10
H index
10
i10 index
325
Citations
Minxian Yang : Citation Profile
UNSW Sydney | RESEARCH PRODUCTION: 27 Articles 15 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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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:
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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 (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2025 | Inference on common trends in functional time series. (2024). Seong, Dakyung ; Nielsen, Morten. In: Papers. RePEc:arx:papers:2312.00590. Full description at Econpapers || Download paper |
| 2024 | Analyzing Currency Fluctuations: A Comparative Study of GARCH, EWMA, and IV Models for GBP/USD and EUR/GBP Pairs. (2024). Tondapu, Narayan. In: Papers. RePEc:arx:papers:2402.07435. Full description at Econpapers || Download paper |
| 2025 | A bias test for heteroscedastic linear least-squares regression. (2025). Blankmeyer, Eric. In: Papers. RePEc:arx:papers:2508.15969. Full description at Econpapers || Download paper |
| 2024 | Identification based on higher moments. (2024). Lewis, Daniel. In: CeMMAP working papers. RePEc:azt:cemmap:03/24. Full description at Econpapers || Download paper |
| 2025 | The information matrix test for Markov switching autoregressive models with covariate-dependent transition probabilities. (2025). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2025_2502. Full description at Econpapers || Download paper |
| 2024 | A universal exponent governing foreign exchange rate risks. (2024). Grobys, Klaus. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003545. Full description at Econpapers || Download paper |
| 2024 | Presidential economic approval rating and global foreign exchange market volatility. (2024). Xu, Weijun ; Li, Xiaodan ; Gong, Xue. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924005167. 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 |
| 2024 | (Structural) VAR models with ignored changes in mean and volatility. (2024). Demetrescu, Matei ; Salish, Nazarii. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:840-854. Full description at Econpapers || Download paper |
| 2025 | Skew–Brownian processes for estimating the volatility of crude oil Brent. (2025). Orlando, Giuseppe ; Bufalo, Michele ; Liseo, Brunero. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:2:p:763-780. Full description at Econpapers || Download paper |
| 2024 | Overnight earnings announcements and preopening price discovery. (2024). Xiao, Xijuan ; Yamamoto, Ryuichi. In: Japan and the World Economy. RePEc:eee:japwor:v:70:y:2024:i:c:s0922142524000124. Full description at Econpapers || Download paper |
| 2024 | No safe haven, only diversification and contagion — Intraday evidence around the COVID-19 pandemic. (2024). Bei, Zeyun ; Zhou, Yinggang ; Lin, Juan. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:143:y:2024:i:c:s0261560624000561. Full description at Econpapers || Download paper |
| 2025 | The short- and long-run cyclical variation of the cross-asset nexus: Mixed-frequency evidence on financial and ‘financialised’ assets. (2025). Yfanti, Stavroula ; Wu, Jiaying ; Karanasos, Menelaos. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:38:y:2025:i:c:s2405851325000066. Full description at Econpapers || Download paper |
| 2025 | The pass-through of macro variable to volatility co-movement among U.S. currency and commodity futures markets system. (2025). Yousaf, Imran ; Wang, Jiqian ; Marco, Chi Keung ; Dai, Xingyu. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:38:y:2025:i:c:s2405851325000078. 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 |
| 2024 | Current account and real effective exchange rate dynamics: the role of non-linear dynamics in Brazil. (2024). Marçal, Emerson ; Simes, Oscar Rodrigues ; Maral, Emerson. In: Textos para discussão. RePEc:fgv:eesptd:571. Full description at Econpapers || Download paper |
| 2025 | How Large is Excess Volatility of the EUR/USD Exchange Rate? Evidence from a GAS Approach. (2025). Bargigli, Leonardo. In: Working Papers - Economics. RePEc:frz:wpaper:wp2025_13.rdf. Full description at Econpapers || Download paper |
| 2024 | Investigation of Swedish krona exchange rate volatility by APARCH-Support Vector Regression. (2024). Li, Yushu ; Kim Karlsson, Hyunjoo. In: Working Papers in Economics and Statistics. RePEc:hhs:vxesta:2024_010. Full description at Econpapers || Download paper |
| 2024 | Science or scientism? On the momentum illusion. (2024). Grobys, Klaus. In: Annals of Finance. RePEc:kap:annfin:v:20:y:2024:i:4:d:10.1007_s10436-024-00446-5. Full description at Econpapers || Download paper |
| 2025 | Predicting the Conditional Distribution of Risk Aversion The Role of Climate Risks in a Cross-Quantilogram Framework. (2025). GUPTA, RANGAN ; Olaniran, Abeeb ; Gabauer, David ; Polat, Onur. In: Working Papers. RePEc:pre:wpaper:202524. Full description at Econpapers || Download paper |
| 2024 | Effect of franchising on the reliability of financial analysts€™ earnings forecasts: Evidence from publicly traded US restaurant firms. (2024). Shin, Hyejo Hailey ; Gim, Jaehee. In: Tourism Economics. RePEc:sae:toueco:v:30:y:2024:i:7:p:1857-1879. Full description at Econpapers || Download paper |
| 2025 | The risk–return trade-off of Bitcoin: Evidence from regime-switching analysis. (2025). Tsuji, Chikashi. In: Future Business Journal. RePEc:spr:futbus:v:11:y:2025:i:1:d:10.1186_s43093-025-00551-5. Full description at Econpapers || Download paper |
| 2025 | Can green bonds be a safe haven for equity investors?. (2025). Sheenan, Lisa ; Flavin, Thomas. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:3:p:2270-2283. Full description at Econpapers || Download paper |
Works by Minxian Yang:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2008 | Nonlinear Time Series Analysis ‐ by Holdger Kantz and Thomas Schreiber In: The Economic Record. [Full Text][Citation analysis] | article | 0 |
| 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 | 22 |
| 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 | 32 |
| 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 | 1 |
| 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 | 13 |
| 2012 | On the Risk Return Relationship..(2012) In: Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | 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 | 31 |
| 2009 | Asymmetric volatility in the foreign exchange markets In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 55 |
| 2015 | Endogenous crisis dating and contagion using smooth transition structural GARCH In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 62 |
| 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: 62 | 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: 62 | 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 | 16 |
| 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 | 4 |
| 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 December, 22 2025. Contact: CitEc Team