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Minxian Yang

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First Name:Minxian
Middle Name:
Last Name:Yang
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RePEc Short-ID:pya233
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Affiliation

School of Economics
UNSW Business School
UNSW Sydney

Sydney, Australia
http://www.economics.unsw.edu.au/
RePEc:edi:senswau (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Helmut Lütkepohl & George Milunivich & Minxian Yang, 2016. "Inference in Partially Identified Heteroskedastic Simultaneous Equations Models," Discussion Papers of DIW Berlin 1632, DIW Berlin, German Institute for Economic Research.
  2. Minxian Yang, 2014. "Binary Choice Model with Endogeneity: Identification via Heteroskedasticity," Discussion Papers 2014-34, School of Economics, The University of New South Wales.
  3. Minxian Yang, 2014. "The Risk Return Relationship: Evidence from Index Return and Realised Variance Series," Discussion Papers 2014-16, School of Economics, The University of New South Wales.
  4. Dungey, Mardi & Milunovich, George & Thorp, Susan & Yang, Minxian, 2012. "Endogenous crisis dating and contagion using smooth transition structural GARCH," Working Papers 15030, University of Tasmania, Tasmanian School of Business and Economics, revised 29 Aug 2012.
  5. Jianxin Wang & Minxian Yang, 2012. "On the Risk Return Relationship," Discussion Papers 2012-31, School of Economics, The University of New South Wales.
  6. Minxian Yang, 2004. "Normal Log-normal Mixture: Leptokurtosis, Skewness and Applications," Econometric Society 2004 Australasian Meetings 186, Econometric Society.
  7. Bewley, R. & Yang, M., 1996. "On the Size and Power of System Tests for Cointegration," Papers 96/9, New South Wales - School of Economics.
  8. Yang, M., 1995. "Econopmic growth and Risk in R&D," Papers 95/24, New South Wales - School of Economics.
  9. Yang, M., 1995. "On Identifying Permanent and Transitory Shocks in VAR Models," Papers 95-5, New South Wales - School of Economics.
  10. Yang, M. & Bewley, R., 1995. "On Cointegration Test for VAR Models with Drift," Papers 95/32, New South Wales - School of Economics.
  11. Bewley, R. & Yang, M., 1993. "Testing for Cointegration: The Effects of Mis-Specifying the Lag Length," Papers 93-18, New South Wales - School of Economics.
  12. Bewley, R. & Yang, M., 1993. "Testing for Cointegration within the Box-Tiao Procedure," Papers 93-12, New South Wales - School of Economics.
  13. Yang, M. & Bewley, R., 1992. "Moving Average Conditional Heterscedastic Processes," Papers 92-23, New South Wales - School of Economics.

