Wenying Yao : Citation Profile

University of Melbourne

6

H index

3

i10 index

118

Citations

RESEARCH PRODUCTION:

18

Articles

12

Papers

RESEARCH ACTIVITY:

   12 years (2012 - 2024). See details.
   Cites by year: 9
   Journals where Wenying Yao has often published
   Relations with other researchers
   Recent citing documents: 30.    Total self citations: 8 (6.35 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pya365
   Updated: 2026-09-05    RAS profile: 2026-02-16    
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Relations with other researchers

Works with:

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)

Shin, Youngki (2)

Mendieta-Muñoz, Ivan (2)

Sanhaji, Bilel (2)

Gebka, Bartosz (2)

Smith, Peter (2)

Bollerslev, Tim (2)

Koop, Gary (2)

Cites to:

Bollerslev, Tim (50)

Diebold, Francis (33)

Andersen, Torben (27)

Neely, Christopher (16)

Campbell, John (15)

Hansen, Peter (15)

Ait-Sahalia, Yacine (15)

Poskitt, Donald (14)

Laurent, Sébastien (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
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 (2026 and 2025)

YearTitle of citing document
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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2026Econometric 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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2026Beyond the Oracle Property: Adaptive LASSO in Cointegrating Regressions. (2025). Schneider, Ulrike ; Reichold, Karsten. In: Papers. RePEc:arx:papers:2510.07204.

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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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2025How does geopolitical risk affect tail risk contagion in global stock markets༟. (2025). Cheng, Zhengtao ; Zhong, Xin. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:88:y:2025:i:c:p:1770-1788.

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2025Volatility shocks in markets and policies: What matters for a small open economy like Canada?. (2025). Poon, Aubrey ; Kam, Timothy ; Cross, Jamie. In: Economic Modelling. RePEc:eee:ecmode:v:151:y:2025:i:c:s0264999325001191.

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2026Generalized impulse response analysis for time-varying VAR models. (2026). Yan, Yayi ; Hu, Zhiming ; Bian, Shibo ; Tan, LI. In: Economic Modelling. RePEc:eee:ecmode:v:155:y:2026:i:c:s026499932500447x.

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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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2026Jump detection in high-frequency order prices. (2026). Hautsch, Nikolaus ; Bibinger, Markus ; Ristig, Alexander. In: Journal of Econometrics. RePEc:eee:econom:v:253:y:2026:i:c:s0304407625001861.

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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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2026Volatility and jumps in the Chinese Yuan using Gumbel distribution during the trade war and COVID-19 pandemic. (2026). Yi, Chae-Deug. In: Journal of Empirical Finance. RePEc:eee:empfin:v:85:y:2026:i:c:s092753982500091x.

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2025Spillovers from oil price uncertainty to Chinese sectoral stock returns: New insights from effective transfer entropy. (2025). Zhao, Yunning ; Xu, Wen ; Xiao, Jihong ; Liu, Hong. In: International Review of Financial Analysis. RePEc:eee:finana:v:106:y:2025:i:c:s1057521925006416.

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2025Structural evolution of industry association networks in Chinese stock market under major event shocks: A comparative analysis of two crises based on partial Granger causal networks. (2025). Li, Yan-Li ; Yao, Can-Zhong. In: International Review of Financial Analysis. RePEc:eee:finana:v:107:y:2025:i:c:s1057521925006593.

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2026Herding and informed trading: Evidence from Chinese equity markets. (2026). Gebka, Bartosz ; Slim, Skander ; Karaa, Rabaa ; Jin, Han ; Kallinterakis, Vasileios. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:241:y:2026:i:c:s0167268125005232.

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2025Commodities and monetary policy—the role of interest rates revisited. (2025). Rathgeber, Andreas ; Schischke, Amelie. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:158:y:2025:i:c:s0261560625001512.

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2026Jumps and jolts: A continuous-time model for electricity future contract pricing. (2026). de Genaro, Alan ; Gavronski, Pedro. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:41:y:2026:i:c:s2405851325000790.

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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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2025Jump imbalance and Chinese stock market returns. (2025). Chen, Yan ; Liu, Yakun ; Zhang, Lei ; Bouri, Elie. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:94:y:2025:i:c:s0927538x25002604.

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

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2025Short-run and long-run volatility spillovers from China to countries of the Belt and Road Initiative. (2025). Winkelried, Diego ; Bazn-Palomino, Walter. In: Research in International Business and Finance. RePEc:eee:riibaf:v:80:y:2025:i:c:s0275531925003629.

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2026Connectedness and systemic importance of global financial markets: A multilayer network perspective. (2026). Hu, Yunchao ; Gao, Wenyu ; Lu, Guibin ; Uddin, Gazi Salah ; Wang, Gang-Jin. In: Research in International Business and Finance. RePEc:eee:riibaf:v:84:y:2026:i:c:s0275531926000632.

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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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2026Spillover effect between green bond and related financial markets: new evidence from machine learning based connectedness method. (2026). Liang, Chao ; Luo, Keyu. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:67:y:2026:i:1:d:10.1007_s11156-025-01449-7.

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2026Volatility spillover and connectedness among US renewable energy, green bonds, and cryptocurrencies. (2026). Taspinar, Nigar ; Gokmenoglu, Korhan K ; Alamaren, Amro Saleem. In: Financial Innovation. RePEc:spr:fininn:v:12:y:2026:i:1:d:10.1186_s40854-025-00834-4.

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2025The link between DFA portfolio performance, AI financial management, GDP, government bonds growth and DFA trade volumes. (2025). Mikhaylov, Alexey ; Ishaq, Muhammad. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:59:y:2025:i:1:d:10.1007_s11135-024-01940-8.

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2025Exploring the determinants of systematic risk through machine learning: evidence from Chinese listed companies. (2025). Wang, Yuquan ; Chen, Xuesheng ; Xiao, Shuwen ; Liu, Feng. In: Applied Economics. RePEc:taf:applec:v:57:y:2025:i:59:p:10454-10468.

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Works by Wenying Yao:

YearTitleTypeCited
2026Uncovering Sparse Financial Networks with Information Criteria In: Papers.
[Full Text][Citation analysis]		paper0
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]		article2
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: 2		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]		article2
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]		article19
2021Forecasting the volatility of asset returns: The informational gains from option prices In: International Journal of Forecasting.
[Full Text][Citation analysis]		article2
2022The impact of COVID-19 pandemic on the volatility connectedness network of global stock market In: Pacific-Basin Finance Journal.
[Full Text][Citation analysis]		article33
2022An examination of herding behaviour of the Chinese mutual funds: A time-varying perspective In: Pacific-Basin Finance Journal.
[Full Text][Citation analysis]		article6
2024Tail connectedness: Measuring the volatility connectedness network of equity markets during crises In: Pacific-Basin Finance Journal.
[Full Text][Citation analysis]		article2
2019Asymmetric jump beta estimation with implications for portfolio risk management In: International Review of Economics & Finance.
[Full Text][Citation analysis]		article9
2016Continuous and Jump Betas: Implications for Portfolio Diversification In: Econometrics.
[Full Text][Citation analysis]		article5
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]		paper3
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: 3		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]		article1
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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