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