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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 2019-10-16. 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

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 (5)
    Also in Working Papers, University of Tasmania, Tasmanian School of Business and Economics (2012) Downloads View citations (7)

    See also Journal Article in Journal of Banking & Finance (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 in Journal of Empirical Finance (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 (5)
    See also Journal Article in The Review of Economics and Statistics (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 in Economics Letters (1996)
  3. On Identifying Permanent and Transitory Shocks in VAR Models
    Working Papers, New South Wales - School of Economics
    See also Journal Article in Economics Letters (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 in Mathematics and Computers in Simulation (MATCOM) (1995)

1992

  1. Moving Average Conditional Heterscedastic Processes
    Working Papers, New South Wales - School of Economics
    See also Journal Article in Economics Letters (1995)

Journal Articles

2019

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

2018

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

2017

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

2015

  1. Endogenous crisis dating and contagion using smooth transition structural GARCH
    Journal of Banking & Finance, 2015, 58, (C), 71-79 Downloads View citations (24)
    See also Working Paper (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 (6)

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 (2)

2013

  1. On Identifying Structural VAR Models via ARCH Effects
    Journal of Time Series Econometrics, 2013, 5, (2), 117-131 Downloads View citations (16)
  2. On the risk return relationship
    Journal of Empirical Finance, 2013, 21, (C), 132-141 Downloads View citations (6)
    See also Working Paper (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 (17)
  2. Volatility Feedback and Risk Premium in GARCH Models with Generalized Hyperbolic Distributions
    Studies in Nonlinear Dynamics & Econometrics, 2011, 15, (3), 1-21 Downloads View citations (3)

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 (34)

2008

  1. Normal log-normal mixture, leptokurtosis and skewness
    Applied Economics Letters, 2008, 15, (9), 737-742 Downloads View citations (5)

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 Downloads View citations (6)

2001

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

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, (01), 23-43 Downloads View citations (15)

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 (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 (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 (1995)

1995

  1. Moving average conditional heteroskedastic processes
    Economics Letters, 1995, 49, (4), 367-372 Downloads View citations (8)
    See also Working Paper (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 (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 (16)
 
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