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 2 2 18 6 14 23 30
Cojump anchoring 0 0 1 7 0 2 5 29
Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations 0 0 1 51 2 5 9 114
Forecasting with EC-VARMA models 0 0 0 48 6 9 11 114
High frequency characterization of Indian banking stocks 0 0 0 20 1 3 9 70
Tests for Jumps in Yield Spreads 0 0 0 0 1 3 4 7
Tests for jumps in yield spreads 0 0 0 55 3 4 8 40
The Impact of Forward Guidance and Large-scale Asset Purchase Programs on Commodity Markets 0 1 3 36 4 15 24 106
The role of intra-day volatility pattern in jump detection: empirical evidence on how financial markets respond to macroeconomic news announcements 0 0 1 32 10 13 18 121
VAR Modeling and Business Cycle Analysis: A Taxonomy of Errors 0 0 0 90 4 7 8 235
VAR(MA), what is it good for? more bad news for reduced-form estimation and inference 0 0 0 10 7 9 12 109
Total Working Papers 0 3 8 367 44 84 131 975

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 1 2 3 9 13 20
Asymmetric jump beta estimation with implications for portfolio risk management 0 0 1 5 1 2 5 34
Characterizing financial crises using high-frequency data 0 0 1 3 3 5 9 17
Continuous and Jump Betas: Implications for Portfolio Diversification 0 2 2 18 5 10 14 114
Determination of Long‐run and Short‐run Dynamics in EC‐VARMA Models via Canonical Correlations 0 0 0 8 5 7 10 48
Forecasting the volatility of asset returns: The informational gains from option prices 0 0 1 11 5 6 12 49
High-dimensional predictive regression in the presence of cointegration 0 0 3 15 2 2 8 46
High-frequency Characterisation of Indian Banking Stocks 0 0 0 2 3 4 6 35
Jump Risk in the US Financial Sector 0 0 0 5 5 6 17 35
Modelling Financial Contagion Using High Frequency Data 0 0 0 9 2 3 11 33
News and expected returns in East Asian equity markets: The RV-GARCHM model 0 0 0 7 2 3 3 46
On weak identification in structural VARMA models 0 0 0 8 1 5 8 46
Tail connectedness: Measuring the volatility connectedness network of equity markets during crises 0 0 3 3 2 8 22 22
Tests for Jumps in Yield Spreads 0 0 0 0 2 2 5 7
The impact of COVID-19 pandemic on the volatility connectedness network of global stock market 0 1 2 17 5 11 15 66
The impact of forward guidance and large-scale asset purchase programs on commodity markets 0 0 1 7 9 10 18 31
Time-varying continuous and jump betas: The role of firm characteristics and periods of stress 0 0 1 14 2 4 7 90
Vector Autoregressions and Macroeconomic Modeling: An Error Taxonomy 0 1 2 11 3 5 8 49
Total Journal Articles 0 4 18 145 60 102 191 788

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Statistics updated 2026-02-12