Minxian Yang : Citation Profile

Are you Minxian Yang?

UNSW Sydney

9

H index

8

i10 index

244

Citations

RESEARCH PRODUCTION:

27

Articles

15

Papers

RESEARCH ACTIVITY:

   28 years (1992 - 2020). See details.
   Cites by year: 8
   Journals where Minxian Yang has often published
   Relations with other researchers
   Recent citing documents: 36.    Total self citations: 13 (5.06 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pya233
   Updated: 2021-10-16    RAS profile: 2020-11-16    
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Relations with other researchers

Works with:

Milunovich, George (3)

Lütkepohl, Helmut (3)

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 (6)

Adam, Klaus (6)

Antonakakis, Nikolaos (4)

Netšunajev, Aleksei (4)

Rombouts, Jeroen (3)

Dungey, Mardi (3)

Bauwens, Luc (3)

Nguyen, Duc Khuong (3)

Yao, Wenying (3)

Cites to:

Bollerslev, Tim (20)

Andersen, Torben (15)

Phillips, Peter (15)

Diebold, Francis (10)

Johansen, Soren (9)

Hansen, Bruce (9)

Evans, Martin (8)

Beine, Michel (8)

Dufour, Jean-Marie (8)

Corsi, Fulvio (7)

Laurent, Sébastien (7)

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 (2021 and 2020)

YearTitle of citing document
2020On Causal Networks of Financial Firms: Structural Identification via Non-parametric Heteroskedasticity. (2020). Hipp, Ruben. In: Staff Working Papers. RePEc:bca:bocawp:20-42.

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2021Structural 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.

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2020Jump 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.

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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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2020Robustly Optimal Monetary Policy in a New Keynesian Model with Housing. (2020). Adam, Klaus ; Woodford, Michael. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14445.

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2021How did the asset markets change after the Global Financial Crisis?. (2021). Leung, Charles ; Ka, Charles ; Chang, Kuang-Liang. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2021_004.

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2021How did the asset markets change after the Global Financial Crisis?. (2021). Leung, Charles ; Chang, Kuang-Liang. In: ISER Discussion Paper. RePEc:dpr:wpaper:1124.

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2020Bayesian 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.

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2020A 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.

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2020Correlation 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.

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2020Spatial 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.

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2020The 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.

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2020Examining 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.

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2020Are 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.

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2020Is 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.

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2020David 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.

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2020Whose 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.

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2021Conditional 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.

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2021Artificial Intelligence: A Child’s Play. (2021). Kashyap, Ravi. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:166:y:2021:i:c:s0040162520313810.

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2020Shaking 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.

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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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2021Time-varying information share and autoregressive loading factors: evidence from S&P 500 cash and E-mini futures markets. (2021). Wen, Fenghua ; Li, Steven ; Hou, Yang. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:57:y:2021:i:1:d:10.1007_s11156-020-00940-7.

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2020Conditional Volatility Persistence and Realized Volatility Asymmetry: Evidence from the Chinese Stock Markets. (2020). Su, Fei ; Wang, Lei. In: Emerging Markets Finance and Trade. RePEc:mes:emfitr:v:56:y:2020:i:14:p:3252-3269.

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2020Robustly Optimal Monetary Policy in a New Keynesian Model with Housing. (2020). Woodford, Michael ; Adam, Klaus. In: NBER Working Papers. RePEc:nbr:nberwo:26833.

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2020On the Stationarity of Futures Hedge Ratios. (2020). Degiannakis, Stavros ; Vougas, Dimitrios ; Salvador, Enrique ; Floros, Christos. In: MPRA Paper. RePEc:pra:mprapa:102907.

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2021Estimating the Dynamics of Household Waste Management in Turkey. (2021). Petrescu, Mihai ; Bilcan, Florentina-Raluca ; Oncioiu, Ionica ; Stoica, Dumitru-Alexandru. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2021:i:2:p:129-143.

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2021Volatility Behaviour of the Foreign Exchange Rate and Transmission Among Central and Eastern European Countries: Evidence from the EGARCH Model. (2021). Hung, Ngo Thai. In: Global Business Review. RePEc:sae:globus:v:22:y:2021:i:1:p:36-56.

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2021OLS Estimation of Markov switching VAR models: asymptotics and application to energy use. (2021). Cavicchioli, Maddalena. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:105:y:2021:i:3:d:10.1007_s10182-020-00383-4.

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2021A note on calculating expected shortfall for discrete time stochastic volatility models. (2021). Christou, Eliana ; Grabchak, Michael. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00254-0.

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2020A 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.

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2020Rwanda 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.

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2020Is there a risk and return relation?. (2020). , Suzanne ; McMillan, Fiona J. In: The European Journal of Finance. RePEc:taf:eurjfi:v:26:y:2020:i:11:p:1075-1101.

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2021Dynamic effects of network exposure on equity markets. (2021). Volkov, Vladimir ; Kangogo, Moses. In: Working Papers. RePEc:tas:wpaper:37326.

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2020Exchange-traded funds and FX volatility: Evidence from Turkey. (2020). Ekinci, Aykut ; Sakarya, Burchan . In: Central Bank Review. RePEc:tcb:cebare:v:20:y:2020:i:4:p:205-211.

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2020Essays on Modern Market Structure. (2020). Khomyn, Marta. In: PhD Thesis. RePEc:uts:finphd:2-2020.

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2021The impact of Euro through time: Exchange rate dynamics under different regimes. (2021). Chatziantoniou, Ioannis ; Antonakakis, Nikolaos ; Gabauer, David. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:1375-1408.

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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]		article15
2011Volatility Feedback and Risk Premium in GARCH Models with Generalized Hyperbolic Distributions In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article2
2000SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS In: Econometric Theory.
[Full Text][Citation analysis]		article21
2016Inference in Partially Identified Heteroskedastic Simultaneous Equations Models In: Discussion Papers of DIW Berlin.
[Full Text][Citation analysis]		paper0
2020Inference 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
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.
[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]		article0
2015How well does the weighted price contribution measure price discovery? In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article9
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 another 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 another 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 another 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]		article15
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]		article8
2012On the Risk Return Relationship..(2012) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		paper
2011Housewives of Tokyo versus the gnomes of Zurich: Measuring price discovery in sequential markets In: Journal of Financial Markets.
[Full Text][Citation analysis]		article24
2009Asymmetric volatility in the foreign exchange markets In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]		article41
2015Endogenous crisis dating and contagion using smooth transition structural GARCH In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article43
2012Endogenous crisis dating and contagion using smooth transition structural GARCH.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 43		paper
2012Endogenous 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: 43		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 another 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]		paper13
1998On The Size And Power Of System Tests For Cointegration.(1998) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
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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]		article1
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]		article12
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]		article2
2000BOOK REVIEWS In: Journal of the Asia Pacific Economy.
[Full Text][Citation analysis]		article0

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