Wenying Yao
Personal Details
First Name: | Wenying |
Middle Name: | |
Last Name: | Yao |
Suffix: | |
RePEc Short-ID: | pya365 |
[This author has chosen not to make the email address public] | |
https://wenyingyao.github.io/ | |
Melbourne Business School 200 Leicester Street Carlton VIC 3053 Australia | |
Terminal Degree: | 2013 Department of Econometrics and Business Statistics; Monash Business School; Monash University (from RePEc Genealogy) |
Affiliation
Melbourne Business School
University of Melbourne
Melbourne, Australiahttps://mbs.unimelb.edu.au/
RePEc:edi:bsmelau (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- Jamie L. Cross & Aubrey Poon & Wenying Yao & Dan Zhu, 2024. "A Constrained Dynamic Nelson-Siegel Model for Monetary Policy Analysis," Working Papers No 06/2024, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Lars Winkelmann & Wenying Yao, 2023.
"Tests for Jumps in Yield Spreads,"
Berlin School of Economics Discussion Papers
0024, Berlin School of Economics.
- Lars Winkelmann & Wenying Yao, 2024. "Tests for Jumps in Yield Spreads," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(3), pages 946-957, July.
- Winkelmann, Lars & Yao, Wenying, 2021. "Tests for jumps in yield spreads," Discussion Papers 2021/15, Free University Berlin, School of Business & Economics.
- Gomis-Porqueras, Pedro & Rafiq, Shuddhasattwa & Yao, Wenying, 2020.
"The Impact of Forward Guidance and Large-scale Asset Purchase Programs on Commodity Markets,"
MPRA Paper
102781, University Library of Munich, Germany.
- Gomis-Porqueras Pedro & Rafiq Shuddhasattwa & Yao Wenying, 2023. "The impact of forward guidance and large-scale asset purchase programs on commodity markets," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 27(4), pages 519-551, September.
- Winkelmann, Lars & Yao, Wenying, 2020. "Cojump anchoring," Discussion Papers 2020/17, Free University Berlin, School of Business & Economics.
- Yao, Wenying & Tian, Jing, 2015. "The role of intra-day volatility pattern in jump detection: empirical evidence on how financial markets respond to macroeconomic news announcements," Working Papers 2015-05, University of Tasmania, Tasmanian School of Business and Economics.
- Sayaeed, Mohammad Abu & Dungey, Mardi & Yao, Wenying, 2015.
"High frequency characterization of Indian banking stocks,"
Working Papers
2015-04, University of Tasmania, Tasmanian School of Business and Economics.
- Mohammad Abu Sayeed & Mardi Dungey & Wenying Yao, 2018. "High-frequency Characterisation of Indian Banking Stocks," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(2_suppl), pages 213-238, August.
- George Athanasopoulos & D.S. Poskitt & Farshid Vahid & Wenying Yao, 2014.
"Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations,"
Monash Econometrics and Business Statistics Working Papers
22/14, Monash University, Department of Econometrics and Business Statistics.
- George Athanasopoulos & Donald S. Poskitt & Farshid Vahid & Wenying Yao, 2016. "Determination of Long‐run and Short‐run Dynamics in EC‐VARMA Models via Canonical Correlations," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(6), pages 1100-1119, September.
- Yao, Wenying & Kam, Timothy & Vahid, Farshid, 2014. "VAR(MA), what is it good for? more bad news for reduced-form estimation and inference," Working Papers 2014-14, University of Tasmania, Tasmanian School of Business and Economics.
- Athanasopouolos, George & Poskitt, Don & Vahid, Farshid & Yao, Wenying, 2014. "Forecasting with EC-VARMA models," Working Papers 2014-07, University of Tasmania, Tasmanian School of Business and Economics, revised 22 Feb 2014.
- D.S. Poskitt & Wenying Yao, 2012. "VAR Modeling and Business Cycle Analysis: A Taxonomy of Errors," Monash Econometrics and Business Statistics Working Papers 11/12, Monash University, Department of Econometrics and Business Statistics.
Articles
- Cheng, Tingting & Liu, Fei & Liu, Junli & Yao, Wenying, 2024. "Tail connectedness: Measuring the volatility connectedness network of equity markets during crises," Pacific-Basin Finance Journal, Elsevier, vol. 87(C).
- Lars Winkelmann & Wenying Yao, 2024.
"Tests for Jumps in Yield Spreads,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(3), pages 946-957, July.
- Winkelmann, Lars & Yao, Wenying, 2021. "Tests for jumps in yield spreads," Discussion Papers 2021/15, Free University Berlin, School of Business & Economics.
- Lars Winkelmann & Wenying Yao, 2023. "Tests for Jumps in Yield Spreads," Berlin School of Economics Discussion Papers 0024, Berlin School of Economics.
- Gomis-Porqueras Pedro & Rafiq Shuddhasattwa & Yao Wenying, 2023.
