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Details about Wenying Yao

E-mail:
Homepage:https://wenyingyao.github.io/
Postal address:Department of Economics Deakin Business School Burwood VIC 3125 Australia
Workplace:Department of Economics, Business School, Deakin University, (more information at EDIRC)

Access statistics for papers by Wenying Yao.

Last updated 2019-09-07. Update your information in the RePEc Author Service.

Short-id: pya365


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Working Papers

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 (4)

Journal Articles

2019

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

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 (6)
  3. Vector Autoregressions and Macroeconomic Modeling: An Error Taxonomy
    Journal of Business & Economic Statistics, 2017, 35, (3), 407-419 Downloads View citations (3)

2016

  1. Continuous and Jump Betas: Implications for Portfolio Diversification
    Econometrics, 2016, 4, (2), 1-15 Downloads View citations (1)
  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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