Minxian Yang : Citation Profile


Are you Minxian Yang?

UNSW Sydney

9

H index

9

i10 index

294

Citations

RESEARCH PRODUCTION:

27

Articles

15

Papers

RESEARCH ACTIVITY:

   28 years (1992 - 2020). See details.
   Cites by year: 10
   Journals where Minxian Yang has often published
   Relations with other researchers
   Recent citing documents: 11.    Total self citations: 14 (4.55 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pya233
   Updated: 2024-01-16    RAS profile: 2020-11-16    
   Missing citations? Add them    Incorrect content? Let us know

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:

Lütkepohl, Helmut (12)

Wang, Jianxin (9)

Woodford, Michael (7)

Adam, Klaus (7)

Antonakakis, Nikolaos (4)

Nguyen, Duc Khuong (4)

Netšunajev, Aleksei (4)

Doko Tchatoka, Firmin (4)

Schumacher, Christian (3)

Shintani, Mototsugu (3)

Bauwens, Luc (3)

Cites to:

Bollerslev, Tim (26)

Andersen, Torben (20)

Phillips, Peter (15)

Diebold, Francis (14)

Beine, Michel (10)

Johansen, Soren (9)

Hansen, Bruce (9)

Laurent, Sébastien (9)

Lunde, Asger (8)

Dufour, Jean-Marie (8)

Campbell, John (8)

Main data


Where Minxian Yang has published?


Journals with more than one article published# docs
Economics Letters4
Journal of Econometrics3
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 (2024 and 2023)


YearTitle of citing document
2023Inference on common trends in functional time series. (2023). Seo, Won-Ki ; Nielsen, Morten Orregaard ; Seong, Dakyung. In: Papers. RePEc:arx:papers:2312.00590.

Full description at Econpapers || Download paper

2023Transmission of the 2007–2008 financial crisis in advanced countries of the European Union. (2023). Tomczak, Kamila. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:1:p:40-64.

Full description at Econpapers || Download paper

2023Moments, shocks and spillovers in Markov-switching VAR models. (2023). Kole, Erik ; van Dijk, Dick. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:2:s0304407623001902.

Full description at Econpapers || Download paper

2023A multifractal model of asset (in)variances. (2023). Grobys, Klaus. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000355.

Full description at Econpapers || Download paper

2023Price discovery in equity markets: A state-dependent analysis of spot and futures markets. (2023). Schweikert, Karsten ; Kuck, Konstantin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:149:y:2023:i:c:s037842662300033x.

Full description at Econpapers || Download paper

2023Information shares for markets with partially overlapping trading hours. (2023). Schweikert, Karsten ; Dimpfl, Thomas. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001681.

Full description at Econpapers || Download paper

2023Price discovery and triangular arbitrage in currency markets. (2023). Chen, Yu-Lun ; Gau, Yin-Feng ; Wu, Zhen-Xing. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623001134.

Full description at Econpapers || Download paper

2023Statistical analysis of Markov switching vector autoregression models with endogenous explanatory variables. (2023). Cavicchioli, Maddalena. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:196:y:2023:i:c:s0047259x23000106.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023Changing vulnerability in Asia: contagion and spillovers. (2023). Volkov, Vladimir ; Dungey, Mardi ; Kangogo, Moses. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:5:d:10.1007_s00181-022-02322-5.

Full description at Econpapers || Download paper

2023Structural VAR and financial networks: A minimum distance approach to spatial modeling. (2023). Scida, Daniela. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:38:y:2023:i:1:p:49-68.

Full description at Econpapers || Download paper

Works by Minxian Yang:


