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 1 3 19 0 6 28 36
Cojump anchoring 0 0 0 7 2 3 7 32
Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations 0 0 0 51 3 3 10 117
Forecasting with EC-VARMA models 0 0 0 48 5 6 17 120
High frequency characterization of Indian banking stocks 0 0 0 20 3 4 9 74
Tests for Jumps in Yield Spreads 0 0 0 0 4 6 10 13
Tests for jumps in yield spreads 0 0 0 55 0 1 7 41
The Impact of Forward Guidance and Large-scale Asset Purchase Programs on Commodity Markets 0 0 2 36 3 4 25 110
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 1 6 24 127
Uncovering Sparse Financial Networks with Information Criteria 0 12 12 12 0 1 3 3
VAR Modeling and Business Cycle Analysis: A Taxonomy of Errors 0 0 0 90 2 3 10 238
VAR(MA), what is it good for? more bad news for reduced-form estimation and inference 0 0 0 10 4 6 17 115
Total Working Papers 0 13 18 380 27 49 167 1,026

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 1 2 3 2 3 16 23
Asymmetric jump beta estimation with implications for portfolio risk management 0 1 1 6 1 5 9 39
Characterizing financial crises using high-frequency data 0 1 1 4 1 4 11 21
Continuous and Jump Betas: Implications for Portfolio Diversification 0 0 2 18 2 4 18 118
Determination of Long‐run and Short‐run Dynamics in EC‐VARMA Models via Canonical Correlations 0 0 0 8 2 5 14 53
Forecasting the volatility of asset returns: The informational gains from option prices 0 0 1 11 3 5 16 54
High-dimensional predictive regression in the presence of cointegration 0 1 3 16 0 6 12 52
High-frequency Characterisation of Indian Banking Stocks 0 0 0 2 1 1 7 36
Jump Risk in the US Financial Sector 0 0 0 5 1 1 17 36
Modelling Financial Contagion Using High Frequency Data 0 0 0 9 2 3 12 36
News and expected returns in East Asian equity markets: The RV-GARCHM model 0 0 0 7 0 1 4 47
On weak identification in structural VARMA models 0 0 0 8 6 11 19 57
Tail connectedness: Measuring the volatility connectedness network of equity markets during crises 0 0 2 3 6 10 29 32
Tests for Jumps in Yield Spreads 0 0 0 0 2 2 5 9
The impact of COVID-19 pandemic on the volatility connectedness network of global stock market 0 0 1 17 3 10 24 76
The impact of forward guidance and large-scale asset purchase programs on commodity markets 0 0 0 7 3 6 20 37
Time-varying continuous and jump betas: The role of firm characteristics and periods of stress 0 0 1 14 0 0 7 90
Vector Autoregressions and Macroeconomic Modeling: An Error Taxonomy 0 0 2 11 1 1 9 50
Total Journal Articles 0 4 16 149 36 78 249 866

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Statistics updated 2026-05-06