Access Statistics for Wenying Yao

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Constrained Dynamic Nelson-Siegel Model for Monetary Policy Analysis 0 5 16 16 0 3 8 8
Cojump anchoring 0 2 2 7 0 3 6 25
Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations 1 2 3 51 1 4 5 107
Forecasting with EC-VARMA models 0 0 1 48 0 0 4 103
High frequency characterization of Indian banking stocks 0 0 0 20 0 3 3 64
Tests for Jumps in Yield Spreads 0 0 0 0 0 0 0 3
Tests for jumps in yield spreads 0 0 0 55 1 2 3 34
The Impact of Forward Guidance and Large-scale Asset Purchase Programs on Commodity Markets 0 0 5 33 0 5 13 84
The role of intra-day volatility pattern in jump detection: empirical evidence on how financial markets respond to macroeconomic news announcements 0 0 1 31 0 0 3 103
VAR Modeling and Business Cycle Analysis: A Taxonomy of Errors 0 0 0 90 0 1 1 228
VAR(MA), what is it good for? more bad news for reduced-form estimation and inference 0 0 0 10 1 1 3 98
Total Working Papers 1 9 28 361 3 22 49 857

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
An examination of herding behaviour of the Chinese mutual funds: A time-varying perspective 0 0 0 1 0 0 5 7
Asymmetric jump beta estimation with implications for portfolio risk management 1 1 1 5 1 1 4 30
Characterizing financial crises using high-frequency data 0 1 1 3 0 2 4 10
Continuous and Jump Betas: Implications for Portfolio Diversification 0 0 0 16 0 0 0 100
Determination of Long‐run and Short‐run Dynamics in EC‐VARMA Models via Canonical Correlations 0 0 1 8 1 1 3 39
Forecasting the volatility of asset returns: The informational gains from option prices 0 0 0 10 0 1 4 38
High-dimensional predictive regression in the presence of cointegration 1 1 4 13 1 2 7 39
High-frequency Characterisation of Indian Banking Stocks 0 0 0 2 0 1 1 29
Jump Risk in the US Financial Sector 0 0 0 5 0 1 1 18
Modelling Financial Contagion Using High Frequency Data 0 0 1 9 0 2 3 24
News and expected returns in East Asian equity markets: The RV-GARCHM model 0 0 0 7 0 0 1 43
On weak identification in structural VARMA models 0 0 1 8 0 0 1 38
Tail connectedness: Measuring the volatility connectedness network of equity markets during crises 1 1 1 1 2 2 2 2
Tests for Jumps in Yield Spreads 0 0 0 0 0 3 4 4
The impact of COVID-19 pandemic on the volatility connectedness network of global stock market 0 2 3 16 0 2 9 52
The impact of forward guidance and large-scale asset purchase programs on commodity markets 0 0 1 6 1 2 6 15
Time-varying continuous and jump betas: The role of firm characteristics and periods of stress 0 0 0 13 0 0 1 83
Vector Autoregressions and Macroeconomic Modeling: An Error Taxonomy 0 0 2 9 0 0 2 41
Total Journal Articles 3 6 16 132 6 20 58 612

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Statistics updated 2025-04-04