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.

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. 2014-2020 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

1. "Specification Tests for Time-Varying Coefficient Models," with Z. Fu, L. Su, and X. Wang, Journal of Econometrics, forthcoming.

2. "Testing for structural changes in large dimensional factor models via discrete Fourier transform," with Z. Fu, and X. Wang, Journal of Econometrics, forthcoming.

3. "On multiple structural breaks in distribution: An empirical characteristic function approach," with Z. Fu, and X. Wang, Econometric Theory, (2022), 1-48. doi:10.1017/S026646662200010X

4. "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.

5. "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.

6. "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.

7. "Policy assessments for the carbon emission flows and sustainability of Bitcoin blockchain operation in China," with

8. S. Jiang, Y. Li, Q. Lu, D. Guan, Y. Xiong and S. Wang, Nature Communications 12, 1938 (2021). https://doi.org/10.1038/s41467-021-22256-3

9. "Solving Euler equations via two-stage nonparametric penalized splines," with L. Cui and Y. Li, Journal of Econometrics 222.2 (2021), 1024–1056.

10. "Time-varying model averaging," with T. Lee, Y. Sun, S. Wang and X. Zhang, Journal of Econometrics 222.2, (2021), 974–992.

11. "A model-free consistent test for structural change in regression possibly with endogeneity," with Z. Fu, Journal of Econometrics 211 (2019), 206-242.

12. "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.

13. "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.

14. "Econometric modeling and economic forecasting," with Z. Cai and S. Wang, Journal of Management Science and Engineering, 3.4 (2019), 179-182.

15. "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.

16. "Advance in theoretical econometrics—Essays in honor of Takeshi Amemiya," with Z. Cai and C. Hsiao, Journal of Econometrics 206 (2018), 279-281.

17. "Econometric modeling and economic forecasting," with Z. Cai and S. Wang, Journal of Management Science and Engineering 3 (2018), 179-182.

18. "Threshold autoregressive models for interval-valued time series data," with Y. Sun, A. Han, and S. Wang, Journal of Econometrics 206 (2018), 414-446.

19. "Characteristic function-based testing for conditional independence via a nonparametric regression approach," with X. Wang, Econometric Theory 34 (2018), 815-849.

20. "Testing strict stationarity with applications to macroeconomic time series," with X. Wang and S. Wang, International Economic Review 58 (2017), 1227-1277.

21. "A general approach to testing volatility models in time series," with Y. J. Lee, Journal of Management Science and Engineering 2 (2017), 1-33.

22. "An efficient integrated nonparametric entropy estimator of serial dependence," with X. Wang, W. Zhang and S. Wang, Econometric Reviews 36 (2017), 728–780.

23. "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.

24. "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.

25. "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.

26. "Detecting for smooth structural changes in GARCH models," with B. Chen, Econometric Theory 32 (2016), 740-791.

27. "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.

28. "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.

29. "A unified approach to validating univariate and multivariate conditional distribution models in time series," with B. Chen, Journal of Econometrics 178 (2014), 22-44.

30. "A loss function approach to model specification testing and its relative efficiency," with Y. Lee, Annals of Statistics 41 (2013), 1166-1203.

31. "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.

32. "Productivity spillovers among linked sectors," with L. Peng, China Economic Review 25 (2013), 44-61.

33. "Testing for smooth structural changes in time series models via nonparametric regression," with B. Chen, Econometrica 80 (2012), 1157-1183.

34. "Testing for the Markov property in time series," with B. Chen, Econometric Theory 28 (2012), 130-178.

35. "Are corporate bond market returns predictable?" with H. Lin and C. Wu, Journal of Banking and Finance 36 (2012), 2216-2232.

36. "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.

37. "Generalized spectral testing for multivariate continuous-time models," with B. Chen, Journal of Econometrics 164 (2011), 268-293.

38. "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.

39. "Characteristic function-based testing for multifactor continuous-time Markov models via nonparametric regression," with B. Chen, Econometric Theory 26 (2010), 1115-1179.

40. "Modeling the dynamics of Chinese spot interest rates," with H. Lin and S. Wang, Journal of Banking and Finance 34 (2010), 1047-1061.

41. "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.

42. "Central limit theorems for generalized U-statistics with applications in nonparametric specification," with J. Gao, Journal of Nonparametric Statistics 20 (2008), 61-76.

43. "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.

44. "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.

45. "Serial correlation and serial dependence," The New Palgrave Dictionary in Economics, 2008, 2nd Edition, ed. Steven Durlauf.

