Wenying Yao : Citation Profile

University of Melbourne

5

H index

3

i10 index

96

Citations

RESEARCH PRODUCTION:

18

Articles

11

Papers

RESEARCH ACTIVITY:

   12 years (2012 - 2024). See details.
   Cites by year: 8
   Journals where Wenying Yao has often published
   Relations with other researchers
   Recent citing documents: 29.    Total self citations: 8 (7.69 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pya365
   Updated: 2026-01-17    RAS profile: 2024-12-11    
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Relations with other researchers

Works with:

Gomis-Porqueras, Pedro (2)

Rafiq, Shuddhasattwa (2)

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

Is cited by:

Lee, Ji Hyung (4)

GAO, Jiti (4)

Gao, Zhan (3)

Funovits, Bernd (3)

Soccorsi, Stefano (2)

pagan, adrian (2)

Shin, Youngki (2)

Angelini, Giovanni (2)

Bollerslev, Tim (2)

Sorge, Marco (2)

Yousaf, Imran (2)

Cites to:

Bollerslev, Tim (50)

Diebold, Francis (33)

Andersen, Torben (27)

Ait-Sahalia, Yacine (15)

Neely, Christopher (15)

Hansen, Peter (15)

Campbell, John (15)

Poskitt, Donald (14)

Laurent, Sébastien (14)

Yilmaz, Kamil (13)

Davis, Steven (13)

Main data

Where Wenying Yao has published?

Journals with more than one article published# docs
Pacific-Basin Finance Journal3
The Economic Record2
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
Working Papers / University of Tasmania, Tasmanian School of Business and Economics4
Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics2
Discussion Papers / Free University Berlin, School of Business & Economics2

Recent works citing Wenying Yao (2025 and 2024)

YearTitle of citing document
2024On LASSO for High Dimensional Predictive Regression. (2024). Mei, Ziwei ; Shi, Zhentao. In: Papers. RePEc:arx:papers:2212.07052.

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2025Jump detection in high-frequency order prices. (2024). Hautsch, Nikolaus ; Bibinger, Markus ; Ristig, Alexander. In: Papers. RePEc:arx:papers:2403.00819.

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2024Robust Estimation of Regression Models with Potentially Endogenous Outliers via a Modern Optimization Lens. (2024). Gao, Zhan ; Moon, Hyungsik Roger. In: Papers. RePEc:arx:papers:2408.03930.

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2024Econometric Inference for High Dimensional Predictive Regressions. (2024). Lee, Ji Hyung ; Mei, Ziwei ; Shi, Zhentao ; Gao, Zhan. In: Papers. RePEc:arx:papers:2409.10030.

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2025Beyond the Oracle Property: Adaptive LASSO in Cointegrating Regressions. (2025). Schneider, Ulrike ; Reichold, Karsten. In: Papers. RePEc:arx:papers:2510.07204.

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2024Higher‐order moments and asset pricing in the Australian stock market. (2024). Ahadzie, Richard Mawulawoe ; Jeyasreedharan, Nagaratnam. In: Accounting and Finance. RePEc:bla:acctfi:v:64:y:2024:i:1:p:75-128.

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2025Spillover Nexus among Green Cryptocurrency, Sectoral Renewable Energy Equity Stock and Agricultural Commodity: Implications for Portfolio Diversification. (2025). Magdalena, Radulescu ; Parveen, Kumar ; Nicoleta, Dascalu ; Sharif, Mohd ; Rajbeer, Kaur. In: Economics - The Open-Access, Open-Assessment Journal. RePEc:bpj:econoa:v:19:y:2025:i:1:p:26:n:1001.

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2024Dynamics of asymmetric multifractal cross-correlations between cryptocurrencies and global stock markets: Role of gold and portfolio implications. (2024). Mei-Jun, Ling ; Guang-XI, Cao. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:182:y:2024:i:c:s0960077924002911.

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2024Adapting fiscal strategies to energy and food price shocks in Portugal. (2024). Mamboundou, Pierre ; Escalante, Luis. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:82:y:2024:i:c:p:651-665.

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2024Unlocking portfolio resilient and persistent risk: A holistic approach to unveiling potential grounds. (2024). Reis, Pedro Nogueira ; Soares, Antonio Pedro. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824001232.

