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Details about Minxian Yang

Workplace:School of Economics, UNSW Business School, UNSW Sydney, (more information at EDIRC)

Access statistics for papers by Minxian Yang.

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

Short-id: pya233


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Working Papers

2016

  1. Inference in Partially Identified Heteroskedastic Simultaneous Equations Models
    Discussion Papers, School of Economics, The University of New South Wales Downloads
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2016) Downloads

    See also Journal Article Inference in partially identified heteroskedastic simultaneous equations models, Journal of Econometrics, Elsevier (2020) Downloads View citations (1) (2020)

2014

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

2012

  1. Endogenous Crisis Dating and Contagion Using Smooth Transition Structural GARCH
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (10)
    Also in Working Papers, University of Tasmania, Tasmanian School of Business and Economics (2012) Downloads View citations (15)

    See also Journal Article Endogenous crisis dating and contagion using smooth transition structural GARCH, Journal of Banking & Finance, Elsevier (2015) Downloads View citations (49) (2015)
  2. On the Risk Return Relationship
    Discussion Papers, School of Economics, The University of New South Wales Downloads View citations (1)
    See also Journal Article On the risk return relationship, Journal of Empirical Finance, Elsevier (2013) Downloads View citations (13) (2013)

2004

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

1996

  1. 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) Downloads View citations (9) (1998)

1995

  1. Econopmic growth and Risk in R&D
    Working Papers, New South Wales - School of Economics
  2. 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) Downloads View citations (5) (1996)
  3. 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) Downloads View citations (9) (1998)

1993

  1. Testing for Cointegration within the Box-Tiao Procedure
    Working Papers, New South Wales - School of Economics View citations (1)
  2. 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) Downloads View citations (2) (1995)

1992

  1. 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) Downloads View citations (8) (1995)

Journal Articles

2020

  1. Inference in partially identified heteroskedastic simultaneous equations models
    Journal of Econometrics, 2020, 218, (2), 317-345 Downloads View citations (1)
    See also Working Paper Inference in Partially Identified Heteroskedastic Simultaneous Equations Models, Discussion Papers (2016) Downloads (2016)

2019

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

2018

  1. Simultaneous Equation Systems With Heteroscedasticity: Identification, Estimation, and Stock Price Elasticities
    Journal of Business & Economic Statistics, 2018, 36, (2), 288-308 Downloads View citations (4)

2017

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

2015

  1. Endogenous crisis dating and contagion using smooth transition structural GARCH
    Journal of Banking & Finance, 2015, 58, (C), 71-79 Downloads View citations (49)
    See also Working Paper Endogenous Crisis Dating and Contagion Using Smooth Transition Structural GARCH, Research Paper Series (2012) Downloads View citations (10) (2012)
  2. How well does the weighted price contribution measure price discovery?
    Journal of Economic Dynamics and Control, 2015, 55, (C), 113-129 Downloads View citations (12)

2014

  1. Commodity Price, Carry Trade, and the Volatility and Liquidity of Asian Currencies
    The World Economy, 2014, 37, (6), 811-833 Downloads
  2. Normality of Posterior Distribution Under Misspecification and Nonsmoothness, and Bayes Factor for Davies' Problem
    Econometric Reviews, 2014, 33, (1-4), 305-336 Downloads View citations (3)

2013

  1. On Identifying Structural VAR Models via ARCH Effects
    Journal of Time Series Econometrics, 2013, 5, (2), 117-131 Downloads View citations (24)
  2. On the risk return relationship
    Journal of Empirical Finance, 2013, 21, (C), 132-141 Downloads View citations (13)
    See also Working Paper On the Risk Return Relationship, Discussion Papers (2012) Downloads View citations (1) (2012)

2011

  1. Housewives of Tokyo versus the gnomes of Zurich: Measuring price discovery in sequential markets
    Journal of Financial Markets, 2011, 14, (1), 82-108 Downloads View citations (32)
  2. Volatility Feedback and Risk Premium in GARCH Models with Generalized Hyperbolic Distributions
    Studies in Nonlinear Dynamics & Econometrics, 2011, 15, (3), 21 Downloads View citations (9)

2009

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

2008

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

2006

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

2002

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

2001

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

2000

  1. BOOK REVIEWS
    Journal of the Asia Pacific Economy, 2000, 5, (1-2), 161-168 Downloads
  2. SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS
    Econometric Theory, 2000, 16, (1), 23-43 Downloads View citations (31)

1998

  1. On The Size And Power Of System Tests For Cointegration
    The Review of Economics and Statistics, 1998, 80, (4), 675-679 Downloads View citations (9)
    See also Working Paper On the Size and Power of System Tests for Cointegration, Working Papers (1996) View citations (6) (1996)
  2. On identifying permanent and transitory shocks in VAR models
    Economics Letters, 1998, 58, (2), 171-175 Downloads View citations (9)
    See also Working Paper On Identifying Permanent and Transitory Shocks in VAR Models, Working Papers (1995) (1995)
  3. System estimators of cointegrating matrix in absence of normalising information
    Journal of Econometrics, 1998, 85, (2), 317-337 Downloads View citations (1)

1996

  1. On cointegration tests for VAR models with drift
    Economics Letters, 1996, 51, (1), 45-50 Downloads View citations (5)
    See also Working Paper On Cointegration Test for VAR Models with Drift, Working Papers (1995) (1995)

1995

  1. Moving average conditional heteroskedastic processes
    Economics Letters, 1995, 49, (4), 367-372 Downloads View citations (8)
    See also Working Paper Moving Average Conditional Heterscedastic Processes, Working Papers (1992) (1992)
  2. Testing for cointegration: the effects of mis-specifying the lag length
    Mathematics and Computers in Simulation (MATCOM), 1995, 39, (3), 251-255 Downloads 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

  1. Comparison of Box--Tiao and Johansen canonical estimators of cointegrating vectors in VEC(1) models
    Journal of Econometrics, 1994, 64, (1-2), 3-27 Downloads View citations (17)
 
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