROECONOMIC TIME SERIES
published 2017 · International Economic Review · 37 citations
CHARACTERISTIC FUNCTION BASED TESTING FOR CONDITIONAL INDEPENDENCE: A NONPARAMETRIC REGRESSION APPROACH
published 2017 · Econometric Theory · 40 citations
with Xia Wang
An efficient integrated nonparametric entropy estimator of serial dependence
published 2017 · Econometric Reviews · 1 citations
Do China's high-speed-rail projects promote local economy?—New evidence from a panel data approach
published 2017 · China Economic Review · 274 citations
with Xiao Ke, Haiqiang Chen, Chêng Hsiao
A General Approach to Testing Volatility Models in Time Series
published 2017 · Journal of Management Science and Engineering · 12 citations
with Yoonjin Lee
Adaptive penalized splines for data smoothing
published 2016 · Computational Statistics & Data Analysis · 27 citations
with Lianqiang Yang
Analysis of crisis impact on crude oil prices: a new approach with interval time series modelling
published 2016 · Quantitative Finance · 31 citations
Impact of the new health care reform on hospital expenditure in China: A case study from a pilot city
published 2016 · China Economic Review · 30 citations
with Jinqiu Yang, Shuangge Ma
DETECTING FOR SMOOTH STRUCTURAL CHANGES IN GARCH MODELS
published 2015 · Econometric Theory · 39 citations · first circulated 2013
with Bin Chen
Time-varying Granger causality tests for applications in global crude oil markets
published 2014 · Energy Economics · 116 citations
A unified approach to validating univariate and multivariate conditional distribution models in time series
published 2013 · Journal of Econometrics · 8 citations
with Bin Chen
Misspecification test methods in econometrics
published 2013 · Journal of Econometrics
with Zongwu Cai, Qi Li
Productivity spillovers among linked sectors
published 2013 · China Economic Review · 17 citations
with Ling Peng
How smooth is price discovery? Evidence from cross-listed stock trading
published 2012 · Journal of International Money and Finance · 39 citations
with Haiqiang Chen, Paul Moon Sub Choi
Are corporate bond market returns predictable?
published 2012 · Journal of Banking & Finance · 63 citations
with Hai Lin, Chunchi Wu
Testing for Smooth Structural Changes in Time Series Models via Nonparametric Regression
published 2012 · Econometrica · 213 citations
with Bin Chen
TESTING THE STRUCTURE OF CONDITIONAL CORRELATIONS IN MULTIVARIATE GARCH MODELS: A GENERALIZED CROSS-SPECTRUM APPROACH*
published 2011 · International Economic Review · 11 citations
with Nadine McCloud
Generalized spectral testing for multivariate continuous-time models
published 2011 · Journal of Econometrics · 5 citations
with Bin Chen
TESTING FOR THE MARKOV PROPERTY IN TIME SERIES
published 2011 · Econometric Theory · 48 citations
with Bin Chen
Financial volatility forecasting with range-based autoregressive volatility model
published 2010 · Finance research letters · 73 citations
with Hong-Quan Li
Detecting misspecifications in autoregressive conditional duration models and non-negative time-series processes
published 2010 · Journal of Time Series Analysis · 14 citations · first circulated 2007
with Yoonjin Lee
Modeling the dynamics of Chinese spot interest rates
published 2009 · Journal of Banking & Finance · 28 citations
CHARACTERISTIC FUNCTION–BASED TESTING FOR MULTIFACTOR CONTINUOUS-TIME MARKOV MODELS VIA NONPARAMETRIC REGRESSION
published 2009 · Econometric Theory · 26 citations · first circulated 2008
with Bin Chen
Granger causality in risk and detection of extreme risk spillover between financial markets
published 2009 · Journal of Econometrics · 360 citations
Guest editors’ introduction
published 2009 · Journal of Econometrics
with Chung-Ming Kuan
Central limit theorems for generalized U -statistics with applications in nonparametric specification
published 2008 · Journal of nonparametric statistics · 13 citations
An empirical study on information spillover effects between the Chinese copper futures market and spot market
published 2007 · Physica A Statistical Mechanics and its Applications · 34 citations
Model‐free evaluation of directional predictability in foreign exchange markets
published 2007 · Journal of Applied Econometrics · 51 citations
with Jaehun Chung
A zero-inflated ordered probit model, with an application to modelling tobacco consumption
published 2007 · Journal of Econometrics · 208 citations · first circulated 2004
Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates
published 2007 · Journal of Econometrics · 72 citations · first circulated 2003
with Haitao Li, Feng Zhao
AN IMPROVED GENERALIZED SPECTRAL TEST FOR CONDITIONAL MEAN MODELS IN TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY OF UNKNOWN FORM
published 2006 · Econometric Theory · 16 citations
with Yoonjin Lee
Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation
published 2006 · Review of Financial Studies · 386 citations · first circulated 2003
with Jun Tu, Guofu Zhou
Validating forecasts of the joint probability density of bond yields: Can affine models beat random walk?