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2025Imported risk in global financial markets: Evidence from cross-market connectedness. (2025). Ouyang, Zisheng ; Chen, Zhen ; Zhou, Xuewei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940825000142.

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2025Do US sectoral contagion and news-based economic policy uncertainty cause fear or greed behavior in Bitcoin investors?. (2025). Suleman, Muhammad Tahir ; Sheikh, Umaid A. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:78:y:2025:i:c:s1062940825000695.

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2024Semi-parametric single-index predictive regression models with cointegrated regressors. (2024). GAO, Jiti ; Zhou, Weilun ; Kew, Hsein ; Harris, David. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002932.

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2024Identifiability and estimation of possibly non-invertible SVARMA Models: The normalised canonical WHF parametrisation. (2024). Funovits, Bernd. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s030440762400112x.

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2024On LASSO for high dimensional predictive regression. (2024). Mei, Ziwei ; Shi, Zhentao. In: Journal of Econometrics. RePEc:eee:econom:v:242:y:2024:i:2:s0304407624001556.

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2025Are Latin American stock markets connected? Exploring spillovers and the impact of risk factors. (2025). Demir, Ender ; Assaf, Ata ; Al-Shboul, Mohammad ; Mokni, Khaled. In: Emerging Markets Review. RePEc:eee:ememar:v:65:y:2025:i:c:s1566014125000020.

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2025Dynamic financial connectedness among the US, China, and countries of the Belt and Road Initiative. (2025). Winkelried, Diego ; Bazn-Palomino, Walter. In: Emerging Markets Review. RePEc:eee:ememar:v:66:y:2025:i:c:s1566014125000354.

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2024Numerological superstitions and market-wide herding: Evidence from China. (2024). Gebka, Bartosz ; Cui, Yueting ; Kallinterakis, Vasileios ; Gavriilidis, Konstantinos. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001315.

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2024Do investors herd under global crises? A comparative study between Chinese and the United States stock markets. (2024). Cheng, Tingting ; Xing, Shuo ; Sun, Shuanglin. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001508.

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2024The impact of COVID-19 on global investor attention. (2024). Lu, Jia-Wen ; Lin, Zih-Ying. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:88:y:2024:i:c:s0927538x24002749.

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2025The evolution of herding behavior in stock markets: Evidence from a smooth time-varying analysis. (2025). Li, Xiaoyang ; Qiu, Liping ; Cheng, Tingting ; Xing, Shuo. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:90:y:2025:i:c:s0927538x25000010.

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2025Risk contagion network and characteristic measurement among international financial markets. (2025). Jiang, Yuanying ; Zhou, Donghai ; Chen, Binxia. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:92:y:2025:i:c:s0927538x25001039.

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2024Imported financial risk in global stock markets: Evidence from the interconnected network. (2024). Ouyang, Zisheng ; Zhou, Xuewei ; Lu, Min ; Liu, KE. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s027553192400093x.

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2025Extreme return connectedness among renewable energy and rare earth markets: The role of global factors. (2025). Charif, Husni ; al Daia, Roula ; Assaf, Ata ; Mokni, Khaled. In: Research in International Business and Finance. RePEc:eee:riibaf:v:77:y:2025:i:pb:s0275531925002351.

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2024Did COVID-19 Disrupt the Stock Market Return and Volatility? A Meta-Analytic Approach. (2024). Ridhwan, Masagus M ; Nijkamp, Peter ; Juhro, Solikin ; Hidayat, Kelvin Ramadhan ; Ismail, Affandi. In: Bulletin of Monetary Economics and Banking. RePEc:idn:journl:v:27:y:2024:i:1b:p:25-82.

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2025Economic Policy Uncertainty and Volatility Spillovers Among International Stock Market Indices During the COVID-19 Outbreak. (2025). Su, Fei ; Wang, Feifan ; Xu, Yahua. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:32:y:2025:i:1:d:10.1007_s10690-024-09452-z.

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2025Dynamic Connectivity and Contagion Risk Among Bank Stocks in Brazil. (2025). da Silva, Mairton Nogueira ; de Oliveira, Marcelo ; de Abreu, Daniel ; Tessmann, Mathias Schneid. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:2:d:10.1007_s10614-024-10740-z.

