9
H index
9
i10 index
310
Citations
Minxian Yang : Citation Profile
UNSW Sydney | RESEARCH PRODUCTION: 26 Articles 15 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
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:
|
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 (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2024 | Inference 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 |
| 2024 | . Full description at Econpapers || Download paper |
| 2023 | Transmission 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 |
| 2023 | Impulse response function analysis for Markov switching var models. (2023). Cavicchioli, Maddalena. In: Economics Letters. RePEc:eee:ecolet:v:232:y:2023:i:c:s0165176523003828. Full description at Econpapers || Download paper |
| 2023 | Moments, 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 |
| 2024 | Stabilizing global foreign exchange markets in the time of COVID-19: The role of vaccinations. (2024). Li, Xiao-Ming ; Thanh, Thao Thac ; Pham, Son Duy. In: Global Finance Journal. RePEc:eee:glofin:v:59:y:2024:i:c:s1044028323001187. Full description at Econpapers || Download paper |
| 2023 | A 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 |
| 2024 | (Structural) VAR models with ignored changes in mean and volatility. (2024). Salish, Nazarii ; Demetrescu, Matei. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:840-854. Full description at Econpapers || Download paper |
| 2023 | Price 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 |
| 2023 | Information 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 |
| 2023 | Price 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 |
| 2024 | No safe haven, only diversification and contagion — Intraday evidence around the COVID-19 pandemic. (2024). Zhou, Yinggang ; Lin, Juan ; Bei, Zeyun. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:143:y:2024:i:c:s0261560624000561. Full description at Econpapers || Download paper |
| 2023 | Statistical 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 |
| 2024 | A matrix unified framework for deriving various impulse responses in Markov switching VAR: Evidence from oil and gas markets. (2024). Cavicchioli, Maddalena. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:29:y:2024:i:c:s1703494923000610. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Changing 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 |
| 2023 | Structural 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:
| Year | Title | Type | Cited |
|---|---|---|---|
| 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 | 21 |
| 2011 | Volatility Feedback and Risk Premium in GARCH Models with Generalized Hyperbolic Distributions In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 5 |
| 2000 | SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS In: Econometric Theory. [Full Text][Citation analysis] | article | 31 |
| 2016 | Inference in Partially Identified Heteroskedastic Simultaneous Equations Models In: Discussion Papers of DIW Berlin. [Full Text][Citation analysis] | paper | 1 |
| 2020 | Inference 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 | |
| 2016 | Inference in Partially Identified Heteroskedastic Simultaneous Equations Models.(2016) In: Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | 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 | 1 |
| 2015 | How well does the weighted price contribution measure price discovery? In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 12 |
| 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 nother 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 nother 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 nother 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 | 9 |
| 2012 | On the Risk Return Relationship..(2012) In: Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | 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 | 30 |
| 2009 | Asymmetric volatility in the foreign exchange markets In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 52 |
| 2015 | Endogenous crisis dating and contagion using smooth transition structural GARCH In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 60 |
| 2012 | Endogenous crisis dating and contagion using smooth transition structural GARCH.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 60 | paper | |
| 2012 | Endogenous 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: 60 | 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 nother 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 | 14 |
| 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 nother version. Agregated cites: 14 | 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 | 2 |
| 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 | 15 |
| 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 | 3 |
| 2000 | BOOK REVIEWS In: Journal of the Asia Pacific Economy. [Full Text][Citation analysis] | article | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team