Details about Wenying Yao

Access statistics for papers by Wenying Yao.

Last updated 2024-12-11. Update your information in the RePEc Author Service.

Short-id: pya365

Working Papers

2024

1. A Constrained Dynamic Nelson-Siegel Model for Monetary Policy Analysis
   Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School

2023

2. Tests for Jumps in Yield Spreads
   Berlin School of Economics Discussion Papers, Berlin School of Economics
   Also in Discussion Papers, Free University Berlin, School of Business & Economics (2021)
   See also Journal Article Tests for Jumps in Yield Spreads, Journal of Business & Economic Statistics, Taylor & Francis Journals (2024) (2024)

2020

3. Cojump anchoring
   Discussion Papers, Free University Berlin, School of Business & Economics
4. The Impact of Forward Guidance and Large-scale Asset Purchase Programs on Commodity Markets
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article The impact of forward guidance and large-scale asset purchase programs on commodity markets, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2023) View citations (1) (2023)

2015

5. High frequency characterization of Indian banking stocks
   Working Papers, University of Tasmania, Tasmanian School of Business and Economics
   See also Journal Article High-frequency Characterisation of Indian Banking Stocks, Journal of Emerging Market Finance, Institute for Financial Management and Research (2018) (2018)
6. 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

7. 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 Determination of Long‐run and Short‐run Dynamics in EC‐VARMA Models via Canonical Correlations, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2016) View citations (2) (2016)
8. Forecasting with EC-VARMA models
   Working Papers, University of Tasmania, Tasmanian School of Business and Economics
9. 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

10. 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

2024

1. Tail connectedness: Measuring the volatility connectedness network of equity markets during crises
   Pacific-Basin Finance Journal, 2024, 87, (C) View citations (1)
2. Tests for Jumps in Yield Spreads
   Journal of Business & Economic Statistics, 2024, 42, (3), 946-957
   See also Working Paper Tests for Jumps in Yield Spreads, Berlin School of Economics Discussion Papers (2023) (2023)

2023

3. The impact of forward guidance and large-scale asset purchase programs on commodity markets
   Studies in Nonlinear Dynamics & Econometrics, 2023, 27, (4), 519-551 View citations (1)
   See also Working Paper The Impact of Forward Guidance and Large-scale Asset Purchase Programs on Commodity Markets, MPRA Paper (2020) (2020)

2022

4. An examination of herding behaviour of the Chinese mutual funds: A time-varying perspective
   Pacific-Basin Finance Journal, 2022, 74, (C) View citations (4)
5. Characterizing financial crises using high-frequency data
   Quantitative Finance, 2022, 22, (4), 743-760
6. The impact of COVID-19 pandemic on the volatility connectedness network of global stock market
   Pacific-Basin Finance Journal, 2022, 71, (C) View citations (24)

2021

7. Forecasting the volatility of asset returns: The informational gains from option prices
   International Journal of Forecasting, 2021, 37, (2), 862-880 View citations (1)

2020

8. High-dimensional predictive regression in the presence of cointegration
   Journal of Econometrics, 2020, 219, (2), 456-477 View citations (18)
9. Jump Risk in the US Financial Sector
   The Economic Record, 2020, 96, (314), 331-349 View citations (1)
10. Modelling Financial Contagion Using High Frequency Data
    The Economic Record, 2020, 96, (314), 314-330 View citations (1)

2019

11. Asymmetric jump beta estimation with implications for portfolio risk management
    International Review of Economics & Finance, 2019, 62, (C), 20-40 View citations (7)

2018

12. High-frequency Characterisation of Indian Banking Stocks
    Journal of Emerging Market Finance, 2018, 17, (2_suppl), S213-S238
    See also Working Paper High frequency characterization of Indian banking stocks, Working Papers (2015) (2015)
13. News and expected returns in East Asian equity markets: The RV-GARCHM model
    Journal of Asian Economics, 2018, 57, (C), 36-52

2017

14. On weak identification in structural VARMA models
    Economics Letters, 2017, 156, (C), 1-6 View citations (1)
15. 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 (20)
16. Vector Autoregressions and Macroeconomic Modeling: An Error Taxonomy
    Journal of Business & Economic Statistics, 2017, 35, (3), 407-419 View citations (10)

2016

17. Continuous and Jump Betas: Implications for Portfolio Diversification
    Econometrics, 2016, 4, (2), 1-15 View citations (5)
18. 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 Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations, Monash Econometrics and Business Statistics Working Papers (2014) (2014)