"The impact of forward guidance and large-scale asset purchase programs on commodity markets,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 27(4), pages 519-551, September.
- Gomis-Porqueras, Pedro & Rafiq, Shuddhasattwa & Yao, Wenying, 2020. "The Impact of Forward Guidance and Large-scale Asset Purchase Programs on Commodity Markets," MPRA Paper 102781, University Library of Munich, Germany.
- Mardi Dungey & Jet Holloway & Abdullah Yalaman & Wenying Yao, 2022. "Characterizing financial crises using high-frequency data," Quantitative Finance, Taylor & Francis Journals, vol. 22(4), pages 743-760, April.
- Cheng, Tingting & Xing, Shuo & Yao, Wenying, 2022. "An examination of herding behaviour of the Chinese mutual funds: A time-varying perspective," Pacific-Basin Finance Journal, Elsevier, vol. 74(C).
- Cheng, Tingting & Liu, Junli & Yao, Wenying & Zhao, Albert Bo, 2022. "The impact of COVID-19 pandemic on the volatility connectedness network of global stock market," Pacific-Basin Finance Journal, Elsevier, vol. 71(C).
- Martin, Vance L. & Tang, Chrismin & Yao, Wenying, 2021. "Forecasting the volatility of asset returns: The informational gains from option prices," International Journal of Forecasting, Elsevier, vol. 37(2), pages 862-880.
- Koo, Bonsoo & Anderson, Heather M. & Seo, Myung Hwan & Yao, Wenying, 2020. "High-dimensional predictive regression in the presence of cointegration," Journal of Econometrics, Elsevier, vol. 219(2), pages 456-477.
- Dinesh Gajurel & Mardi Dungey & Wenying Yao & Nagaratnam Jeyasreedharan, 2020. "Jump Risk in the US Financial Sector," The Economic Record, The Economic Society of Australia, vol. 96(314), pages 331-349, September.
- Wenying Yao & Mardi Dungey & Vitali Alexeev, 2020. "Modelling Financial Contagion Using High Frequency Data," The Economic Record, The Economic Society of Australia, vol. 96(314), pages 314-330, September.
- Alexeev, Vitali & Urga, Giovanni & Yao, Wenying, 2019. "Asymmetric jump beta estimation with implications for portfolio risk management," International Review of Economics & Finance, Elsevier, vol. 62(C), pages 20-40.
- Martin, Vance L. & Tang, Chrismin & Yao, Wenying, 2018. "News and expected returns in East Asian equity markets: The RV-GARCHM model," Journal of Asian Economics, Elsevier, vol. 57(C), pages 36-52.
- Mohammad Abu Sayeed & Mardi Dungey & Wenying Yao, 2018.
"High-frequency Characterisation of Indian Banking Stocks,"
Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(2_suppl), pages 213-238, August.
- Sayaeed, Mohammad Abu & Dungey, Mardi & Yao, Wenying, 2015. "High frequency characterization of Indian banking stocks," Working Papers 2015-04, University of Tasmania, Tasmanian School of Business and Economics.
- Alexeev, Vitali & Dungey, Mardi & Yao, Wenying, 2017. "Time-varying continuous and jump betas: The role of firm characteristics and periods of stress," Journal of Empirical Finance, Elsevier, vol. 40(C), pages 1-19.
- D. S. Poskitt & Wenying Yao, 2017. "Vector Autoregressions and Macroeconomic Modeling: An Error Taxonomy," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(3), pages 407-419, July.
- Yao, Wenying & Kam, Timothy & Vahid, Farshid, 2017. "On weak identification in structural VARMA models," Economics Letters, Elsevier, vol. 156(C), pages 1-6.
- George Athanasopoulos & Donald S. Poskitt & Farshid Vahid & Wenying Yao, 2016.
"Determination of Long‐run and Short‐run Dynamics in EC‐VARMA Models via Canonical Correlations,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(6), pages 1100-1119, September.
- George Athanasopoulos & D.S. Poskitt & Farshid Vahid & Wenying Yao, 2014. "Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations," Monash Econometrics and Business Statistics Working Papers 22/14, Monash University, Department of Econometrics and Business Statistics.
- Vitali Alexeev & Mardi Dungey & Wenying Yao, 2016. "Continuous and Jump Betas: Implications for Portfolio Diversification," Econometrics, MDPI, vol. 4(2), pages 1-15, June.
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Gomis-Porqueras, Pedro & Rafiq, Shuddhasattwa & Yao, Wenying, 2020.
"The Impact of Forward Guidance and Large-scale Asset Purchase Programs on Commodity Markets,"
MPRA Paper
102781, University Library of Munich, Germany.
- Gomis-Porqueras Pedro & Rafiq Shuddhasattwa & Yao Wenying, 2023. "The impact of forward guidance and large-scale asset purchase programs on commodity markets," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 27(4), pages 519-551, September.
