Minxian Yang : Citation Profile


Are you Minxian Yang?

UNSW Sydney

8

H index

7

i10 index

204

Citations

RESEARCH PRODUCTION:

25

Articles

15

Papers

RESEARCH ACTIVITY:

   26 years (1992 - 2018). See details.
   Cites by year: 7
   Journals where Minxian Yang has often published
   Relations with other researchers
   Recent citing documents: 49.    Total self citations: 12 (5.56 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pya233
   Updated: 2020-04-04    RAS profile: 2019-10-16    
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Relations with other researchers


Works with:

Lütkepohl, Helmut (2)

Wang, Jianxin (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Minxian Yang.

Is cited by:

Lütkepohl, Helmut (11)

Wang, Jianxin (7)

Woodford, Michael (4)

Netšunajev, Aleksei (4)

Antonakakis, Nikolaos (3)

Adam, Klaus (3)

Dungey, Mardi (3)

Haug, Alfred (3)

Nguyen, Duc Khuong (3)

Shintani, Mototsugu (3)

Schlaak, Thore (3)

Cites to:

Bollerslev, Tim (19)

Andersen, Torben (15)

Phillips, Peter (14)

Diebold, Francis (10)

Johansen, Soren (9)

Hansen, Bruce (9)

Dufour, Jean-Marie (8)

Evans, Martin (8)

Beine, Michel (8)

Andrews, Donald (7)

Lyons, Richard (7)

Main data


Where Minxian Yang has published?


Journals with more than one article published# docs
Economics Letters4
Journal of Econometrics2
Journal of Economic Dynamics and Control2

Working Papers Series with more than one paper published# docs
Discussion Papers / School of Economics, The University of New South Wales4

Recent works citing Minxian Yang (2019 and 2018)


YearTitle of citing document
2019Combining Dimension Reduction, Distance Measures and Covariance. (2017). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1603.09060.

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2019A regime switching skew-normal model of contagion. (2019). Fry-McKibbin, Renee ; Chan, Joshua ; Yu-Ling, Hsiao Cody ; Renee, Fry-Mckibbin. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:23:y:2019:i:1:p:24:n:3.

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2018Swiss Franc from the Croatian Perspective. (2018). Bonjak, Mile . In: Journal of Central Banking Theory and Practice. RePEc:cbk:journl:v:7:y:2018:i:3:p:41-56.

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2018Leaning Against Housing Prices as Robustly Optimal Monetary Policy. (2018). Woodford, Michael ; Adam, Klaus. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7071.

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2020Robustly Optimal Monetary Policy in a New Keynesian Model with Housing. (2020). Woodford, Michael ; Adam, Klaus. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8127.

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2018Leaning Against Housing Prices as Robustly Optimal Monetary Policy. (2018). Woodford, Michael ; Adam, Klaus. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12937.

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2017Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis. (2017). Schlaak, Thore ; Lütkepohl, Helmut ; Lutkepohl, Helmut. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1672.

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2018Bootstrapping Impulse Responses of Structural Vector Autoregressive Models Identified through GARCH. (2018). Schlaak, Thore ; Lütkepohl, Helmut ; Lutkepohl, Helmut. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1750.

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2018Call auction frequency and market quality: Evidence from the Taiwan Stock Exchange. (2018). Wang, Jianxin ; Twu, Mia. In: Journal of Asian Economics. RePEc:eee:asieco:v:57:y:2018:i:c:p:53-62.

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2019Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH. (2019). Schlaak, Thore ; Lütkepohl, Helmut ; Lutkepohl, Helmut. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:101:y:2019:i:c:p:41-61.

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2017Structural vector autoregressions with heteroskedasticity: A review of different volatility models. (2017). Lütkepohl, Helmut ; Netunajev, Aleksei ; Lutkepohl, Helmut. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:2-18.

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2018Trading places: Price leadership and the competition for order flow. (2018). Ibikunle, Gbenga. In: Journal of Empirical Finance. RePEc:eee:empfin:v:49:y:2018:i:c:p:178-200.

