Wenying Yao
Cited by
Cited by
Time-varying continuous and jump betas: The role of firm characteristics and periods of stress
V Alexeev, M Dungey, W Yao
Journal of Empirical Finance 40, 1-19, 2017
Vector autoregressions and macroeconomic modeling: An error taxonomy
DS Poskitt, W Yao
Journal of business & economic statistics 35 (3), 407-419, 2017
High-frequency Characterisation of Indian Banking Stocks
MA Sayeed, M Dungey, W Yao
Journal of Emerging Market Finance 17 (2_suppl), S213-S238, 2018
Determination of Long‐run and Short‐run Dynamics in EC‐VARMA Models via Canonical Correlations
G Athanasopoulos, DS Poskitt, F Vahid, W Yao
Journal of Applied Econometrics 31 (6), 1100-1119, 2016
High-dimensional predictive regression in the presence of cointegration
B Koo, HM Anderson, MH Seo, W Yao
Journal of Econometrics 219 (2), 456-477, 2020
Continuous and Jump Betas: Implications for Portfolio Diversification
V Alexeev, M Dungey, W Yao
Econometrics 4 (2), 27, 2016
Asymmetric jump beta estimation with implications for portfolio risk management
V Alexeev, G Urga, W Yao
International Review of Economics & Finance 62, 20-40, 2019
Jump Risk in the US Financial Sector
D Gajurel, M Dungey, W Yao, N Jeyasreedharan
Economic Record 96 (314), 331-349, 2020
On weak identification in structural VARMA models
W Yao, T Kam, F Vahid
Economics Letters 156, 1-6, 2017
Forecasting the volatility of asset returns: The informational gains from option prices
VL Martin, C Tang, W Yao
International Journal of Forecasting 37 (2), 862-880, 2021
Do market-wide circuit breakers calm markets or panic them? Evidence from the COVID-19 pandemic
X Li, W Yao
Evidence from the COVID-19 pandemic (May 18, 2020), 2020
Cojump anchoring
L Winkelmann, W Yao
Available at SSRN 3720932, 2020
Modelling Financial Contagion Using High Frequency Data
W Yao, M Dungey, V Alexeev
Economic Record 96 (314), 314-330, 2020
News and expected returns in East Asian equity markets: The RV-GARCHM model
VL Martin, C Tang, W Yao
Journal of Asian Economics 57, 36-52, 2018
The role of intra-day volatility pattern in jump detection: empirical evidence on how financial markets respond to macroeconomic news announcements
W Yao, J Tian
University of Tasmania, 2015
VARMA Models and Macroeconomic Modelling: Some New Methodology and Algorithms
W Yao
Monash University, 2013
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