Details about Minxian Yang

Access statistics for papers by Minxian Yang.

Last updated 2024-08-26. Update your information in the RePEc Author Service.

Short-id: pya233

Working Papers

2016

1. 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

2. Binary Choice Model with Endogeneity: Identification via Heteroskedasticity
   Discussion Papers, School of Economics, The University of New South Wales
3. The Risk Return Relationship: Evidence from Index Return and Realised Variance Series
   Discussion Papers, School of Economics, The University of New South Wales

2012

4. 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)
5. 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

6. Normal Log-normal Mixture: Leptokurtosis, Skewness and Applications
   Econometric Society 2004 Australasian Meetings, Econometric Society View citations (3)

1996

7. 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

8. Econopmic growth and Risk in R&D
   Working Papers, New South Wales - School of Economics
9. 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)
10. 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

11. Testing for Cointegration within the Box-Tiao Procedure
    Working Papers, New South Wales - School of Economics View citations (1)
12. 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

13. 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

1. 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

2. The risk return relationship: Evidence from index returns and realised variances
   Journal of Economic Dynamics and Control, 2019, 107, (C), - View citations (1)

2018

3. 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

4. Effects of idiosyncratic shocks on macroeconomic time series
   Empirical Economics, 2017, 53, (4), 1441-1461 View citations (2)

2015

5. 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)
6. 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

7. Commodity Price, Carry Trade, and the Volatility and Liquidity of Asian Currencies
   The World Economy, 2014, 37, (6), 811-833
8. 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

9. On Identifying Structural VAR Models via ARCH Effects
   Journal of Time Series Econometrics, 2013, 5, (2), 117-131 View citations (24)
10. 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

11. 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)
12. 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

13. Asymmetric volatility in the foreign exchange markets
    Journal of International Financial Markets, Institutions and Money, 2009, 19, (4), 597-615 View citations (55)

2008

14. Nonlinear Time Series Analysis ‐ by Holdger Kantz and Thomas Schreiber
    The Economic Record, 2008, 84, (266), 396-397
15. Normal log-normal mixture, leptokurtosis and skewness
    Applied Economics Letters, 2008, 15, (9), 737-742 View citations (15)

2006

16. A hybrid forecasting approach for piece-wise stationary time series
    Journal of Forecasting, 2006, 25, (7), 513-527

2002

17. Lag length and mean break in stationary VAR models
    Econometrics Journal, 2002, 5, (2), 374-387 View citations (6)

2001

18. Closed-form likelihood function of Markov-switching models
    Economics Letters, 2001, 70, (3), 319-326 View citations (1)

2000

19. BOOK REVIEWS
    Journal of the Asia Pacific Economy, 2000, 5, (1-2), 161-168
20. SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS
    Econometric Theory, 2000, 16, (1), 23-43 View citations (32)

1998

21. 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)
22. 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)
23. System estimators of cointegrating matrix in absence of normalising information
    Journal of Econometrics, 1998, 85, (2), 317-337 View citations (1)

1996

24. 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

25. 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)
26. 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

27. 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)