9
H index
8
i10 index
229
Citations
Minxian Yang : Citation Profile
UNSW Sydney | RESEARCH PRODUCTION: 27 Articles 15 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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28 years (1992 - 2020). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Minxian Yang. | Is cited by:
| Cites to:
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Main data
Where Minxian Yang has published?
| Journals with more than one article published | # docs |
|---|---|
| Economics Letters | 4 |
| Journal of Econometrics | 3 |
| Journal of Economic Dynamics and Control | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Discussion Papers / School of Economics, The University of New South Wales | 4 |
Recent works citing Minxian Yang (2021 and 2020)
| Year | Title of citing document |
|---|---|
| 2020 | On Causal Networks of Financial Firms: Structural Identification via Non-parametric Heteroskedasticity. (2020). Hipp, Ruben. In: Staff Working Papers. RePEc:bca:bocawp:20-42. Full description at Econpapers || Download paper |
| 2021 | Structural Estimation of Time-Varying Spillovers: An Application to International Credit Risk Transmission. (2021). Arthur, Stalla-Bourdillon ; Lukas, Boeckelmann. In: Working papers. RePEc:bfr:banfra:798. Full description at Econpapers || Download paper |
| 2020 | Jump Risk in the US Financial Sector. (2020). Yao, Wenying ; Gajurel, Dinesh ; Jeyasreedharan, Nagaratnam ; Dungey, Mardi. In: The Economic Record. RePEc:bla:ecorec:v:96:y:2020:i:314:p:331-349. Full description at Econpapers || Download paper |
| 2020 | Robustly Optimal Monetary Policy in a New Keynesian Model with Housing. (2020). Woodford, Michael ; Adam, Klaus. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8127. Full description at Econpapers || Download paper |
| 2020 | Robustly Optimal Monetary Policy in a New Keynesian Model with Housing. (2020). Adam, Klaus ; Woodford, Michael. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14445. Full description at Econpapers || Download paper |
| 2020 | Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity. (2020). Woźniak, Tomasz ; Lütkepohl, Helmut ; Woniak, Tomasz ; Lutkepohl, Helmut. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300324. Full description at Econpapers || Download paper |
| 2020 | A mean-difference test based on self-normalization for alternating regime index data sets. (2020). Shin, Dong Wan ; Kim, Bo Gyeong. In: Economics Letters. RePEc:eee:ecolet:v:193:y:2020:i:c:s0165176519300072. Full description at Econpapers || Download paper |
| 2020 | Correlation and spillover effects between the US and international banking sectors: New evidence and implications for risk management. (2020). Tsuji, Chikashi. In: International Review of Financial Analysis. RePEc:eee:finana:v:70:y:2020:i:c:s1057521919302224. Full description at Econpapers || Download paper |
| 2020 | Spatial linkage of volatility spillovers and its explanation across G20 stock markets: A network framework. (2020). Zhuang, Xintian ; Zhang, Weiping ; Wang, Jian ; Lu, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521919305381. Full description at Econpapers || Download paper |
| 2020 | The influence of the COVID-19 pandemic on asset-price discovery: Testing the case of Chinese informational asymmetry. (2020). Oxley, Les ; Corbet, Shaen ; Hu, Yang ; Hou, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302040. Full description at Econpapers || Download paper |
| 2020 | Examining stress in Asian currencies: A perspective offered by high frequency financial market data. (2020). Treepongkaruna, Sirimon ; Matei, Marius ; Dungey, Mardi. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:67:y:2020:i:c:s1042443120300846. Full description at Econpapers || Download paper |
| 2020 | Are banking shocks contagious? Evidence from the eurozone. (2020). Lagoa-Varela, Dolores ; Flavin, Thomas J ; Dungey, Mardi. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426618301572. Full description at Econpapers || Download paper |
| 2020 | Is there a risk-return trade-off in cryptocurrency markets? The case of Bitcoin. (2020). , Walid. In: Journal of Economics and Business. RePEc:eee:jebusi:v:108:y:2020:i:c:s0148619519302206. Full description at Econpapers || Download paper |
