5
H index
2
i10 index
56
Citations
University of Melbourne | 5 H index 2 i10 index 56 Citations RESEARCH PRODUCTION: 13 Articles 9 Papers RESEARCH ACTIVITY: 10 years (2012 - 2022). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pya365 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Wenying Yao. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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The Economic Record | 2 |
Year | Title of citing document |
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2023 | Robust M-Estimation for Additive Single-Index Cointegrating Time Series Models. (2023). GAO, Jiti ; Peng, Bin ; Tu, Yundong ; Dong, Chaohua. In: Papers. RePEc:arx:papers:2301.06631. Full description at Econpapers || Download paper |
2023 | High Dimensional Time Series Regression Models: Applications to Statistical Learning Methods. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.16192. Full description at Econpapers || Download paper |
2023 | Forecasting VIX using two-component realized EGARCH model. (2023). Liu, LI ; Zhao, AN ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000578. Full description at Econpapers || Download paper |
2023 | Forward-selected panel data approach for program evaluation. (2023). Huang, Jingyi ; Shi, Zhentao. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:2:p:512-535. Full description at Econpapers || Download paper |
2023 | Natural gas and the utility sector nexus in the U.S.: Quantile connectedness and portfolio implications. (2023). Do, Hung ; Thanh, Thao Thac ; Pham, Son Duy. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001305. Full description at Econpapers || Download paper |
2023 | Spillovers between positively and negatively affected service sectors from the COVID-19 health crisis: Implications for portfolio management. (2023). Yousaf, Imran ; Makram, Beljid ; Al-Nassar, Nassar S. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:79:y:2023:i:c:s0927538x23000756. Full description at Econpapers || Download paper |
2023 | Does economic policy uncertainty drive the dynamic spillover among traditional currencies and cryptocurrencies? The role of the COVID-19 pandemic. (2023). Al-Shboul, Mohammad ; Mokni, Khaled ; Assaf, Ata. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002100. Full description at Econpapers || Download paper |
2023 | Does G7 Engross the Shock of COVID 19: An Assessment with Market Volatility?. (2023). Rout, Bhabani Sankar ; Das, Nupur Moni ; Khatun, Yashmin. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:30:y:2023:i:4:d:10.1007_s10690-023-09398-8. Full description at Econpapers || Download paper |
2023 | Robust M-Estimation for Additive Single-Index Cointegrating Time Series Models. (2023). Tu, Yundong ; Peng, Bin ; Gao, Jiti ; Dong, Chaohua. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2023-2. Full description at Econpapers || Download paper |
2023 | Stock Market Responses to COVID-19: The Behaviors of Mean Reversion, Dependence and Persistence. (2023). coskun, yener ; Yaya, Olaoluwa S ; Gil-Alana, Luis A ; Akinsomi, Omokolade ; Yener, Coskun. In: MPRA Paper. RePEc:pra:mprapa:117002. Full description at Econpapers || Download paper |
2023 | Penalized leads-and-lags cointegrating regression: a simulation study and two empirical applications. (2023). Neto, David. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:2:d:10.1007_s00181-023-02362-5. Full description at Econpapers || Download paper |
2023 | Dynamic correlation and hedging strategy between Bitcoin prices and stock market during the Russo-Ukrainian war. (2023). Chkili, Walid ; Gaies, Mariem. In: Eurasian Economic Review. RePEc:spr:eurase:v:13:y:2023:i:2:d:10.1007_s40822-023-00231-1. Full description at Econpapers || Download paper |
2023 | Upside and downside correlated jump risk premia of currency options and expected returns. (2023). Lin, Shih-Kuei ; Chen, Ting-Fu ; Chang, Hsing-Hua. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00493-3. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2020 | Modelling Financial Contagion Using High Frequency Data In: The Economic Record. [Full Text][Citation analysis] | article | 0 |
2020 | Jump Risk in the US Financial Sector In: The Economic Record. [Full Text][Citation analysis] | article | 1 |
2018 | News and expected returns in East Asian equity markets: The RV-GARCHM model In: Journal of Asian Economics. [Full Text][Citation analysis] | article | 0 |
2017 | On weak identification in structural VARMA models In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
2020 | High-dimensional predictive regression in the presence of cointegration In: Journal of Econometrics. [Full Text][Citation analysis] | article | 12 |
2017 | Time-varying continuous and jump betas: The role of firm characteristics and periods of stress In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 11 |
2021 | Forecasting the volatility of asset returns: The informational gains from option prices In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 1 |
2022 | The impact of COVID-19 pandemic on the volatility connectedness network of global stock market In: Pacific-Basin Finance Journal. [Full Text][Citation analysis] | article | 9 |
2019 | Asymmetric jump beta estimation with implications for portfolio risk management In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 5 |
2016 | Continuous and Jump Betas: Implications for Portfolio Diversification In: Econometrics. [Full Text][Citation analysis] | article | 2 |
2012 | VAR Modeling and Business Cycle Analysis: A Taxonomy of Errors In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] | paper | 5 |
2014 | Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] | paper | 2 |
2016 | Determination of Long?run and Short?run Dynamics in EC?VARMA Models via Canonical Correlations.(2016) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
2020 | The Impact of Forward Guidance and Large-scale Asset Purchase Programs on Commodity Markets In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
2018 | High-frequency Characterisation of Indian Banking Stocks In: Journal of Emerging Market Finance. [Full Text][Citation analysis] | article | 0 |
2015 | High frequency characterization of Indian banking stocks.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2017 | Vector Autoregressions and Macroeconomic Modeling: An Error Taxonomy In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 8 |
2014 | Forecasting with EC-VARMA models In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2014 | VAR(MA), what is it good for? more bad news for reduced-form estimation and inference In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2015 | The role of intra-day volatility pattern in jump detection: empirical evidence on how financial markets respond to macroeconomic news announcements In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | Cojump anchoring In: Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | Tests for jumps in yield spreads In: Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
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