Cited by:
- Escalante, Luis & Mamboundou, Pierre, 2024. "Adapting fiscal strategies to energy and food price shocks in Portugal," Economic Analysis and Policy, Elsevier, vol. 82(C), pages 651-665.
- George Athanasopoulos & D.S. Poskitt & Farshid Vahid & Wenying Yao, 2014.
"Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations,"
Monash Econometrics and Business Statistics Working Papers
22/14, Monash University, Department of Econometrics and Business Statistics.
- George Athanasopoulos & Donald S. Poskitt & Farshid Vahid & Wenying Yao, 2016. "Determination of Long‐run and Short‐run Dynamics in EC‐VARMA Models via Canonical Correlations," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(6), pages 1100-1119, September.
Cited by:
- Mengheng Li & Ivan Mendieta-Munoz, 2019.
"The multivariate simultaneous unobserved components model and identification via heteroskedasticity,"
Working Paper Series
2019/08, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
- Ivan Mendieta-Munoz & Mengheng Li, 2019. "The Multivariate Simultaneous Unobserved Compenents Model and Identification via Heteroskedasticity," Working Paper Series, Department of Economics, University of Utah 2019_06, University of Utah, Department of Economics.
- D.S. Poskitt & Wenying Yao, 2012.
"VAR Modeling and Business Cycle Analysis: A Taxonomy of Errors,"
Monash Econometrics and Business Statistics Working Papers
11/12, Monash University, Department of Econometrics and Business Statistics.
Cited by:
- Benjamin Wong & Varang Wiriyawit, 2015.
"Structural VARs, deterministic and stochastic trends: Does detrending matter?,"
Reserve Bank of New Zealand Discussion Paper Series
DP2015/02, Reserve Bank of New Zealand.
- Wiriyawit Varang & Wong Benjamin, 2016. "Structural VARs, deterministic and stochastic trends: how much detrending matters for shock identification," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(2), pages 141-157, April.
- Varang Wiriyawit & Benjamin Wong, 2014. "Structural VARs, Deterministic and Stochastic Trends: Does Detrending Matter?," CAMA Working Papers 2014-46, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Eickmeier, Sandra & Ng, Tim, 2011.
"How do credit supply shocks propagate internationally? A GVAR approach,"
Discussion Paper Series 1: Economic Studies
2011,27, Deutsche Bundesbank.
- Eickmeier, Sandra & Ng, Tim, 2011. "How Do Credit Supply Shocks Propagate Internationally? A GVAR approach," CEPR Discussion Papers 8720, C.E.P.R. Discussion Papers.
- Eickmeier, Sandra & Ng, Tim, 2015. "How do US credit supply shocks propagate internationally? A GVAR approach," European Economic Review, Elsevier, vol. 74(C), pages 128-145.
- Soccorsi, Stefano, 2016.
"Measuring nonfundamentalness for structural VARs,"
Journal of Economic Dynamics and Control, Elsevier, vol. 71(C), pages 86-101.
- Stefano Soccorsi, 2016. "Measuring Nonfundamentalness for Structural VARs," Working Papers ECARES ECARES 2016-01, ULB -- Universite Libre de Bruxelles.
- Chan, Joshua C.C. & Eisenstat, Eric & Koop, Gary, 2014.
"Large Bayesian VARMAs,"
SIRE Discussion Papers
2015-06, Scottish Institute for Research in Economics (SIRE).
- Joshua Chan & Eric Eisenstat & Gary Koop, 2015. "Large Bayesian VARMAs," Working Paper series 15-36, Rimini Centre for Economic Analysis.
- Chan, Joshua C.C. & Eisenstat, Eric & Koop, Gary, 2016. "Large Bayesian VARMAs," Journal of Econometrics, Elsevier, vol. 192(2), pages 374-390.
- Joshua C.C. Chan & Eric Eisenstat & Gary Koop, 2014. "Large Bayesian VARMAs," Working Paper series 40_14, Rimini Centre for Economic Analysis.
- Joshua C C Chan & Eric Eisenstat & Gary Koop, 2014. "Large Bayesian VARMAs," Working Papers 1409, University of Strathclyde Business School, Department of Economics.
- Benjamin Wong & Varang Wiriyawit, 2015.
"Structural VARs, deterministic and stochastic trends: Does detrending matter?,"
Reserve Bank of New Zealand Discussion Paper Series
DP2015/02, Reserve Bank of New Zealand.
Articles
- Gomis-Porqueras Pedro & Rafiq Shuddhasattwa & Yao Wenying, 2023.
"The impact of forward guidance and large-scale asset purchase programs on commodity markets,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 27(4), pages 519-551, September.
See citations under working paper version above.
- Gomis-Porqueras, Pedro & Rafiq, Shuddhasattwa & Yao, Wenying, 2020. "The Impact of Forward Guidance and Large-scale Asset Purchase Programs on Commodity Markets," MPRA Paper 102781, University Library of Munich, Germany.
- Cheng, Tingting & Xing, Shuo & Yao, Wenying, 2022.