| 2020 | David vs Goliath (You against the Markets), A dynamic programming approach to separate the impact and timing of trading costs. (2020). Kashyap, Ravi. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:545:y:2020:i:c:s0378437119316206. Full description at Econpapers || Download paper |
| 2020 | Whose trades move stock prices? Evidence from the Taiwan Stock Exchange. (2020). Lin, Zong-Wei ; Hung, Pi-Hsia ; Lien, Donald. In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:25-50. Full description at Econpapers || Download paper |
| 2021 | Conditional volatility persistence and volatility spillovers in the foreign exchange market. (2021). Su, Fei. In: Research in International Business and Finance. RePEc:eee:riibaf:v:55:y:2021:i:c:s0275531920301094. Full description at Econpapers || Download paper |
| 2020 | Shaking Stability: COVID-19 Impact on the Visegrad Group Countries’ Financial Markets. (2020). Laputkova, Adriana ; Beneova, Irena ; Kotyza, Pavel ; Wielechowski, Micha ; Czech, Katarzyna. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:15:p:6282-:d:394421. Full description at Econpapers || Download paper |
| 2020 | Invertibility and VAR Representations of Time-Varying Dynamic Stochastic General Equilibrium Models. (2020). Cavicchioli, Maddalena. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:1:d:10.1007_s10614-018-9877-7. Full description at Econpapers || Download paper |
| 2020 | Robustly Optimal Monetary Policy in a New Keynesian Model with Housing. (2020). Woodford, Michael ; Adam, Klaus. In: NBER Working Papers. RePEc:nbr:nberwo:26833. Full description at Econpapers || Download paper |
| 2020 | On the Stationarity of Futures Hedge Ratios. (2020). Degiannakis, Stavros ; Vougas, Dimitrios ; Salvador, Enrique ; Floros, Christos. In: MPRA Paper. RePEc:pra:mprapa:102907. Full description at Econpapers || Download paper |
| 2020 | A note on the asymptotic and exact Fisher information matrices of a Markov switching VARMA process. (2020). Cavicchioli, Maddalena. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:29:y:2020:i:1:d:10.1007_s10260-019-00472-y. Full description at Econpapers || Download paper |
| 2020 | Rwanda Currency Market Risk Analysis: Evidence From Asymmetry Effects. (2020). Diongue, Abdou K ; Uwilingiyimana, Charline. In: Journal of Statistical and Econometric Methods. RePEc:spt:stecon:v:9:y:2020:i:2:f:9_2_2. Full description at Econpapers || Download paper |
Works by Minxian Yang:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2008 | Nonlinear Time Series Analysis †by Holdger Kantz and Thomas Schreiber In: The Economic Record. [Full Text][Citation analysis] | article | 0 |
| 2014 | Commodity Price, Carry Trade, and the Volatility and Liquidity of Asian Currencies In: The World Economy. [Full Text][Citation analysis] | article | 0 |
| 2013 | On Identifying Structural VAR Models via ARCH Effects In: Journal of Time Series Econometrics. [Full Text][Citation analysis] | article | 15 |
| 2011 | Volatility Feedback and Risk Premium in GARCH Models with Generalized Hyperbolic Distributions In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2000 | SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS In: Econometric Theory. [Full Text][Citation analysis] | article | 21 |
| 2016 | Inference in Partially Identified Heteroskedastic Simultaneous Equations Models In: Discussion Papers of DIW Berlin. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Inference in partially identified heteroskedastic simultaneous equations models.(2020) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
| 2016 | Inference in Partially Identified Heteroskedastic Simultaneous Equations Models.(2016) In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2004 | Normal Log-normal Mixture: Leptokurtosis, Skewness and Applications In: Econometric Society 2004 Australasian Meetings. [Full Text][Citation analysis] | paper | 3 |
| 2002 | Lag length and mean break in stationary VAR models In: Econometrics Journal. [Full Text][Citation analysis] | article | 6 |
| 2019 | The risk return relationship: Evidence from index returns and realised variances In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 0 |
| 2015 | How well does the weighted price contribution measure price discovery? In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 8 |
| 1995 | Moving average conditional heteroskedastic processes In: Economics Letters. [Full Text][Citation analysis] | article | 8 |