46. "Model-free evaluation of directional predictability in foreign exchange markets," with J. Chung, Journal of Applied Econometrics 22 (2007), 855-889.

47. "Asymmetries in stock returns: Statistical tests and economic evaluation," with J. Tu and G. Zhuo, Review of Financial Studies 20 (2007), 1547-1581.

48. "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.

49. "An improved generalized spectral test for time series models with conditional heteroskedasticity of unknown form," with Y. Lee, Econometric Theory 23 (2007), 106-154.

50. "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.

51. "Asymptotic distribution theory for nonparametric entropy measures of serial dependence," with H. White, Econometrica 73 (2005), 837-901.

52. "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.

53. "Nonparametric specification testing for continuous-time models with applications to spot interest rates," with H. Li, Review of Financial Studies 18 (2005), 37-84.

54. "Wavelet-Based testing for serial correlation of unknown form in panel models," with C. Kao, Econometrica 72 (2004), 1519-1563.

55. "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.

56. "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.

57. "Diagnostic checking for the adequacy of nonlinear time series models," with T.H. Lee, Econometric Theory 19 (2003), 1065-1121.

58. "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.

59. "Testing for independence between two stationary time series via the empirical characteristic function," Annals of Economics and Finance 2 (2001), 123-164.

60. "One-sided testing for ARCH effects using wavelets," with J. Lee, Econometric Theory 17 (2001), 1051-1081.

61. "A test for volatility spillover with application to exchange rates," Journal of Econometrics 103 (2001), 183-224.

62. "Testing serial correlation of unknown form via wavelet methods," with J. Lee, Econometric Theory 17 (2001), 386-423.

63. "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.

64. "Generalized spectral tests for serial dependence," Journal of the Royal Statistical Society, Series B (Statistical Methodology) 62 (2000), 557-574.

65. "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.

66. "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.

67. "A new test for ARCH effects and its finite-sample performance," with R. Shehadeh, Journal of Business and Economic Statistics 17 (1999), 91-108.

68. "Testing for pairwise serial independence via the empirical distribution function," Journal of the Royal Statistical Society Series B (Statistical Methodology) 60 (1998), 429-453.

69. "One-sided testing for autoregressive conditional heteroskedasticity in time series models," Journal of Time Series Analysis 18 (1997), 253-277.

70. "Testing for independence between two covariance stationary time series," Biometrika 83 (1996), 615-625.

71. "Consistent testing for serial correlation of unknown form," Econometrica 64 (1996), 837-864.

72. "Consistent specification testing via nonparametric series regressions," with H. White, Econometrica 63 (1995), 1133-1159.

73. "China's evolving managerial labor market," with T. Groves, J. McMillan and B. Naughton, Journal of Political Economy 103 (1995), 873-892.

74. "Productivity growth in Chinese state-run industry," with T. Groves, J. McMillan and B. Naughton, in Studies on China's State-owned Enterprise System Reforms, (eds.) F. Dong, Z. Tang and H. Du, Beijing: People's Press, 1995.

75. "Autonomy and incentives in Chinese state enterprises," with T. Groves, J. McMillan and B. Naughton, Quarterly Journal of Economics CIX (1994), 183-203.

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."

----zbMATH

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

Available at Routledge and Amazon.

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

1. Advanced Econometrics

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.

Course Homepage

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.

Course Homepage

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

Lecture_Notes_on_Nonparametric_Analysis

Course Homepage

This section contains some 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.

PDF CODE

2. "Testing for the Markov property in time series," with B. Chen, Econometric Theory 28 (2012), 130-178.

PDF CODE

3. "Testing the structure of conditional correlations in multivariate GARCH models," with N. McCloud, International Economic Review 52.4 (2011), 991-1037.

PDF CODE

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.

PDF CODE

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.

PDF CODE

6. "Wavelet-based testing for serial correlation of unknown form in panel models," with C. Kao, Econometrica 72 (2004), 1519-1563.

PDF CODF

7. "Diagnostic checking for the adequacy of nonlinear time series models," with T.H. Lee, Econometric Theory 19 (2003), 1065-1121.

PDF CODE

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.)]

PDF CODE (by M. Pitsillou and K. Fokianos)

1. Yongmiao Hong and Ming Zhang. Balancing Act[N], China Daily, 2021-07-20.

2. Yongmiao Hong. Key Components: China is Becoming More Deeply Integrated into the Global Economic System[N], China Daily, 2021-02-25.

Yongmiao Hong

Room 404 South Building

Academy of Mathematics and Systems Science

Chinese Academy of Sciences

Beijing 100190, China

Email: ymhong@amss.ac.cn