Details about Minxian Yang
Access statistics for papers by Minxian Yang.
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Short-id: pya233
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Working Papers
2016
- Inference in Partially Identified Heteroskedastic Simultaneous Equations Models
Discussion Papers, School of Economics, The University of New South Wales 
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2016) 
See also Journal Article Inference in partially identified heteroskedastic simultaneous equations models, Journal of Econometrics, Elsevier (2020) View citations (1) (2020)
2014
- Binary Choice Model with Endogeneity: Identification via Heteroskedasticity
Discussion Papers, School of Economics, The University of New South Wales
- The Risk Return Relationship: Evidence from Index Return and Realised Variance Series
Discussion Papers, School of Economics, The University of New South Wales
2012
- Endogenous Crisis Dating and Contagion Using Smooth Transition Structural GARCH
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (10)
Also in Working Papers, University of Tasmania, Tasmanian School of Business and Economics (2012) View citations (15)
See also Journal Article Endogenous crisis dating and contagion using smooth transition structural GARCH, Journal of Banking & Finance, Elsevier (2015) View citations (49) (2015)
- On the Risk Return Relationship
Discussion Papers, School of Economics, The University of New South Wales View citations (1)
See also Journal Article On the risk return relationship, Journal of Empirical Finance, Elsevier (2013) View citations (13) (2013)
2004
- Normal Log-normal Mixture: Leptokurtosis, Skewness and Applications
Econometric Society 2004 Australasian Meetings, Econometric Society View citations (3)
1996
- On the Size and Power of System Tests for Cointegration
Working Papers, New South Wales - School of Economics View citations (6)
See also Journal Article On The Size And Power Of System Tests For Cointegration, The Review of Economics and Statistics, MIT Press (1998) View citations (9) (1998)
1995
- Econopmic growth and Risk in R&D
Working Papers, New South Wales - School of Economics
- On Cointegration Test for VAR Models with Drift
Working Papers, New South Wales - School of Economics
See also Journal Article On cointegration tests for VAR models with drift, Economics Letters, Elsevier (1996) View citations (5) (1996)
- On Identifying Permanent and Transitory Shocks in VAR Models
Working Papers, New South Wales - School of Economics
See also Journal Article On identifying permanent and transitory shocks in VAR models, Economics Letters, Elsevier (1998) View citations (9) (1998)
1993
- Testing for Cointegration within the Box-Tiao Procedure
Working Papers, New South Wales - School of Economics View citations (1)
- Testing for Cointegration: The Effects of Mis-Specifying the Lag Length
Working Papers, New South Wales - School of Economics View citations (4)
See also Journal Article Testing for cointegration: the effects of mis-specifying the lag length, Mathematics and Computers in Simulation (MATCOM), Elsevier (1995) View citations (2) (1995)
1992
- Moving Average Conditional Heterscedastic Processes
Working Papers, New South Wales - School of Economics
See also Journal Article Moving average conditional heteroskedastic processes, Economics Letters, Elsevier (1995) View citations (8) (1995)
Journal Articles
2020
- Inference in partially identified heteroskedastic simultaneous equations models
Journal of Econometrics, 2020, 218, (2), 317-345 View citations (1)
See also Working Paper Inference in Partially Identified Heteroskedastic Simultaneous Equations Models, Discussion Papers (2016) (2016)
2019
- The risk return relationship: Evidence from index returns and realised variances
Journal of Economic Dynamics and Control, 2019, 107, (C), - View citations (1)
2018
- Simultaneous Equation Systems With Heteroscedasticity: Identification, Estimation, and Stock Price Elasticities
Journal of Business & Economic Statistics, 2018, 36, (2), 288-308 View citations (4)
2017
- Effects of idiosyncratic shocks on macroeconomic time series
Empirical Economics, 2017, 53, (4), 1441-1461 View citations (2)
2015
- Endogenous crisis dating and contagion using smooth transition structural GARCH
Journal of Banking & Finance, 2015, 58, (C), 71-79 View citations (49)
See also Working Paper Endogenous Crisis Dating and Contagion Using Smooth Transition Structural GARCH, Research Paper Series (2012) View citations (10) (2012)
- How well does the weighted price contribution measure price discovery?
