Graphic:UO Masthead


YUE FANG'S RECENT PAPERS

 

"Block-Crossed Arrays with Applications to Robust Design," with B. Zhou, Journal of Statistical Planning and Inference, Vol. 74, 169-175, 1998. PDF file

"The Impact of Measurement Errors on ARMA Prediction," with S. Koreisha, Journal of Forecasting, Vol. 18, 95-109, 1999. PDF file

"Estimating Return and Volatility in Continuous Time," American Statistical Association Proceedings of the Business and Economic Statistics Section, 1999.

"Intraday Volatility and Informational Role of Quote Arrivals in FX market." Presented at the 5th International Finance Conference, Atlanta, Georgia, May, 1999.

"Performance of Control Charts for Autoregressive Conditional Heteroscedatic Processes," with J. Zhang, Journal of Applied Statistics, Vol. 26, 701-714, 1999. PDF file

"Transmission of Volatility in the Interbank Foreign Exchange Markets: Evidence from Hong Kong, Japan and Singapore." Presented at the 11th Annual PACAP/FMA Finance Conference, Singapore, July, 1999.

"Seasonality in Foreign Exchange Rates," Applied Economics , Vol. 32, 697-703, 2000. PDF file

"C-chart, X-chart, and the Katz Family of Distributions," Presented at the 2nd International Symposium on Business and Industrial Statistics, Yokohama, Kanagawa Prefecture, Japan, 2001. Journal of Quality Technology, Vol. 35, No. 1, 104-114, 2003 . PDF file

"The Compass Rose and Random Walk Tests," Computational Statistics and Data Analysis , Vol. 39, 299-310, 2002. PDF file

"Generalized Least Squares with Misspecified Serial Correlation Structures," with S. Koreisha, Journal of the Royal Statistical Society, Series B, Vol. 63, 515-531, 2001. PDF file

"GMM Tests for the Katz Family of Distributions," Journal of Statistical Planning and Inference, Vol. 110, 55-73, 2003. PDF file

"Testing Unobserved Mixing Distributions with Application to Claim Frequency Modeling in Insurance Portfolios," in review, 2000. Presented at the 2nd International Symposium on Business and Industrial Statistics, Yokohama, Kanagawa Prefecture, Japan, 2001.

"The Predictability of Asset Returns: An approach combining technical analysis and time series forecasts," with D. Xu, International Journal of Forecasting, Vol. 19, No. 3, 369-385, 2003. PDF file.

"Semi-parametric Specification Tests for Discrete Probability Models," Journal of Risk and Insurance, Vol. 70, No. 1, 73-84, 2003. PDF file

"Comparing Information in Forecasts of Macroeconomic Time Series ," American Statistical Association Proceedings of the Business and Economic Statistics Section, 2000.

"Updating ARMA Predictions for Temporal Aggregates," with S. Koreisha. Presented at the INFORMS Annual Meeting, San Antonio, 2000. Journal of Forecasting, Vol. 23, 275-296, 2004. PDF file

"When Should Time be Continuous? Volatility modeling and estimation under continuous data recording." Presented at the 2000 World Congress of the Econometric Society, Seattle, August, 2000.

"Forecasting Combination and Encompassing Tests," Presented at the Joint Statistical Meetings, American Statistical Association, Indianapolis, 2000, and at the 2001 International Symposium on Forecasting, Atlanta, 2001. International Journal of Forecasting , Vol. 19, No. 1, 87-94, 2003. PDF file

"Specification Tests for Families of Distributions: A generalized method of moments approach," 2006.

"The Role of Quote Arrivals in Foreign Exchange Market Volatility: Information or noise?" 2002.

"On the Power of Portmanteau Serial Correlation Tests," with M. Martin, T. O'Neill, and S. Roberts. Journal of Statistical Computation and Simulation, Vol. 76, No. 7, 593-604, 2006. PDF file

"A Two-stage Procedure on Camparing Several Experimental Treatments and a Control," with John Zhang and Pinyuen Chen, Journal of Applied Mathematics & Decision Sciences, Vol. 9, No. 1, 2005.

"Forecasting with Regression Models Containing Misspecified Serial Correlation Structures," with Sergio Koreisha. Presented at the 53rd Session of the International Statistical Institute (ISI), Seoul, Korea, 2001. Journal of Statistical Computation and Simulation, Vol. 74, No. 9, 625-649, 2004. PDF file

"2SOLS Forecasts for Regression Models with Serial Correlation," with Sergio Koreisha, 2006.

" Stock Returns: Momentum, Volatility and Interest Rates," with S. Wada and J. Moody, CIFEr2003 Conference Proceedings: 2003 International Conference on Computational Intelligence for Financial Engineering, 2003.

"The Effect of the Estimation on Goodness-of-fit Tests in Time Series Models," Journal of Time Series Analysis , Vol.26, No. 4, 2005. PDF file

"Forecasting Contemporal Aggregateds: the Case of the U.S. Monthly Energy Consumption," 2006.

"Using Least Square to Generate Forecasts in Regression Models with Autocorrelated Disturbances," with Sergio Koreisha, Journal of Time Series Analysis , Vol.29, No. 3, 2008. PDF file

"Internationalization that Counts: China’s Emerging Futures Market, " with Peter Zhang, 2006.

“Semi-parametric Specification Tests for Mixing Distributions,” Computational Statistics and Data Analysis , Vol. 5, 2829-2839, 2008. PDF file

 


Back to Yue Fang's Homepage