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2019The changing network of financial market linkages: The Asian experience. (2019). Volkov, Vladimir ; Sayeed, Mohammad Abu ; Kangogo, Moses ; Dungey, Mardi ; Chowdhury, Biplob. In: International Review of Financial Analysis. RePEc:eee:finana:v:64:y:2019:i:c:p:71-92.

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2019Day-of-the-week effects in financial contagion. (2019). Gebka, Bartosz ; Anderson, Robert ; Sewraj, Deeya. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:221-226.

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2018Identifying contagion: A unifying approach. (2018). Gebka, Bartosz ; Robert, ; Sewraj, Deeya. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:55:y:2018:i:c:p:224-240.

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2018Monetary policy uncertainty and the market reaction to macroeconomic news. (2018). Kurov, Alexander ; Stan, Raluca. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:86:y:2018:i:c:p:127-142.

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2019Integration and risk contagion in financial crises: Evidence from international stock markets. (2019). Vortelinos, Dimitrios I ; Tsagkanos, Athanasios ; Gkillas, Konstantinos. In: Journal of Business Research. RePEc:eee:jbrese:v:104:y:2019:i:c:p:350-365.

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2017Asymptotic Fisher information matrix of Markov switching VARMA models. (2017). Cavicchioli, Maddalena. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:157:y:2017:i:c:p:124-135.

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2018Global price discovery in the Australian dollar market and its determinants. (2018). Su, Fei ; Zhang, Jingjing. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:48:y:2018:i:c:p:35-55.

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2018The relationship between CSR and performance: Evidence in China. (2018). Kao, Erin H ; Fung, Hung-Gay ; Wang, Li-Hsun ; Yeh, Chih-Chuan. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:51:y:2018:i:c:p:155-170.

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2019The perfect marriage and much more: Combining dimension reduction, distance measures and covariance. (2019). Kashyap, Ravi. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:536:y:2019:i:c:s0378437119305631.

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2018Asymmetric and nonlinear inter-relations of US stock indices. (2018). Gkillas (Gillas), Konstantinos ; Svingou, Argyro ; Syriopoulos, Costas ; Vortelinos, Dimitrios. In: International Journal of Managerial Finance. RePEc:eme:ijmfpp:ijmf-02-2017-0018.

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2019Identifying shocks via time-varying volatility. (2019). Lewis, Daniel. In: Staff Reports. RePEc:fip:fednsr:871.

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2018Dynamic connectedness of global currencies: a conditional Granger-causality approach. (2018). Nguyen, Duc Khuong ; Martin, Franck ; Le, Tan. In: Working Papers. RePEc:hal:wpaper:hal-01806733.

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2018Vector Autoregressive Hierarchical Hidden Markov Models for Extracting Finger Movements Using Multichannel Surface EMG Signals. (2018). Antfolk, Christian ; Cipriani, Christian ; Controzzi, Marco ; Kanitz, Gunter ; Markovi, Dimitrije ; Maleevi, Neboja. In: Complexity. RePEc:hin:complx:9728264.

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2020Invertibility 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.

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2018Stock Market Contagion: a New Approach. (2018). Lyócsa, Štefan ; Horvath, Roman ; Lyocsa, Tefan. In: Open Economies Review. RePEc:kap:openec:v:29:y:2018:i:3:d:10.1007_s11079-018-9481-4.

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2019Portfolio benefits of adding corporate credit default swap indices: evidence from North America and Europe. (2019). Wengerek, Sascha Tobias ; Uhde, Andre ; Hippert, Benjamin. In: Review of Derivatives Research. RePEc:kap:revdev:v:22:y:2019:i:2:d:10.1007_s11147-018-9148-8.

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2019Convergence and Divergence Regarding the Impact of Risks on Banking Transactions. (2019). Bilcan, George Adrian ; Bratu, Ion Ionut ; Ghibanu, Ionut Adrian. In: Academic Journal of Economic Studies. RePEc:khe:scajes:v:5:y:2019:i:4:p:145-150.

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2018Financial Market Contagion and the Sovereign Debt Crisis: A Smooth Transition Approach. (2018). Amado, Cristina ; Martins, Susana . In: NIPE Working Papers. RePEc:nip:nipewp:08/2018.

