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 0 3 19 0 2 24 38
Cojump anchoring 0 0 0 7 0 2 8 34
Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations 0 0 0 51 0 1 11 118
Forecasting with EC-VARMA models 0 0 0 48 0 1 16 121
High frequency characterization of Indian banking stocks 0 0 0 20 0 1 10 75
Tests for Jumps in Yield Spreads 0 0 0 0 1 1 11 14
Tests for jumps in yield spreads 0 0 0 55 0 2 8 43
The Impact of Forward Guidance and Large-scale Asset Purchase Programs on Commodity Markets 0 0 1 36 0 2 24 112
The role of intra-day volatility pattern in jump detection: empirical evidence on how financial markets respond to macroeconomic news announcements 0 1 1 33 1 3 25 130
Uncovering Sparse Financial Networks with Information Criteria 0 0 12 12 0 1 4 4
VAR Modeling and Business Cycle Analysis: A Taxonomy of Errors 0 0 0 90 0 0 10 238
VAR(MA), what is it good for? more bad news for reduced-form estimation and inference 0 0 0 10 0 11 27 126
Total Working Papers 0 1 17 381 2 27 178 1,053

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 2 3 0 0 15 23
Asymmetric jump beta estimation with implications for portfolio risk management 0 0 1 6 3 5 14 44
Characterizing financial crises using high-frequency data 0 0 1 4 0 5 14 26
Continuous and Jump Betas: Implications for Portfolio Diversification 0 0 2 18 0 5 23 123
Determination of Long‐run and Short‐run Dynamics in EC‐VARMA Models via Canonical Correlations 0 0 0 8 0 0 12 53
Forecasting the volatility of asset returns: The informational gains from option prices 0 0 0 11 0 1 15 55
High-dimensional predictive regression in the presence of cointegration 0 1 4 17 1 4 16 56
High-frequency Characterisation of Indian Banking Stocks 0 0 0 2 0 2 8 38
Jump Risk in the US Financial Sector 0 0 0 5 0 1 13 37
Modelling Financial Contagion Using High Frequency Data 0 0 0 9 0 1 11 37
News and expected returns in East Asian equity markets: The RV-GARCHM model 0 0 0 7 1 2 6 49
On weak identification in structural VARMA models 0 0 0 8 0 0 18 57
Tail connectedness: Measuring the volatility connectedness network of equity markets during crises 0 0 1 3 1 3 26 35
Tests for Jumps in Yield Spreads 0 0 0 0 0 0 5 9
The impact of COVID-19 pandemic on the volatility connectedness network of global stock market 0 0 1 17 3 14 38 90
The impact of forward guidance and large-scale asset purchase programs on commodity markets 0 0 0 7 2 4 21 41
Time-varying continuous and jump betas: The role of firm characteristics and periods of stress 0 0 1 14 0 1 8 91
Vector Autoregressions and Macroeconomic Modeling: An Error Taxonomy 0 0 1 11 1 1 8 51
Total Journal Articles 0 1 14 150 12 49 271 915

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Statistics updated 2026-08-07