Articles

  1. Lütkepohl, Helmut & Milunovich, George & Yang, Minxian, 2020. "Inference in partially identified heteroskedastic simultaneous equations models," Journal of Econometrics, Elsevier, vol. 218(2), pages 317-345.
  2. Yang, Minxian, 2019. "The risk return relationship: Evidence from index returns and realised variances," Journal of Economic Dynamics and Control, Elsevier, vol. 107(C), pages 1-1.
  3. George Milunovich & Minxian Yang, 2018. "Simultaneous Equation Systems With Heteroscedasticity: Identification, Estimation, and Stock Price Elasticities," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(2), pages 288-308, April.
  4. Minxian Yang, 2017. "Effects of idiosyncratic shocks on macroeconomic time series," Empirical Economics, Springer, vol. 53(4), pages 1441-1461, December.
  5. Wang, Jianxin & Yang, Minxian, 2015. "How well does the weighted price contribution measure price discovery?," Journal of Economic Dynamics and Control, Elsevier, vol. 55(C), pages 113-129.
  6. Dungey, Mardi & Milunovich, George & Thorp, Susan & Yang, Minxian, 2015. "Endogenous crisis dating and contagion using smooth transition structural GARCH," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 71-79.
  7. Minxian Yang, 2014. "Normality of Posterior Distribution Under Misspecification and Nonsmoothness, and Bayes Factor for Davies' Problem," Econometric Reviews, Taylor & Francis Journals, vol. 33(1-4), pages 305-336, June.
  8. Maria Socorro Gochoco-Bautista & Jianxin Wang & Minxian Yang, 2014. "Commodity Price, Carry Trade, and the Volatility and Liquidity of Asian Currencies," The World Economy, Wiley Blackwell, vol. 37(6), pages 811-833, June.
  9. Milunovich George & Yang Minxian, 2013. "On Identifying Structural VAR Models via ARCH Effects," Journal of Time Series Econometrics, De Gruyter, vol. 5(2), pages 117-131, May.
  10. Wang, Jianxin & Yang, Minxian, 2013. "On the risk return relationship," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 132-141.
  11. Yang Minxian, 2011. "Volatility Feedback and Risk Premium in GARCH Models with Generalized Hyperbolic Distributions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(3), pages 1-21, May.
  12. Wang, Jianxin & Yang, Minxian, 2011. "Housewives of Tokyo versus the gnomes of Zurich: Measuring price discovery in sequential markets," Journal of Financial Markets, Elsevier, vol. 14(1), pages 82-108, February.
  13. Wang, Jianxin & Yang, Minxian, 2009. "Asymmetric volatility in the foreign exchange markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(4), pages 597-615, October.
  14. Minxian Yang, 2008. "Normal log-normal mixture, leptokurtosis and skewness," Applied Economics Letters, Taylor & Francis Journals, vol. 15(9), pages 737-742.
  15. Minxian Yang, 2008. "Nonlinear Time Series Analysis ‐ by Holdger Kantz and Thomas Schreiber," The Economic Record, The Economic Society of Australia, vol. 84(266), pages 396-397, September.
  16. Ronald Bewley & Minxian Yang, 2006. "A hybrid forecasting approach for piece-wise stationary time series," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(7), pages 513-527.
  17. Minxian Yang, 2002. "Lag length and mean break in stationary VAR models," Econometrics Journal, Royal Economic Society, vol. 5(2), pages 374-387, June.
  18. Yang, Minxian, 2001. "Closed-form likelihood function of Markov-switching models," Economics Letters, Elsevier, vol. 70(3), pages 319-326, March.
  19. Minxian Yang & Anthony Housego & Harun er Rashid & Koji Taira, 2000. "Book Reviews," Journal of the Asia Pacific Economy, Taylor & Francis Journals, vol. 5(1-2), pages 161-168.
  20. Yang, Minxian, 2000. "Some Properties Of Vector Autoregressive Processes With Markov-Switching Coefficients," Econometric Theory, Cambridge University Press, vol. 16(1), pages 23-43, February.
  21. Minxian, Yang, 1998. "System estimators of cointegrating matrix in absence of normalising information," Journal of Econometrics, Elsevier, vol. 85(2), pages 317-337, August.
  22. Ronald Bewley & Minxian Yang, 1998. "On The Size And Power Of System Tests For Cointegration," The Review of Economics and Statistics, MIT Press, vol. 80(4), pages 675-679, November.
  23. Yang, Minxian, 1998. "On identifying permanent and transitory shocks in VAR models," Economics Letters, Elsevier, vol. 58(2), pages 171-175, February.
  24. Yang, Minxian & Bewley, Ronald, 1996. "On cointegration tests for VAR models with drift," Economics Letters, Elsevier, vol. 51(1), pages 45-50, April.
  25. Yang, Minxian & Bewley, Ronald, 1995. "Moving average conditional heteroskedastic processes," Economics Letters, Elsevier, vol. 49(4), pages 367-372, October.
  26. Bewley, Ronald & Yang, Minxian, 1995. "Testing for cointegration: the effects of mis-specifying the lag length," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 39(3), pages 251-255.
  27. Bewley, Ronald & Orden, David & Yang, Minxian & Fisher, Lance A., 1994. "Comparison of Box--Tiao and Johansen canonical estimators of cointegrating vectors in VEC(1) models," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 3-27.

More information

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 8 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (3) 2004-10-30 2014-09-29 2017-01-22
  2. NEP-ETS: Econometric Time Series (3) 2004-10-30 2012-10-13 2012-12-22
  3. NEP-ORE: Operations Research (3) 2014-09-29 2017-01-22 2017-04-16
  4. NEP-FMK: Financial Markets (2) 2013-06-16 2014-04-11
  5. NEP-GER: German Papers (2) 2014-04-11 2014-09-29
  6. NEP-RMG: Risk Management (2) 2013-06-16 2014-04-11
  7. NEP-DCM: Discrete Choice Models (1) 2014-09-29
  8. NEP-FIN: Finance (1) 2004-10-30

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