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2018Change Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models. (2018). Barassi, Marco ; Zhao, Yuqian ; Horvath, Lajos. In: MPRA Paper. RePEc:pra:mprapa:87837.

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2018The Changing Network of Financial Market Linkages: The Asian Experience. (2018). Dungey, Mardi ; Volkov, Vladimir ; Sayeed, Mohammad Abu ; Kangogo, Moses ; Chowdhury, Biplob. In: ADB Economics Working Paper Series. RePEc:ris:adbewp:0558.

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2018Macroeconomic Structural Changes in a Leading Emerging Market: The Effects of the Asian Financial Crisis. (2018). Chun, Dohyun ; Ryu, Doojin ; Cho, Hoon. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2018:i:2:p:22-42.

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2018The role of contagion in the transmission of financial stress. (2018). Herculano, Miguel C. In: ESRB Working Paper Series. RePEc:srk:srkwps:201881.

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2019Investigating risk contagion initiated by endogenous liquidity shocks: evidence from the US and eurozone interbank markets. (2019). Wolfe, Simon ; Urquhart, Andrew ; Eross, Andrea . In: The European Journal of Finance. RePEc:taf:eurjfi:v:25:y:2019:i:1:p:35-53.

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2018Dynamic connectedness of global currencies: a conditional Granger-causality approach. (2018). Martin, Franck ; Nguyen, Duc K. In: Economics Working Paper Archive (University of Rennes 1 & University of Caen). RePEc:tut:cremwp:2018-04.

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2019Prudence and preference for flexibility gain. (2019). Danau, Daniel. In: Economics Working Paper Archive (University of Rennes 1 & University of Caen). RePEc:tut:cremwp:2018-05.

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2018Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market. (2018). Su, Fei. In: PhD Thesis. RePEc:uts:finphd:2-2018.

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2018Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market. (2018). Su, Fei. In: PhD Thesis. RePEc:uts:finphd:39.

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2019Essays on Price Discovery and Volatility Dynamics in Emerging Market Currencies. (2019). Xiao, Ran. In: PhD Thesis. RePEc:uts:finphd:5-2019.

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2019The impact of the US stock market opening on price discovery of government bond futures. (2019). Tse, Yiuman ; Jiao, Feng ; Indriawan, Ivan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:7:p:779-802.

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2019The evolution of price discovery in us equity and derivatives markets. (2019). Lian, Guanhua ; Kalev, Petko S ; Wallace, Damien. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:9:p:1122-1136.

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2018Improving portfolio diversification: Identifying the right baskets for putting your eggs. (2018). , Vipul ; Vipul, ; Sharma, Prateek. In: Managerial and Decision Economics. RePEc:wly:mgtdec:v:39:y:2018:i:6:p:698-711.

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2019Statistical identification in SVARs - Monte Carlo experiments and a comparative assessment of the role of economic uncertainties for the US business cycle. (2019). Maxand, Simone ; Lange, Alexander ; Herwartz, Helmut. In: Center for European, Governance and Economic Development Research Discussion Papers. RePEc:zbw:cegedp:375.

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2018Leaning against housing prices as robustly optimal monetary policy. (2018). Woodford, Michael ; Adam, Klaus. In: CFS Working Paper Series. RePEc:zbw:cfswop:601.

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2018Identification of Structural Vector Autoregressions by Stochastic Volatility. (2018). Braun, Robin ; Bertsche, Dominik. In: Annual Conference 2018 (Freiburg, Breisgau): Digital Economy. RePEc:zbw:vfsc18:181631.

