Wenying Yao : Citation Profile

Are you Wenying Yao?

University of Melbourne

5

H index

3

i10 index

78

Citations

RESEARCH PRODUCTION:

16

Articles

10

Papers

RESEARCH ACTIVITY:

   12 years (2012 - 2024). See details.
   Cites by year: 6
   Journals where Wenying Yao has often published
   Relations with other researchers
   Recent citing documents: 35.    Total self citations: 7 (8.24 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pya365
   Updated: 2024-12-03    RAS profile: 2024-09-06    
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Relations with other researchers

Works with:

Rafiq, Shuddhasattwa (2)

Gomis-Porqueras, Pedro (2)

Alexeev, Vitali (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)

Angelini, Giovanni (2)

Shin, Youngki (2)

Sorge, Marco (2)

Koop, Gary (2)

pagan, adrian (2)

Yousaf, Imran (2)

Eisenstat, Eric (2)

Chan, Joshua (2)

Soccorsi, Stefano (2)

Cites to:

Bollerslev, Tim (49)

Diebold, Francis (27)

Andersen, Torben (26)

Ait-Sahalia, Yacine (15)

Hansen, Peter (15)

Campbell, John (15)

Neely, Christopher (15)

Laurent, Sébastien (14)

Poskitt, Donald (14)

Davis, Steven (13)

bloom, nicholas (10)

Main data

Where Wenying Yao has published?

Journals with more than one article published# docs
Pacific-Basin Finance Journal2
Journal of Business & Economic Statistics2
The Economic Record2

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 (2024 and 2023)

YearTitle of citing document
2024On LASSO for High Dimensional Predictive Regression. (2022). Shi, Zhentao ; Mei, Ziwei. In: Papers. RePEc:arx:papers:2212.07052.

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2023Robust 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.

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2023High Dimensional Time Series Regression Models: Applications to Statistical Learning Methods. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.16192.

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

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2024.

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2024Dynamics of asymmetric multifractal cross-correlations between cryptocurrencies and global stock markets: Role of gold and portfolio implications. (2024). Guang-XI, Cao ; Mei-Jun, Ling. 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). Escalante, Luis ; Mamboundou, Pierre. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:82:y:2024:i:c:p:651-665.

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2023Forecasting 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.

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2023Forward-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.

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2023Penetrating sporadic return predictability. (2023). Xie, Xinling ; Tu, Yundong. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:1:s0304407623002257.

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2023Predictive quantile regression with mixed roots and increasing dimensions: The ALQR approach. (2023). Shin, Youngki ; Lee, Ji Hyung ; Fan, Rui. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622002111.

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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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2023The pricing of jump and diffusive risks in the cross-section of cryptocurrency returns. (2023). Kwok, Simon ; Leong, Minhao. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000786.

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2023Natural 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.

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

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2023Market inefficiency spillover network across different regimes. (2023). Feng, Yun ; Yang, Jie. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323009492.

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

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2023Spillovers 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.

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2023Multidimensional connectedness among the volatility of global financial markets around the Russian-Ukrainian conflict. (2023). Hunjra, Ahmed ; Alshater, Muneer ; Yousaf, Imran ; Li, Yanshuang ; Bouri, Elie. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:82:y:2023:i:c:s0927538x23002342.

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2023Does 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.

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

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2023Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum. (2023). Sanhaji, Bilel ; Chevallier, Julien. In: Econometrics. RePEc:gam:jecnmx:v:11:y:2023:i:3:p:19-:d:1214066.

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2024Did COVID-19 Disrupt the Stock Market Return and Volatility? A Meta-Analytic Approach. (2024). Ridhwan, Masagus M ; Juhro, Solikin ; Hidayat, Kelvin Ramadhan ; Nijkamp, Peter ; 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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2023Does 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.

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2023Robust 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.

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2023The influence of the social networks of fund managers on the herding behavior of SIFs in China. (2023). Li, Bixiao ; Wang, Yuanfei. In: Palgrave Communications. RePEc:pal:palcom:v:10:y:2023:i:1:d:10.1057_s41599-023-01675-1.

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2023Stock 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.

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2023Penalized 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.

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2023Dynamic 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.

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2023Upside 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.

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Works by Wenying Yao:

YearTitleTypeCited
In: .
[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.
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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
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]		article17
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]		article15
2022An examination of herding behaviour of the Chinese mutual funds: A time-varying perspective In: Pacific-Basin Finance Journal.
[Full Text][Citation analysis]		article3
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]		paper0
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.
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2020Cojump anchoring In: Discussion Papers.
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