国际期刊

　　 “Asymptotic theory for entropy-based measure of serial dependence,” with H.White, Econometrica 73 (2005), 837-901.

　　 “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.

　　 “Nonparametric specification testing for continuous-time models with applications to interest rate term structure,” with H. Li, Review of Financial Studies 18 (2005), 37-84.

　　 “Wavelet-based consistent testing for serial correlation in panel models,” with C. Kao, Econometrica 72 (2004), 1519-1563.

　　 “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.

　　 “Inference on predictability of foreign exchange rates via generalized spectrum and nonlinear time series models,” with T. H. Lee, Review of Economics and Statistics, 85 (2003), 1048-1062.

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

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

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

　　 “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.

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

　　 “Consistent testing for serial correlation of unknown form,” Econometrica 64 (1996) 873-864.

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

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

　　 “Autonomy and incentives in Chinese state enterprises,” with T. Groves, J. McMillan and B. Naughton, Quarterly Journal of Economics CIX (1994), 183-209.

国内期刊

　　 “中国股市与世界其他股市之间的大风险溢出效应”，洪永淼, 成思危, 刘艳辉, 汪寿阳，《经济学(季刊)》，第三卷，第三期（2004），603-726.

　　 “中国股市是弱式有效的吗?——基于一种新方法的实证研究”，陈灯塔, 洪永淼，《经济学(季刊)》，第三卷，第一期（2003），97-124.

　 “金融计量的新近发展”，《经济学(季刊)》，第一卷，第二期（2002），249-268.