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Works by Minxian Yang:


YearTitleTypeCited
2014Commodity Price, Carry Trade, and the Volatility and Liquidity of Asian Currencies In: The World Economy.
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article0
2013On Identifying Structural VAR Models via ARCH Effects In: Journal of Time Series Econometrics.
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article13
2011Volatility Feedback and Risk Premium in GARCH Models with Generalized Hyperbolic Distributions In: Studies in Nonlinear Dynamics & Econometrics.
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article1
2000SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS In: Econometric Theory.
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article18
2016Inference in Partially Identified Heteroskedastic Simultaneous Equations Models In: Discussion Papers of DIW Berlin.
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paper0
2016Inference in Partially Identified Heteroskedastic Simultaneous Equations Models.(2016) In: Discussion Papers.
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This paper has another version. Agregated cites: 0
paper
2004Normal Log-normal Mixture: Leptokurtosis, Skewness and Applications In: Econometric Society 2004 Australasian Meetings.
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paper3
2002Lag length and mean break in stationary VAR models In: Econometrics Journal.
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article6
2019The risk return relationship: Evidence from index returns and realised variances In: Journal of Economic Dynamics and Control.
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article0
2015How well does the weighted price contribution measure price discovery? In: Journal of Economic Dynamics and Control.
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article6
1995Moving average conditional heteroskedastic processes In: Economics Letters.
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article8
1992Moving Average Conditional Heterscedastic Processes..(1992) In: New South Wales - School of Economics.
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paper
1996On cointegration tests for VAR models with drift In: Economics Letters.
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article5
1995On Cointegration Test for VAR Models with Drift..(1995) In: New South Wales - School of Economics.
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This paper has another version. Agregated cites: 5
paper
1998On identifying permanent and transitory shocks in VAR models In: Economics Letters.
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article9
1995On Identifying Permanent and Transitory Shocks in VAR Models..(1995) In: New South Wales - School of Economics.
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2001Closed-form likelihood function of Markov-switching models In: Economics Letters.
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article0
1994Comparison of Box--Tiao and Johansen canonical estimators of cointegrating vectors in VEC(1) models In: Journal of Econometrics.
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article16
1998System estimators of cointegrating matrix in absence of normalising information In: Journal of Econometrics.
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article1
2013On the risk return relationship In: Journal of Empirical Finance.
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article5
2012On the Risk Return Relationship..(2012) In: Discussion Papers.
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2011Housewives of Tokyo versus the gnomes of Zurich: Measuring price discovery in sequential markets In: Journal of Financial Markets.
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article18
2009Asymmetric volatility in the foreign exchange markets In: Journal of International Financial Markets, Institutions and Money.
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article34
2015Endogenous crisis dating and contagion using smooth transition structural GARCH In: Journal of Banking & Finance.
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article32
2012Endogenous crisis dating and contagion using smooth transition structural GARCH.(2012) In: Working Papers.
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This paper has another version. Agregated cites: 32
paper
2012Endogenous Crisis Dating and Contagion Using Smooth Transition Structural GARCH.(2012) In: Research Paper Series.
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This paper has another version. Agregated cites: 32
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1995Testing for cointegration: the effects of mis-specifying the lag length In: Mathematics and Computers in Simulation (MATCOM).
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article6
1993Testing 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
1993Testing for Cointegration within the Box-Tiao Procedure. In: New South Wales - School of Economics.
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paper0
1995Econopmic growth and Risk in R&D. In: New South Wales - School of Economics.
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paper0
1996On the Size and Power of System Tests for Cointegration. In: New South Wales - School of Economics.
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paper14
1998On The Size And Power Of System Tests For Cointegration.(1998) In: The Review of Economics and Statistics.
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article
2006A hybrid forecasting approach for piece-wise stationary time series In: Journal of Forecasting.
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article0
2017Effects of idiosyncratic shocks on macroeconomic time series In: Empirical Economics.
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article1
2014The Risk Return Relationship: Evidence from Index Return and Realised Variance Series In: Discussion Papers.
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paper0
2014Binary Choice Model with Endogeneity: Identification via Heteroskedasticity In: Discussion Papers.
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2008Normal log-normal mixture, leptokurtosis and skewness In: Applied Economics Letters.
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article7
2014Normality of Posterior Distribution Under Misspecification and Nonsmoothness, and Bayes Factor for Davies Problem In: Econometric Reviews.
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article0
2018Simultaneous Equation Systems With Heteroscedasticity: Identification, Estimation, and Stock Price Elasticities In: Journal of Business & Economic Statistics.
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article1
2000BOOK REVIEWS In: Journal of the Asia Pacific Economy.
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article0

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