"An examination of herding behaviour of the Chinese mutual funds: A time-varying perspective,"
Pacific-Basin Finance Journal, Elsevier, vol. 74(C).
Cited by:
- Cui, Yueting & Gavriilidis, Konstantinos & Gebka, Bartosz & Kallinterakis, Vasileios, 2024. "Numerological superstitions and market-wide herding: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 93(C).
- Xing, Shuo & Cheng, Tingting & Sun, Shuanglin, 2024. "Do investors herd under global crises? A comparative study between Chinese and the United States stock markets," Finance Research Letters, Elsevier, vol. 62(PA).
- Liang Wang & Yuanfei Wang & Bixiao Li, 2023. "The influence of the social networks of fund managers on the herding behavior of SIFs in China," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-14, December.
- Cheng, Tingting & Liu, Junli & Yao, Wenying & Zhao, Albert Bo, 2022.
"The impact of COVID-19 pandemic on the volatility connectedness network of global stock market,"
Pacific-Basin Finance Journal, Elsevier, vol. 71(C).
Cited by:
- Ouyang, Zisheng & Zhou, Xuewei & Lu, Min & Liu, Ke, 2024. "Imported financial risk in global stock markets: Evidence from the interconnected network," Research in International Business and Finance, Elsevier, vol. 69(C).
- Mei-jun, Ling & Guang-xi, Cao, 2024. "Dynamics of asymmetric multifractal cross-correlations between cryptocurrencies and global stock markets: Role of gold and portfolio implications," Chaos, Solitons & Fractals, Elsevier, vol. 182(C).
- Yang, Jie & Feng, Yun, 2023. "Market inefficiency spillover network across different regimes," Finance Research Letters, Elsevier, vol. 58(PC).
- Nupur Moni Das & Bhabani Sankar Rout & Yashmin Khatun, 2023. "Does G7 Engross the Shock of COVID 19: An Assessment with Market Volatility?," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(4), pages 795-816, December.
- Al-Nassar, Nassar S. & Yousaf, Imran & Makram, Beljid, 2023. "Spillovers between positively and negatively affected service sectors from the COVID-19 health crisis: Implications for portfolio management," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
- Yuan, Ying & Wang, Haiying & Jin, Xiu, 2022. "Pandemic-driven financial contagion and investor behavior: Evidence from the COVID-19," International Review of Financial Analysis, Elsevier, vol. 83(C).
- Al-Shboul, Mohammad & Assaf, Ata & Mokni, Khaled, 2023. "Does economic policy uncertainty drive the dynamic spillover among traditional currencies and cryptocurrencies? The role of the COVID-19 pandemic," Research in International Business and Finance, Elsevier, vol. 64(C).
- Masagus M. Ridhwan & Solikin M. Juhro & Affandi Ismail & Peter Nijkamp & Kelvin Ramadhan Hidayat, 2024. "Did COVID-19 Disrupt the Stock Market Return and Volatility? A Meta-Analytic Approach," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 27(1), pages 25-82, March.
- Xing, Shuo & Cheng, Tingting & Sun, Shuanglin, 2024. "Do investors herd under global crises? A comparative study between Chinese and the United States stock markets," Finance Research Letters, Elsevier, vol. 62(PA).
- Pham, Son Duy & Nguyen, Thao Thac Thanh & Do, Hung Xuan, 2023. "Natural gas and the utility sector nexus in the U.S.: Quantile connectedness and portfolio implications," Energy Economics, Elsevier, vol. 120(C).
- Mariem Gaies & Walid Chkili, 2023. "Dynamic correlation and hedging strategy between Bitcoin prices and stock market during the Russo-Ukrainian war," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 13(2), pages 307-319, June.
- Mbarki, Imen & Omri, Abdelwahed & Naeem, Muhammad Abubakr, 2022. "From sentiment to systemic risk: Information transmission in Asia-Pacific stock markets," Research in International Business and Finance, Elsevier, vol. 63(C).
- Yener, Coskun & Akinsomi, Omokolade & Gil-Alana, Luis A. & Yaya, OlaOluwa S, 2023. "Stock Market Responses to COVID-19: The Behaviors of Mean Reversion, Dependence and Persistence," MPRA Paper 117002, University Library of Munich, Germany.
- Di, Michael & Xu, Ke, 2022. "COVID-19 vaccine and post-pandemic recovery: Evidence from Bitcoin cross-asset implied volatility spillover," Finance Research Letters, Elsevier, vol. 50(C).
- Yousaf, Imran & Hunjra, Ahmed Imran & Alshater, Muneer M. & Bouri, Elie & Li, Yanshuang, 2023. "Multidimensional connectedness among the volatility of global financial markets around the Russian-Ukrainian conflict," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
- Martin, Vance L. & Tang, Chrismin & Yao, Wenying, 2021.
