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 16 16 1 2 16 16
Cojump anchoring 0 0 2 7 1 1 6 27
Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations 0 0 2 51 1 2 6 109
Forecasting with EC-VARMA models 0 0 1 48 0 0 4 105
High frequency characterization of Indian banking stocks 0 0 0 20 2 2 6 67
Tests for Jumps in Yield Spreads 0 0 0 0 0 1 1 4
Tests for jumps in yield spreads 0 0 0 55 0 1 4 36
The Impact of Forward Guidance and Large-scale Asset Purchase Programs on Commodity Markets 0 0 2 35 0 3 12 91
The role of intra-day volatility pattern in jump detection: empirical evidence on how financial markets respond to macroeconomic news announcements 0 0 2 32 2 3 6 108
VAR Modeling and Business Cycle Analysis: A Taxonomy of Errors 0 0 0 90 0 0 1 228
VAR(MA), what is it good for? more bad news for reduced-form estimation and inference 0 0 0 10 0 1 3 100
Total Working Papers 0 0 25 364 7 16 65 891

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 1 1 1 2 2 3 4 11
Asymmetric jump beta estimation with implications for portfolio risk management 0 0 1 5 1 2 4 32
Characterizing financial crises using high-frequency data 0 0 1 3 0 0 4 12
Continuous and Jump Betas: Implications for Portfolio Diversification 0 0 0 16 2 4 4 104
Determination of Long‐run and Short‐run Dynamics in EC‐VARMA Models via Canonical Correlations 0 0 1 8 0 0 4 41
Forecasting the volatility of asset returns: The informational gains from option prices 0 0 1 11 2 3 6 43
High-dimensional predictive regression in the presence of cointegration 2 2 5 15 3 4 9 44
High-frequency Characterisation of Indian Banking Stocks 0 0 0 2 0 1 3 31
Jump Risk in the US Financial Sector 0 0 0 5 3 5 12 29
Modelling Financial Contagion Using High Frequency Data 0 0 0 9 0 4 8 30
News and expected returns in East Asian equity markets: The RV-GARCHM model 0 0 0 7 0 0 0 43
On weak identification in structural VARMA models 0 0 0 8 2 2 3 41
Tail connectedness: Measuring the volatility connectedness network of equity markets during crises 0 1 3 3 2 5 14 14
Tests for Jumps in Yield Spreads 0 0 0 0 1 1 4 5
The impact of COVID-19 pandemic on the volatility connectedness network of global stock market 0 0 2 16 1 3 5 55
The impact of forward guidance and large-scale asset purchase programs on commodity markets 0 0 1 7 0 1 9 21
Time-varying continuous and jump betas: The role of firm characteristics and periods of stress 1 1 1 14 3 3 3 86
Vector Autoregressions and Macroeconomic Modeling: An Error Taxonomy 0 0 1 10 1 1 3 44
Total Journal Articles 4 5 18 141 23 42 99 686

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Statistics updated 2025-11-08