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

Working Papers

2021

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

2020

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

2015

4. 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)
5. 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

6. 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)
7. Forecasting with EC-VARMA models
   Working Papers, University of Tasmania, Tasmanian School of Business and Economics
8. 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

9. 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

1. 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

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

2020

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

2019

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

2018

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

2017

9. On weak identification in structural VARMA models
   Economics Letters, 2017, 156, (C), 1-6
10. 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)
11. Vector Autoregressions and Macroeconomic Modeling: An Error Taxonomy
    Journal of Business & Economic Statistics, 2017, 35, (3), 407-419 View citations (9)

2016

12. Continuous and Jump Betas: Implications for Portfolio Diversification
    Econometrics, 2016, 4, (2), 1-15 View citations (3)
13. 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)