Wenying Yao : Citation Profile

University of Melbourne

5

H index

3

i10 index

86

Citations

RESEARCH PRODUCTION:

18

Articles

11

Papers

RESEARCH ACTIVITY:

   12 years (2012 - 2024). See details.
   Cites by year: 7
   Journals where Wenying Yao has often published
   Relations with other researchers
   Recent citing documents: 19.    Total self citations: 8 (8.51 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pya365
   Updated: 2025-05-17    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:

GAO, Jiti (4)

Lee, Ji Hyung (4)

Funovits, Bernd (3)

Shin, Youngki (2)

Chan, Joshua (2)

Bollerslev, Tim (2)

Eisenstat, Eric (2)

Soccorsi, Stefano (2)

Sorge, Marco (2)

Mendieta-Muñoz, Ivan (2)

Yousaf, Imran (2)

Cites to:

Bollerslev, Tim (50)

Diebold, Francis (33)

Andersen, Torben (27)

Hansen, Peter (15)

Campbell, John (15)

Neely, Christopher (15)

Ait-Sahalia, Yacine (15)

Laurent, Sébastien (14)

Poskitt, Donald (14)

Davis, Steven (13)

Yilmaz, Kamil (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
Discussion Papers / Free University Berlin, School of Business & Economics2
Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics2

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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2024Jump 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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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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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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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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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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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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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]		article18
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]		article20
2022An examination of herding behaviour of the Chinese mutual funds: A time-varying perspective In: Pacific-Basin Finance Journal.
[Full Text][Citation analysis]		article3
2024Tail connectedness: Measuring the volatility connectedness network of equity markets during crises In: Pacific-Basin Finance Journal.
[Full Text][Citation analysis]		article0
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.
[Full Text][Citation analysis]
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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