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Details about Wenying Yao

E-mail:
Homepage:https://wenyingyao.github.io/
Postal address:Melbourne Business School 200 Leicester Street Carlton VIC 3053 Australia
Workplace:Melbourne Business School, University of Melbourne, (more information at EDIRC)

Access statistics for papers by Wenying Yao.

Last updated 2022-02-18. Update your information in the RePEc Author Service.

Short-id: pya365


Jump to Journal Articles

Working Papers

2021

  1. Tests for jumps in yield spreads
    Discussion Papers, Free University Berlin, School of Business & Economics Downloads

2020

  1. Cojump anchoring
    Discussion Papers, Free University Berlin, School of Business & Economics Downloads
  2. The Impact of Forward Guidance and Large-scale Asset Purchase Programs on Commodity Markets
    MPRA Paper, University Library of Munich, Germany Downloads

2015

  1. High frequency characterization of Indian banking stocks
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics Downloads
    See also Journal Article in Journal of Emerging Market Finance (2018)
  2. 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 Downloads

2014

  1. 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 Downloads
    See also Journal Article in Journal of Applied Econometrics (2016)
  2. Forecasting with EC-VARMA models
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics Downloads
  3. 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 Downloads

2012

  1. 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 Downloads View citations (5)

Journal Articles

2022

  1. The impact of COVID-19 pandemic on the volatility connectedness network of global stock market
    Pacific-Basin Finance Journal, 2022, 71, (C) Downloads View citations (1)

2021

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

2020

  1. High-dimensional predictive regression in the presence of cointegration
    Journal of Econometrics, 2020, 219, (2), 456-477 Downloads View citations (7)
  2. Jump Risk in the US Financial Sector
    The Economic Record, 2020, 96, (314), 331-349 Downloads View citations (1)
  3. Modelling Financial Contagion Using High Frequency Data
    The Economic Record, 2020, 96, (314), 314-330 Downloads

2019

  1. Asymmetric jump beta estimation with implications for portfolio risk management
    International Review of Economics & Finance, 2019, 62, (C), 20-40 Downloads View citations (3)

2018

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

2017

  1. On weak identification in structural VARMA models
    Economics Letters, 2017, 156, (C), 1-6 Downloads
  2. Time-varying continuous and jump betas: The role of firm characteristics and periods of stress
    Journal of Empirical Finance, 2017, 40, (C), 1-19 Downloads View citations (15)
  3. Vector Autoregressions and Macroeconomic Modeling: An Error Taxonomy
    Journal of Business & Economic Statistics, 2017, 35, (3), 407-419 Downloads View citations (9)

2016

  1. Continuous and Jump Betas: Implications for Portfolio Diversification
    Econometrics, 2016, 4, (2), 1-15 Downloads View citations (3)
  2. Determination of Long‐run and Short‐run Dynamics in EC‐VARMA Models via Canonical Correlations
    Journal of Applied Econometrics, 2016, 31, (6), 1100-1119 Downloads View citations (2)
    See also Working Paper (2014)
 
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