"Forecasting the volatility of asset returns: The informational gains from option prices,"
International Journal of Forecasting, Elsevier, vol. 37(2), pages 862-880.
Cited by:
- Wu, Xinyu & Zhao, An & Liu, Li, 2023. "Forecasting VIX using two-component realized EGARCH model," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
- Koo, Bonsoo & Anderson, Heather M. & Seo, Myung Hwan & Yao, Wenying, 2020.
"High-dimensional predictive regression in the presence of cointegration,"
Journal of Econometrics, Elsevier, vol. 219(2), pages 456-477.
Cited by:
- Chaohua Dong & Jiti Gao & Bin Peng & Yundong Tu, 2023.
"Robust M-Estimation for Additive Single-Index Cointegrating Time Series Models,"
Monash Econometrics and Business Statistics Working Papers
2/23, Monash University, Department of Econometrics and Business Statistics.
- Chaohua Dong & Jiti Gao & Yundong Tu & Bin Peng, 2023. "Robust M-Estimation for Additive Single-Index Cointegrating Time Series Models," Papers 2301.06631, arXiv.org.
- Mei, Ziwei & Shi, Zhentao, 2024. "On LASSO for high dimensional predictive regression," Journal of Econometrics, Elsevier, vol. 242(2).
- Lee, Ji Hyung & Shi, Zhentao & Gao, Zhan, 2022.
"On LASSO for predictive regression,"
Journal of Econometrics, Elsevier, vol. 229(2), pages 322-349.
- Ji Hyung Lee & Zhentao Shi & Zhan Gao, 2018. "On LASSO for Predictive Regression," Papers 1810.03140, arXiv.org, revised Feb 2021.
- Zhan Gao & Ji Hyung Lee & Ziwei Mei & Zhentao Shi, 2024. "Econometric Inference for High Dimensional Predictive Regressions," Papers 2409.10030, arXiv.org, revised Nov 2024.
- Fan, Rui & Lee, Ji Hyung & Shin, Youngki, 2023.
"Predictive quantile regression with mixed roots and increasing dimensions: The ALQR approach,"
Journal of Econometrics, Elsevier, vol. 237(2).
- Rui Fan & Ji Hyung Lee & Youngki Shin, 2021. "Predictive Quantile Regression with Mixed Roots and Increasing Dimensions: The ALQR Approach," Papers 2101.11568, arXiv.org, revised Dec 2022.
- Shi, Zhentao & Huang, Jingyi, 2023. "Forward-selected panel data approach for program evaluation," Journal of Econometrics, Elsevier, vol. 234(2), pages 512-535.
- Ziwei Mei & Zhentao Shi, 2022. "On LASSO for High Dimensional Predictive Regression," Papers 2212.07052, arXiv.org, revised Jan 2024.
- Christis Katsouris, 2023. "High Dimensional Time Series Regression Models: Applications to Statistical Learning Methods," Papers 2308.16192, arXiv.org.
- Etienne Wijler, 2022. "A restricted eigenvalue condition for unit-root non-stationary data," Papers 2208.12990, arXiv.org.
- Chaohua Dong & Jiti Gao & Bin Peng & Yundong Tu, 2021. "Multiple-index Nonstationary Time Series Models: Robust Estimation Theory and Practice," Papers 2111.02023, arXiv.org.
- Tu, Yundong & Xie, Xinling, 2023. "Penetrating sporadic return predictability," Journal of Econometrics, Elsevier, vol. 237(1).
- Ricardo P. Masini & Marcelo C. Medeiros & Eduardo F. Mendes, 2023.
"Machine learning advances for time series forecasting,"
Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 76-111, February.
- Ricardo P. Masini & Marcelo C. Medeiros & Eduardo F. Mendes, 2020. "Machine Learning Advances for Time Series Forecasting," Papers 2012.12802, arXiv.org, revised Apr 2021.
- Zhou, Weilun & Gao, Jiti & Harris, David & Kew, Hsein, 2024. "Semi-parametric single-index predictive regression models with cointegrated regressors," Journal of Econometrics, Elsevier, vol. 238(1).
- David Neto, 2023. "Penalized leads-and-lags cointegrating regression: a simulation study and two empirical applications," Empirical Economics, Springer, vol. 65(2), pages 949-971, August.
- Zhan Gao & Hyungsik Roger Moon, 2024. "Robust Estimation of Regression Models with Potentially Endogenous Outliers via a Modern Optimization Lens," Papers 2408.03930, arXiv.org.
- Chaohua Dong & Jiti Gao & Bin Peng & Yundong Tu, 2021. "Multiple-index Nonstationary Time Series Models: Robust Estimation Theory and Practice," Monash Econometrics and Business Statistics Working Papers 18/21, Monash University, Department of Econometrics and Business Statistics.
- Chaohua Dong & Jiti Gao & Bin Peng & Yundong Tu, 2023.
"Robust M-Estimation for Additive Single-Index Cointegrating Time Series Models,"
Monash Econometrics and Business Statistics Working Papers
2/23, Monash University, Department of Econometrics and Business Statistics.
