Wenying Yao
Names
Identifer
Contact
Affiliations
-
University of Melbourne
/ Melbourne Business School
Research profile
author of:
- Tests for Jumps in Yield Spreads (RePEc:bdp:dpaper:0024)
by Lars Winkelmann & Wenying Yao - Modelling Financial Contagion Using High Frequency Data (RePEc:bla:ecorec:v:96:y:2020:i:314:p:314-330)
by Wenying Yao & Mardi Dungey & Vitali Alexeev - Jump Risk in the US Financial Sector (RePEc:bla:ecorec:v:96:y:2020:i:314:p:331-349)
by Dinesh Gajurel & Mardi Dungey & Wenying Yao & Nagaratnam Jeyasreedharan - The impact of forward guidance and large-scale asset purchase programs on commodity markets (RePEc:bpj:sndecm:v:27:y:2023:i:4:p:519-551:n:8)
by Gomis-Porqueras Pedro & Rafiq Shuddhasattwa & Yao Wenying - News and expected returns in East Asian equity markets: The RV-GARCHM model (RePEc:eee:asieco:v:57:y:2018:i:c:p:36-52)
by Martin, Vance L. & Tang, Chrismin & Yao, Wenying - On weak identification in structural VARMA models (RePEc:eee:ecolet:v:156:y:2017:i:c:p:1-6)
by Yao, Wenying & Kam, Timothy & Vahid, Farshid - High-dimensional predictive regression in the presence of cointegration (RePEc:eee:econom:v:219:y:2020:i:2:p:456-477)
by Koo, Bonsoo & Anderson, Heather M. & Seo, Myung Hwan & Yao, Wenying - Time-varying continuous and jump betas: The role of firm characteristics and periods of stress (RePEc:eee:empfin:v:40:y:2017:i:c:p:1-19)
by Alexeev, Vitali & Dungey, Mardi & Yao, Wenying - Forecasting the volatility of asset returns: The informational gains from option prices (RePEc:eee:intfor:v:37:y:2021:i:2:p:862-880)
by Martin, Vance L. & Tang, Chrismin & Yao, Wenying - The impact of COVID-19 pandemic on the volatility connectedness network of global stock market (RePEc:eee:pacfin:v:71:y:2022:i:c:s0927538x21001852)
by Cheng, Tingting & Liu, Junli & Yao, Wenying & Zhao, Albert Bo - An examination of herding behaviour of the Chinese mutual funds: A time-varying perspective (RePEc:eee:pacfin:v:74:y:2022:i:c:s0927538x22001159)
by Cheng, Tingting & Xing, Shuo & Yao, Wenying - Asymmetric jump beta estimation with implications for portfolio risk management (RePEc:eee:reveco:v:62:y:2019:i:c:p:20-40)
by Alexeev, Vitali & Urga, Giovanni & Yao, Wenying - Continuous and Jump Betas: Implications for Portfolio Diversification (RePEc:gam:jecnmx:v:4:y:2016:i:2:p:27-:d:71231)
by Vitali Alexeev & Mardi Dungey & Wenying Yao - VAR Modeling and Business Cycle Analysis: A Taxonomy of Errors (RePEc:msh:ebswps:2012-11)
by D.S. Poskitt & Wenying Yao - Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations (RePEc:msh:ebswps:2014-22)
by George Athanasopoulos & D.S. Poskitt & Farshid Vahid & Wenying Yao - The Impact of Forward Guidance and Large-scale Asset Purchase Programs on Commodity Markets (RePEc:pra:mprapa:102781)
by Gomis-Porqueras, Pedro & Rafiq, Shuddhasattwa & Yao, Wenying - High-frequency Characterisation of Indian Banking Stocks (RePEc:sae:emffin:v:17:y:2018:i:2_suppl:p:s213-s238)
by Mohammad Abu Sayeed & Mardi Dungey & Wenying Yao - Vector Autoregressions and Macroeconomic Modeling: An Error Taxonomy (RePEc:taf:jnlbes:v:35:y:2017:i:3:p:407-419)
by D. S. Poskitt & Wenying Yao - Characterizing financial crises using high-frequency data (RePEc:taf:quantf:v:22:y:2022:i:4:p:743-760)
by Mardi Dungey & Jet Holloway & Abdullah Yalaman & Wenying Yao - Forecasting with EC-VARMA models (RePEc:tas:wpaper:17835)
by Athanasopouolos, George & Poskitt, Don & Vahid, Farshid & Yao, Wenying - VAR(MA), what is it good for? more bad news for reduced-form estimation and inference (RePEc:tas:wpaper:18749)
by Yao, Wenying & Kam, Timothy & Vahid, Farshid - High frequency characterization of Indian banking stocks (RePEc:tas:wpaper:22661)
by Sayaeed, Mohammad Abu & Dungey, Mardi & Yao, Wenying - The role of intra-day volatility pattern in jump detection: empirical evidence on how financial markets respond to macroeconomic news announcements (RePEc:tas:wpaper:22662)
by Yao, Wenying & Tian, Jing - Determination of Long‐run and Short‐run Dynamics in EC‐VARMA Models via Canonical Correlations (RePEc:wly:japmet:v:31:y:2016:i:6:p:1100-1119)
by George Athanasopoulos & Donald S. Poskitt & Farshid Vahid & Wenying Yao - Cojump anchoring (RePEc:zbw:fubsbe:202017)
by Winkelmann, Lars & Yao, Wenying - Tests for jumps in yield spreads (RePEc:zbw:fubsbe:202115)
by Winkelmann, Lars & Yao, Wenying