Journal of Economic Dynamics and Control, 2015, 55, (C), 113-129 View citations (12)
2014
- Commodity Price, Carry Trade, and the Volatility and Liquidity of Asian Currencies
The World Economy, 2014, 37, (6), 811-833
- Normality of Posterior Distribution Under Misspecification and Nonsmoothness, and Bayes Factor for Davies' Problem
Econometric Reviews, 2014, 33, (1-4), 305-336 View citations (3)
2013
- On Identifying Structural VAR Models via ARCH Effects
Journal of Time Series Econometrics, 2013, 5, (2), 117-131 View citations (24)
- On the risk return relationship
Journal of Empirical Finance, 2013, 21, (C), 132-141 View citations (13)
See also Working Paper On the Risk Return Relationship, Discussion Papers (2012) View citations (1) (2012)
2011
- Housewives of Tokyo versus the gnomes of Zurich: Measuring price discovery in sequential markets
Journal of Financial Markets, 2011, 14, (1), 82-108 View citations (32)
- Volatility Feedback and Risk Premium in GARCH Models with Generalized Hyperbolic Distributions
Studies in Nonlinear Dynamics & Econometrics, 2011, 15, (3), 21 View citations (9)
2009
- Asymmetric volatility in the foreign exchange markets
Journal of International Financial Markets, Institutions and Money, 2009, 19, (4), 597-615 View citations (55)
2008
- Nonlinear Time Series Analysis ‐ by Holdger Kantz and Thomas Schreiber
The Economic Record, 2008, 84, (266), 396-397
- Normal log-normal mixture, leptokurtosis and skewness
Applied Economics Letters, 2008, 15, (9), 737-742 View citations (15)
2006
- A hybrid forecasting approach for piece-wise stationary time series
Journal of Forecasting, 2006, 25, (7), 513-527
2002
- Lag length and mean break in stationary VAR models
Econometrics Journal, 2002, 5, (2), 374-387 View citations (6)
2001
- Closed-form likelihood function of Markov-switching models
Economics Letters, 2001, 70, (3), 319-326 View citations (1)
2000
- BOOK REVIEWS
Journal of the Asia Pacific Economy, 2000, 5, (1-2), 161-168
- SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS
Econometric Theory, 2000, 16, (1), 23-43 View citations (31)
1998
- On The Size And Power Of System Tests For Cointegration
The Review of Economics and Statistics, 1998, 80, (4), 675-679 View citations (9)
See also Working Paper On the Size and Power of System Tests for Cointegration, Working Papers (1996) View citations (6) (1996)
- On identifying permanent and transitory shocks in VAR models
Economics Letters, 1998, 58, (2), 171-175 View citations (9)
See also Working Paper On Identifying Permanent and Transitory Shocks in VAR Models, Working Papers (1995) (1995)
- System estimators of cointegrating matrix in absence of normalising information
Journal of Econometrics, 1998, 85, (2), 317-337 View citations (1)
1996
- On cointegration tests for VAR models with drift
Economics Letters, 1996, 51, (1), 45-50 View citations (5)
See also Working Paper On Cointegration Test for VAR Models with Drift, Working Papers (1995) (1995)
1995
- Moving average conditional heteroskedastic processes
Economics Letters, 1995, 49, (4), 367-372 View citations (8)
See also Working Paper Moving Average Conditional Heterscedastic Processes, Working Papers (1992) (1992)
- Testing for cointegration: the effects of mis-specifying the lag length
Mathematics and Computers in Simulation (MATCOM), 1995, 39, (3), 251-255 View citations (2)
See also Working Paper Testing for Cointegration: The Effects of Mis-Specifying the Lag Length, Working Papers (1993) View citations (4) (1993)
1994
- Comparison of Box--Tiao and Johansen canonical estimators of cointegrating vectors in VEC(1) models
Journal of Econometrics, 1994, 64, (1-2), 3-27 View citations (17)
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