- Dinesh Gajurel & Mardi Dungey & Wenying Yao & Nagaratnam Jeyasreedharan, 2020.
"Jump Risk in the US Financial Sector,"
The Economic Record, The Economic Society of Australia, vol. 96(314), pages 331-349, September.
Cited by:
- Dinesh Gajurel & Biplob Chowdhury, 2021. "Realized Volatility, Jump and Beta: evidence from Canadian Stock Market," Applied Economics, Taylor & Francis Journals, vol. 53(55), pages 6376-6397, November.
- Wenying Yao & Mardi Dungey & Vitali Alexeev, 2020.
"Modelling Financial Contagion Using High Frequency Data,"
The Economic Record, The Economic Society of Australia, vol. 96(314), pages 314-330, September.
Cited by:
- Mardi Dungey & Jet Holloway & Abdullah Yalaman & Wenying Yao, 2022. "Characterizing financial crises using high-frequency data," Quantitative Finance, Taylor & Francis Journals, vol. 22(4), pages 743-760, April.
- Alexeev, Vitali & Urga, Giovanni & Yao, Wenying, 2019.
"Asymmetric jump beta estimation with implications for portfolio risk management,"
International Review of Economics & Finance, Elsevier, vol. 62(C), pages 20-40.
Cited by:
- Gajurel, Dinesh & Chowdhury, Biplob, 2020. "Realized volatility, jump and beta: evidence from Canadian stock market," Working Papers 2020-11, University of Tasmania, Tasmanian School of Business and Economics.
- Jie-Cao He & Hsing-Hua Chang & Ting-Fu Chen & Shih-Kuei Lin, 2023. "Upside and downside correlated jump risk premia of currency options and expected returns," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-58, December.
- Azra Zaimovic & Adna Omanovic & Almira Arnaut-Berilo, 2021. "How Many Stocks Are Sufficient for Equity Portfolio Diversification? A Review of the Literature," JRFM, MDPI, vol. 14(11), pages 1-30, November.
- Dinesh Gajurel & Biplob Chowdhury, 2021. "Realized Volatility, Jump and Beta: evidence from Canadian Stock Market," Applied Economics, Taylor & Francis Journals, vol. 53(55), pages 6376-6397, November.
- Mardi Dungey & Jet Holloway & Abdullah Yalaman & Wenying Yao, 2022. "Characterizing financial crises using high-frequency data," Quantitative Finance, Taylor & Francis Journals, vol. 22(4), pages 743-760, April.
- Srivastava, Pranjal & Jacob, Joshy, 2022. "Arbitrage constraints and behaviour of volatility components: Evidence from a natural experiment," IIMA Working Papers WP 2022-10-01, Indian Institute of Management Ahmedabad, Research and Publication Department.
- Reis, Pedro Nogueira & Pinto, António Pedro Soares, 2024. "Unlocking portfolio resilient and persistent risk: A holistic approach to unveiling potential grounds," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
- Alexeev, Vitali & Dungey, Mardi & Yao, Wenying, 2017.
"Time-varying continuous and jump betas: The role of firm characteristics and periods of stress,"
Journal of Empirical Finance, Elsevier, vol. 40(C), pages 1-19.
Cited by:
- Tim Bollerslev & Jia Li & Leonardo Salim Saker Chaves, 2021. "Generalized Jump Regressions for Local Moments," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(4), pages 1015-1025, October.
- Richard Mawulawoe Ahadzie & Nagaratnam Jeyasreedharan, 2024. "Higher‐order moments and asset pricing in the Australian stock market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 64(1), pages 75-128, March.
- Mohammad Abu Sayeed & Mardi Dungey & Wenying Yao, 2018.
"High-frequency Characterisation of Indian Banking Stocks,"
Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(2_suppl), pages 213-238, August.
- Sayaeed, Mohammad Abu & Dungey, Mardi & Yao, Wenying, 2015. "High frequency characterization of Indian banking stocks," Working Papers 2015-04, University of Tasmania, Tasmanian School of Business and Economics.
- Gajurel, Dinesh & Chowdhury, Biplob, 2020. "Realized volatility, jump and beta: evidence from Canadian stock market," Working Papers 2020-11, University of Tasmania, Tasmanian School of Business and Economics.
- Wenying Yao & Mardi Dungey & Vitali Alexeev, 2020. "Modelling Financial Contagion Using High Frequency Data," The Economic Record, The Economic Society of Australia, vol. 96(314), pages 314-330, September.
- Chowdhury, Biplob & Jeyasreedharan, Nagaratnam & Dungey, Mardi, 2018.
"Quantile relationships between standard, diffusion and jump betas across Japanese banks,"
Journal of Asian Economics, Elsevier, vol. 59(C), pages 29-47.