YearTitleTypeCited
2008Nonlinear Time Series Analysis ? by Holdger Kantz and Thomas Schreiber In: The Economic Record.
[Full Text][Citation analysis]
article0
2014Commodity Price, Carry Trade, and the Volatility and Liquidity of Asian Currencies In: The World Economy.
[Full Text][Citation analysis]
article0
2013On Identifying Structural VAR Models via ARCH Effects In: Journal of Time Series Econometrics.
[Full Text][Citation analysis]
article17
2011Volatility Feedback and Risk Premium in GARCH Models with Generalized Hyperbolic Distributions In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
article4
2000SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS In: Econometric Theory.
[Full Text][Citation analysis]
article28
2016Inference in Partially Identified Heteroskedastic Simultaneous Equations Models In: Discussion Papers of DIW Berlin.
[Full Text][Citation analysis]
paper1
2020Inference in partially identified heteroskedastic simultaneous equations models.(2020) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1
article
2016Inference in Partially Identified Heteroskedastic Simultaneous Equations Models.(2016) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1
paper
2004Normal Log-normal Mixture: Leptokurtosis, Skewness and Applications In: Econometric Society 2004 Australasian Meetings.
[Full Text][Citation analysis]
paper3
2002Lag length and mean break in stationary VAR models In: Econometrics Journal.
[Full Text][Citation analysis]
article6
2019The risk return relationship: Evidence from index returns and realised variances In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article1
2015How well does the weighted price contribution measure price discovery? In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article11
1995Moving average conditional heteroskedastic processes In: Economics Letters.
[Full Text][Citation analysis]
article8
1992Moving Average Conditional Heterscedastic Processes..(1992) In: New South Wales - School of Economics.
[Citation analysis]
This paper has nother version. Agregated cites: 8
paper
1996On cointegration tests for VAR models with drift In: Economics Letters.
[Full Text][Citation analysis]
article5
1995On Cointegration Test for VAR Models with Drift..(1995) In: New South Wales - School of Economics.
[Citation analysis]
This paper has nother version. Agregated cites: 5
paper
1998On identifying permanent and transitory shocks in VAR models In: Economics Letters.
[Full Text][Citation analysis]
article9
1995On Identifying Permanent and Transitory Shocks in VAR Models..(1995) In: New South Wales - School of Economics.
[Citation analysis]
This paper has nother version. Agregated cites: 9
paper
2001Closed-form likelihood function of Markov-switching models In: Economics Letters.
[Full Text][Citation analysis]
article0
1994Comparison of Box--Tiao and Johansen canonical estimators of cointegrating vectors in VEC(1) models In: Journal of Econometrics.
[Full Text][Citation analysis]
article16
1998System estimators of cointegrating matrix in absence of normalising information In: Journal of Econometrics.
[Full Text][Citation analysis]
article1
2013On the risk return relationship In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article9
2012On the Risk Return Relationship..(2012) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9
paper
2011Housewives of Tokyo versus the gnomes of Zurich: Measuring price discovery in sequential markets In: Journal of Financial Markets.
[Full Text][Citation analysis]
article30
2009Asymmetric volatility in the foreign exchange markets In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]
article46
2015Endogenous crisis dating and contagion using smooth transition structural GARCH In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article59
2012Endogenous crisis dating and contagion using smooth transition structural GARCH.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 59
paper
2012Endogenous Crisis Dating and Contagion Using Smooth Transition Structural GARCH.(2012) In: Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 59
paper
1995Testing for cointegration: the effects of mis-specifying the lag length In: Mathematics and Computers in Simulation (MATCOM).
[Full Text][Citation analysis]
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 nother version. Agregated cites: 6
paper
1993Testing for Cointegration within the Box-Tiao Procedure. In: New South Wales - School of Economics.
[Citation analysis]
paper0
1995Econopmic growth and Risk in R&D. In: New South Wales - School of Economics.
[Citation analysis]
paper0
1996On the Size and Power of System Tests for Cointegration. In: New South Wales - School of Economics.
[Citation analysis]
paper14
1998On The Size And Power Of System Tests For Cointegration.(1998) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14
article
2006A hybrid forecasting approach for piece-wise stationary time series In: Journal of Forecasting.
[Full Text][Citation analysis]
article0
2017Effects of idiosyncratic shocks on macroeconomic time series In: Empirical Economics.
[Full Text][Citation analysis]
article2
2014The Risk Return Relationship: Evidence from Index Return and Realised Variance Series In: Discussion Papers.
[Full Text][Citation analysis]
paper0
2014Binary Choice Model with Endogeneity: Identification via Heteroskedasticity In: Discussion Papers.
[Full Text][Citation analysis]
paper0
2008Normal log-normal mixture, leptokurtosis and skewness In: Applied Economics Letters.
[Full Text][Citation analysis]
article15
2014Normality of Posterior Distribution Under Misspecification and Nonsmoothness, and Bayes Factor for Davies Problem In: Econometric Reviews.
[Full Text][Citation analysis]
article0
2018Simultaneous Equation Systems With Heteroscedasticity: Identification, Estimation, and Stock Price Elasticities In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article3
2000BOOK REVIEWS In: Journal of the Asia Pacific Economy.
[Full Text][Citation analysis]
article0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 10 2023. Contact: CitEc Team