| 1992 | Moving Average Conditional Heterscedastic Processes..(1992) In: New South Wales - School of Economics. [Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
| 1996 | On cointegration tests for VAR models with drift In: Economics Letters. [Full Text][Citation analysis] | article | 5 |
| 1995 | On Cointegration Test for VAR Models with Drift..(1995) In: New South Wales - School of Economics. [Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
| 1998 | On identifying permanent and transitory shocks in VAR models In: Economics Letters. [Full Text][Citation analysis] | article | 9 |
| 1995 | On Identifying Permanent and Transitory Shocks in VAR Models..(1995) In: New South Wales - School of Economics. [Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
| 2001 | Closed-form likelihood function of Markov-switching models In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
| 1994 | Comparison of Box--Tiao and Johansen canonical estimators of cointegrating vectors in VEC(1) models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 16 |
| 1998 | System estimators of cointegrating matrix in absence of normalising information In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2013 | On the risk return relationship In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 7 |
| 2012 | On the Risk Return Relationship..(2012) In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 2011 | Housewives of Tokyo versus the gnomes of Zurich: Measuring price discovery in sequential markets In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 21 |
| 2009 | Asymmetric volatility in the foreign exchange markets In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 37 |
| 2015 | Endogenous crisis dating and contagion using smooth transition structural GARCH In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 40 |
| 2012 | Endogenous crisis dating and contagion using smooth transition structural GARCH.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 40 | paper | |
| 2012 | Endogenous Crisis Dating and Contagion Using Smooth Transition Structural GARCH.(2012) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 40 | paper | |
| 1995 | Testing for cointegration: the effects of mis-specifying the lag length In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 6 |
| 1993 | Testing for Cointegration: The Effects of Mis-Specifying the Lag Length..(1993) In: New South Wales - School of Economics. [Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
| 1993 | Testing for Cointegration within the Box-Tiao Procedure. In: New South Wales - School of Economics. [Citation analysis] | paper | 0 |
| 1995 | Econopmic growth and Risk in R&D. In: New South Wales - School of Economics. [Citation analysis] | paper | 0 |
| 1996 | On the Size and Power of System Tests for Cointegration. In: New South Wales - School of Economics. [Citation analysis] | paper | 13 |
| 1998 | On The Size And Power Of System Tests For Cointegration.(1998) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | article | |
| 2006 | A hybrid forecasting approach for piece-wise stationary time series In: Journal of Forecasting. [Full Text][Citation analysis] | article | 0 |
| 2017 | Effects of idiosyncratic shocks on macroeconomic time series In: Empirical Economics. [Full Text][Citation analysis] | article | 1 |
| 2014 | The Risk Return Relationship: Evidence from Index Return and Realised Variance Series In: Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Binary Choice Model with Endogeneity: Identification via Heteroskedasticity In: Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Normal log-normal mixture, leptokurtosis and skewness In: Applied Economics Letters. [Full Text][Citation analysis] | article | 10 |
| 2014 | Normality of Posterior Distribution Under Misspecification and Nonsmoothness, and Bayes Factor for Davies Problem In: Econometric Reviews. [Full Text][Citation analysis] | article | 0 |
| 2018 | Simultaneous Equation Systems With Heteroscedasticity: Identification, Estimation, and Stock Price Elasticities In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 1 |
| 2000 | BOOK REVIEWS In: Journal of the Asia Pacific Economy. [Full Text][Citation analysis] | article | 0 |
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