- Chowdhury, Biplob & Jeyasreedharan, Nagaratnam & Dungey, Mardi, 2017. "Quantile relationships between standard, diffusion and jump betas across Japanese banks," Working Papers 2017-10, University of Tasmania, Tasmanian School of Business and Economics.
- Usman Arief & Zaäfri Ananto Husodo, 2021. "Private Information from Extreme Price Movements (Empirical Evidences from Southeast Asia Countries)," International Symposia in Economic Theory and Econometrics, in: Recent Developments in Asian Economics International Symposia in Economic Theory and Econometrics, volume 28, pages 221-242, Emerald Group Publishing Limited.
- Shabir A A Saleem & Peter N Smith & Abdullah Yalaman, 2021.
"Analysis of systematic risk around firm-specific news in an emerging market using high frequency data,"
CAMA Working Papers
2021-35, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Shabir A.A. Saleem & Peter N. Smith & Abdullah Yalaman, 2020. "Analysis of Systematic Risk around Firm-specific News in an Emerging Market using High Frequency Data," Discussion Papers 20/09, Department of Economics, University of York.
- Leong, Minhao & Kwok, Simon, 2023. "The pricing of jump and diffusive risks in the cross-section of cryptocurrency returns," Journal of Empirical Finance, Elsevier, vol. 74(C).
- Markus Pelger, 2020. "Understanding Systematic Risk: A High‐Frequency Approach," Journal of Finance, American Finance Association, vol. 75(4), pages 2179-2220, August.
- Dinesh Gajurel & Biplob Chowdhury, 2021. "Realized Volatility, Jump and Beta: evidence from Canadian Stock Market," Applied Economics, Taylor & Francis Journals, vol. 53(55), pages 6376-6397, November.
- Mardi Dungey & Jet Holloway & Abdullah Yalaman & Wenying Yao, 2022. "Characterizing financial crises using high-frequency data," Quantitative Finance, Taylor & Francis Journals, vol. 22(4), pages 743-760, April.
- Dinesh Gajurel & Mardi Dungey & Wenying Yao & Nagaratnam Jeyasreedharan, 2020. "Jump Risk in the US Financial Sector," The Economic Record, The Economic Society of Australia, vol. 96(314), pages 331-349, September.
- Mohamed Arouri & Oussama M’saddek & Kuntara Pukthuanthong, 2017.
"Jump risk premia across major international equity markets,"
Post-Print
hal-02083723, HAL.
- Arouri, Mohamed & M’saddek, Oussama & Pukthuanthong, Kuntara, 2019. "Jump risk premia across major international equity markets," Journal of Empirical Finance, Elsevier, vol. 52(C), pages 1-21.
- Markus Bibinger & Nikolaus Hautsch & Alexander Ristig, 2024. "Jump detection in high-frequency order prices," Papers 2403.00819, arXiv.org.
- Vitali Alexeev & Mardi Dungey & Wenying Yao, 2016. "Continuous and Jump Betas: Implications for Portfolio Diversification," Econometrics, MDPI, vol. 4(2), pages 1-15, June.
- Lioui, Abraham & Tarelli, Andrea, 2020. "Factor Investing for the Long Run," Journal of Economic Dynamics and Control, Elsevier, vol. 117(C).
- Chowdhury, Biplob & Jeyasreedharan, Nagaratnam, 2019. "An empirical examination of the jump and diffusion aspects of asset pricing: Japanese evidence," Working Papers 2019-02, University of Tasmania, Tasmanian School of Business and Economics.
- Bollerslev, Tim & Li, Sophia Zhengzi & Todorov, Viktor, 2016. "Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns," Journal of Financial Economics, Elsevier, vol. 120(3), pages 464-490.
- D. S. Poskitt & Wenying Yao, 2017.
"Vector Autoregressions and Macroeconomic Modeling: An Error Taxonomy,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(3), pages 407-419, July.
Cited by:
- Bernd Funovits, 2020. "Identifiability and Estimation of Possibly Non-Invertible SVARMA Models: A New Parametrisation," Papers 2002.04346, arXiv.org, revised Feb 2021.
- Adrian Pagan & Tim Robinson, 2019. "Implications of Partial Information for Applied Macroeconomic Modelling," Melbourne Institute Working Paper Series wp2019n12, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- Paccagnini, Alessia, 2017. "Dealing with Misspecification in DSGE Models: A Survey," MPRA Paper 82914, University Library of Munich, Germany.
- Bernd Funovits, 2019. "Identification and Estimation of SVARMA models with Independent and Non-Gaussian Inputs," Papers 1910.04087, arXiv.org.
- Adrian Pagan & Michael Wickens, 2019.
"Checking if the straitjacket fits,"
CAMA Working Papers
2019-81, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Wickens, Michael R. & Pagan, Adrian, 2019. "Checking if the Straitjacket Fits," CEPR Discussion Papers 14140, C.E.P.R. Discussion Papers.