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2024Econometric and stochastic analysis of stock price before and during COVID-19 in India. (2024). Lingaraja, Kasilingam ; Duraisamy, Pandiaraja ; Madheswaran, Madhavan. In: Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development. RePEc:spr:endesu:v:26:y:2024:i:3:d:10.1007_s10668-023-03022-5.

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2024Market volatility and crisis dynamics: a comprehensive analysis of U.S., China, India, and Pakistan stock markets with oil and gold interconnections during COVID-19 and Russia–Ukraine war periods. (2024). Khan, Muhammad Niaz. In: Future Business Journal. RePEc:spr:futbus:v:10:y:2024:i:1:d:10.1186_s43093-024-00314-8.

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Works by Wenying Yao:

YearTitleTypeCited
2023Tests for Jumps in Yield Spreads In: Berlin School of Economics Discussion Papers.
[Full Text][Citation analysis]		paper0
2024Tests for Jumps in Yield Spreads.(2024) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2021Tests for jumps in yield spreads.(2021) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2020Modelling Financial Contagion Using High Frequency Data In: The Economic Record.
[Full Text][Citation analysis]		article0
2020Jump Risk in the US Financial Sector In: The Economic Record.
[Full Text][Citation analysis]		article1
2024A Constrained Dynamic Nelson-Siegel Model for Monetary Policy Analysis In: Working Papers.
[Full Text][Citation analysis]		paper0
2023The impact of forward guidance and large-scale asset purchase programs on commodity markets In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article1
2020The Impact of Forward Guidance and Large-scale Asset Purchase Programs on Commodity Markets.(2020) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2018News and expected returns in East Asian equity markets: The RV-GARCHM model In: Journal of Asian Economics.
[Full Text][Citation analysis]		article0
2017On weak identification in structural VARMA models In: Economics Letters.
[Full Text][Citation analysis]		article1
2020High-dimensional predictive regression in the presence of cointegration In: Journal of Econometrics.
[Full Text][Citation analysis]		article19
2017Time-varying continuous and jump betas: The role of firm characteristics and periods of stress In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article15
2021Forecasting the volatility of asset returns: The informational gains from option prices In: International Journal of Forecasting.
[Full Text][Citation analysis]		article1
2022The impact of COVID-19 pandemic on the volatility connectedness network of global stock market In: Pacific-Basin Finance Journal.
[Full Text][Citation analysis]		article27
2022An examination of herding behaviour of the Chinese mutual funds: A time-varying perspective In: Pacific-Basin Finance Journal.
[Full Text][Citation analysis]		article4
2024Tail connectedness: Measuring the volatility connectedness network of equity markets during crises In: Pacific-Basin Finance Journal.
[Full Text][Citation analysis]		article1
2019Asymmetric jump beta estimation with implications for portfolio risk management In: International Review of Economics & Finance.
[Full Text][Citation analysis]		article6
2016Continuous and Jump Betas: Implications for Portfolio Diversification In: Econometrics.
[Full Text][Citation analysis]		article4
2012VAR Modeling and Business Cycle Analysis: A Taxonomy of Errors In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]		paper5
2014Determination 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]		paper2
2016Determination 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
2018High-frequency Characterisation of Indian Banking Stocks In: Journal of Emerging Market Finance.
[Full Text][Citation analysis]		article0
2015High frequency characterization of Indian banking stocks.(2015) In: Working Papers.
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This paper has nother version. Agregated cites: 0		paper
2017Vector Autoregressions and Macroeconomic Modeling: An Error Taxonomy In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article9
2022Characterizing financial crises using high-frequency data In: Quantitative Finance.
[Full Text][Citation analysis]		article0
2014Forecasting with EC-VARMA models In: Working Papers.
[Full Text][Citation analysis]		paper0
2014VAR(MA), what is it good for? more bad news for reduced-form estimation and inference In: Working Papers.
[Full Text][Citation analysis]		paper0
2015The 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]		paper0
2020Cojump anchoring In: Discussion Papers.
[Full Text][Citation analysis]		paper0

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