Yongmiao Hong's Books

Foundations Of Modern Econometrics: A Unified Approach

By: Yongmiao Hong

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Foundations Of Modern Econometrics: A Unified Approach

By: Yongmiao Hong

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.

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Page Count

523

Publisher

World Scientific

Published Date

ISBN 10

9811220204

ISBN 13

9789811220203

Information Spillover Effect and Autoregressive Conditional Duration Models

By: Xiangli Liu,Yanhui Liu,Yongmiao Hong,Shouyang Wang

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Information Spillover Effect and Autoregressive Conditional Duration Models

By: Xiangli Liu,Yanhui Liu,Yongmiao Hong,Shouyang Wang

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 comovements 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. The book will be of invaluable use to scholars and graduate students interested in comovements among different financial markets and financial market microstructure and to investors and regulation departments looking to improve their risk management.

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Page Count

216

Publisher

Routledge

Published Date

ISBN 10

1317667654

ISBN 13

9781317667650

Probability And Statistics For Economists

By: Yongmiao Hong

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Probability And Statistics For Economists

By: Yongmiao Hong

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.

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