- Yao, Wenying & Kam, Timothy & Vahid, Farshid, 2014. "VAR(MA), what is it good for? more bad news for reduced-form estimation and inference," Working Papers 2014-14, University of Tasmania, Tasmanian School of Business and Economics.
- Benati, Luca & Chan, Joshua & Eisenstat, Eric & Koop, Gary, 2020.
"Identifying noise shocks,"
Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
- Joshua Chan & Luca Benati & Eric Eisenstat & Gary Koop, 2018. "Identifying Noise Shocks," Working Paper Series 41, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
- Funovits, Bernd, 2024. "Identifiability and estimation of possibly non-invertible SVARMA Models: The normalised canonical WHF parametrisation," Journal of Econometrics, Elsevier, vol. 241(2).
- Angelini, Giovanni & Sorge, Marco M., 2021.
"Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks,"
Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
- Giovanni Angelini & Marco M. Sorge, 2021. "Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks," Working Papers wp1160, Dipartimento Scienze Economiche, Universita' di Bologna.
- Yao, Wenying & Kam, Timothy & Vahid, Farshid, 2017.
"On weak identification in structural VARMA models,"
Economics Letters, Elsevier, vol. 156(C), pages 1-6.
Cited by:
- Funovits, Bernd, 2024. "Identifiability and estimation of possibly non-invertible SVARMA Models: The normalised canonical WHF parametrisation," Journal of Econometrics, Elsevier, vol. 241(2).
- George Athanasopoulos & Donald S. Poskitt & Farshid Vahid & Wenying Yao, 2016.
"Determination of Long‐run and Short‐run Dynamics in EC‐VARMA Models via Canonical Correlations,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(6), pages 1100-1119, September.
See citations under working paper version above.
- George Athanasopoulos & D.S. Poskitt & Farshid Vahid & Wenying Yao, 2014. "Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations," Monash Econometrics and Business Statistics Working Papers 22/14, Monash University, Department of Econometrics and Business Statistics.
- Vitali Alexeev & Mardi Dungey & Wenying Yao, 2016.
"Continuous and Jump Betas: Implications for Portfolio Diversification,"
Econometrics, MDPI, vol. 4(2), pages 1-15, June.
Cited by:
- Mohammad Abu Sayeed & Mardi Dungey & Wenying Yao, 2018.
"High-frequency Characterisation of Indian Banking Stocks,"
Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(2_suppl), pages 213-238, August.
- Sayaeed, Mohammad Abu & Dungey, Mardi & Yao, Wenying, 2015. "High frequency characterization of Indian banking stocks," Working Papers 2015-04, University of Tasmania, Tasmanian School of Business and Economics.
- Gajurel, Dinesh & Chowdhury, Biplob, 2020. "Realized volatility, jump and beta: evidence from Canadian stock market," Working Papers 2020-11, University of Tasmania, Tasmanian School of Business and Economics.
- Bilel Sanhaji & Julien Chevallier, 2023.
"Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum,"
Econometrics, MDPI, vol. 11(3), pages 1-36, August.
- Bilel Sanhaji & Julien Chevallier, 2023. "Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum," Post-Print hal-04218488, HAL.
- Bilel Sanhaji & Julien Chevallier, 2023. "Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum," Post-Print halshs-04250353, HAL.
- Dinesh Gajurel & Biplob Chowdhury, 2021. "Realized Volatility, Jump and Beta: evidence from Canadian Stock Market," Applied Economics, Taylor & Francis Journals, vol. 53(55), pages 6376-6397, November.
- Pankaj Agrrawal & Faye W. Gilbert & Jason Harkins, 2022. "Time Dependence of CAPM Betas on the Choice of Interval Frequency and Return Timeframes: Is There an Optimum?," JRFM, MDPI, vol. 15(11), pages 1-18, November.
- Mohammad Abu Sayeed & Mardi Dungey & Wenying Yao, 2018.
"High-frequency Characterisation of Indian Banking Stocks,"
Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(2_suppl), pages 213-238, August.
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NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 9 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.- NEP-ECM: Econometrics (5) 2012-05-02 2014-11-28 2016-01-29 2021-11-15 2024-12-09. Author is listed
- NEP-ETS: Econometric Time Series (5) 2012-05-02 2014-11-28 2016-01-29 2016-01-29 2024-12-09. Author is listed
- NEP-MAC: Macroeconomics (4) 2020-09-28 2020-11-16 2021-11-15 2024-12-09
- NEP-CBA: Central Banking (3) 2020-09-28 2020-11-16 2024-12-09
- NEP-MST: Market Microstructure (3) 2016-01-29 2016-01-29 2021-11-15
- NEP-FOR: Forecasting (2) 2014-11-28 2016-01-29
- NEP-MON: Monetary Economics (2) 2020-09-28 2024-12-09
- NEP-ORE: Operations Research (2) 2016-01-29 2021-11-15
- NEP-BAN: Banking (1) 2016-01-29
- NEP-CFN: Corporate Finance (1) 2016-01-29
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