Details about Wenying Yao
Access statistics for papers by Wenying Yao.
Last updated 2022-02-18. Update your information in the RePEc Author Service.
Short-id: pya365
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Working Papers
2021
- Tests for jumps in yield spreads
Discussion Papers, Free University Berlin, School of Business & Economics
2020
- Cojump anchoring
Discussion Papers, Free University Berlin, School of Business & Economics
- The Impact of Forward Guidance and Large-scale Asset Purchase Programs on Commodity Markets
MPRA Paper, University Library of Munich, Germany
2015
- High frequency characterization of Indian banking stocks
Working Papers, University of Tasmania, Tasmanian School of Business and Economics 
See also Journal Article in Journal of Emerging Market Finance (2018)
- The role of intra-day volatility pattern in jump detection: empirical evidence on how financial markets respond to macroeconomic news announcements
Working Papers, University of Tasmania, Tasmanian School of Business and Economics
2014
- Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics 
See also Journal Article in Journal of Applied Econometrics (2016)
- Forecasting with EC-VARMA models
Working Papers, University of Tasmania, Tasmanian School of Business and Economics
- VAR(MA), what is it good for? more bad news for reduced-form estimation and inference
Working Papers, University of Tasmania, Tasmanian School of Business and Economics
2012
- VAR Modeling and Business Cycle Analysis: A Taxonomy of Errors
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (5)
Journal Articles
2022
- The impact of COVID-19 pandemic on the volatility connectedness network of global stock market
Pacific-Basin Finance Journal, 2022, 71, (C) View citations (1)
2021
- Forecasting the volatility of asset returns: The informational gains from option prices
International Journal of Forecasting, 2021, 37, (2), 862-880
2020
- High-dimensional predictive regression in the presence of cointegration
Journal of Econometrics, 2020, 219, (2), 456-477 View citations (7)
- Jump Risk in the US Financial Sector
The Economic Record, 2020, 96, (314), 331-349 View citations (1)
- Modelling Financial Contagion Using High Frequency Data
The Economic Record, 2020, 96, (314), 314-330
2019
- Asymmetric jump beta estimation with implications for portfolio risk management
International Review of Economics & Finance, 2019, 62, (C), 20-40 View citations (3)
2018
- High-frequency Characterisation of Indian Banking Stocks
Journal of Emerging Market Finance, 2018, 17, (2_suppl), S213-S238 
See also Working Paper (2015)
- News and expected returns in East Asian equity markets: The RV-GARCHM model
Journal of Asian Economics, 2018, 57, (C), 36-52
2017
- On weak identification in structural VARMA models
Economics Letters, 2017, 156, (C), 1-6
- Time-varying continuous and jump betas: The role of firm characteristics and periods of stress
Journal of Empirical Finance, 2017, 40, (C), 1-19 View citations (15)
- Vector Autoregressions and Macroeconomic Modeling: An Error Taxonomy
Journal of Business & Economic Statistics, 2017, 35, (3), 407-419 View citations (9)
2016
- Continuous and Jump Betas: Implications for Portfolio Diversification
Econometrics, 2016, 4, (2), 1-15 View citations (3)
- Determination of Long‐run and Short‐run Dynamics in EC‐VARMA Models via Canonical Correlations
Journal of Applied Econometrics, 2016, 31, (6), 1100-1119 View citations (2)
See also Working Paper (2014)
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