published 2005 · Journal of Econometrics · 42 citations · first circulated 2003
with Alexei V. Egorov, Haitao Li
Asymptotic Distribution Theory for Nonparametric Entropy Measures of Serial Dependence
published 2005 · Econometrica · 175 citations
with Halbert White
Generalized Spectral Tests for Conditional Mean Models in Time Series with Conditional Heteroscedasticity of Unknown Form
published 2005 · The Review of Economic Studies · 135 citations
with Yoonjin Lee
Out-of-Sample Performance of Discrete-Time Spot Interest Rate Models
published 2004 · Journal of Business and Economic Statistics · 73 citations · first circulated 2002
with Haitao Li, Feng Zhao
Wavelet-Based Testing for Serial Correlation of Unknown Form in Panel Models
published 2004 · Econometrica · 61 citations · first circulated 2000
with Chihwa Kao
Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates
published 2004 · Review of Financial Studies · 325 citations · first circulated 2002
with Haitao Li
Generalized (Cross) Spectral Tests for Optimal Forecasts and Conditional Predictive Ability Under Generalized Loss Functions
published 2004 · Econometric Society 2004 North American Winter Meetings
no link
Detecting Neglected Nonlinearity in Dynamic Panel Data with Time-Varying Conditional Heteroskedasticity
published 2004 · Econometric Society 2004 Far Eastern Meetings
with Chihwa Kao
no link
Specification Testing for Multivariate Time Series Volatility Models
published 2004 · Econometric Society 2004 Far Eastern Meetings
with Yoonjin Lee
no link
Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models
published 2003 · The Review of Economics and Statistics · 172 citations
DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS
published 2003 · Econometric Theory · 99 citations
ONE-SIDED TESTING FOR ARCH EFFECTS USING WAVELETS
published 2001 · Econometric Theory · 25 citations
with Jin Lee
A test for volatility spillover with application to exchange rates
published 2001 · Journal of Econometrics · 452 citations
TESTING FOR SERIAL CORRELATION OF UNKNOWN FORM USING WAVELET METHODS
published 2001 · Econometric Theory · 44 citations
with Jin Lee
Testing for Independence between Two stationary Time Series via the Empirical Characteristic Function
published 2001 · Annals of economics and finance · 2 citations
no link
Generalized Spectral Tests for Serial Dependence
published 2000 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 103 citations
Hypothesis Testing in Time Series via the Empirical Characteristic Function: A Generalized Spectral Density Approach
published 1999 · Journal of the American Statistical Association · 217 citations
A New Test for ARCH Effects and its Finite-Sample Performance
published 1999 · Journal of Business and Economic Statistics · 47 citations
with Ramsey D. Shehadeh
Testing for pairwise serial independence via the empirical distribution function Series B Statistical methodology
published 1998 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 71 citations
One‐sided testing for conditional heteroskedasticity in time series models
published 1997 · Journal of Time Series Analysis · 20 citations
Testing for independence between two covariance stationary time series
published 1996 · Biometrika · 105 citations
Consistent Testing for Serial Correlation of Unknown Form
published 1996 · Econometrica · 208 citations
Consistent Specification Testing Via Nonparametric Series Regression
published 1995 · Econometrica · 220 citations
with Halbert White
China's Evolving Managerial Labor Market
published 1995 · Journal of Political Economy · 393 citations
with Theodore Groves, John McMillan, Barry Naughton
Autonomy and Incentives in Chinese State Enterprises
published 1994 · The Quarterly Journal of Economics · 759 citations
with Trish Groves, John McMillan, Blake Alan Naughton, Theodore Groves, Barry Naughton
Some simulation studies of nonparametric estimators
published 1988 · Empirical Economics · 12 citations
with Adrian Pagan
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