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 1 2 7 18 6 9 19 24
Cojump anchoring 0 0 2 7 1 3 7 29
Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations 0 0 2 51 2 4 9 112
Forecasting with EC-VARMA models 0 0 0 48 2 3 5 108
High frequency characterization of Indian banking stocks 0 0 0 20 1 4 8 69
Tests for Jumps in Yield Spreads 0 0 0 0 2 2 3 6
Tests for jumps in yield spreads 0 0 0 55 0 1 5 37
The Impact of Forward Guidance and Large-scale Asset Purchase Programs on Commodity Markets 0 1 3 36 4 11 23 102
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 0 5 8 111
VAR Modeling and Business Cycle Analysis: A Taxonomy of Errors 0 0 0 90 2 3 4 231
VAR(MA), what is it good for? more bad news for reduced-form estimation and inference 0 0 0 10 2 2 5 102
Total Working Papers 1 3 15 367 22 47 96 931

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 1 2 6 8 10 17
Asymmetric jump beta estimation with implications for portfolio risk management 0 0 1 5 1 2 4 33
Characterizing financial crises using high-frequency data 0 0 1 3 2 2 6 14
Continuous and Jump Betas: Implications for Portfolio Diversification 1 2 2 18 4 7 9 109
Determination of Long‐run and Short‐run Dynamics in EC‐VARMA Models via Canonical Correlations 0 0 0 8 2 2 5 43
Forecasting the volatility of asset returns: The informational gains from option prices 0 0 1 11 1 3 7 44
High-dimensional predictive regression in the presence of cointegration 0 2 3 15 0 3 7 44
High-frequency Characterisation of Indian Banking Stocks 0 0 0 2 0 1 4 32
Jump Risk in the US Financial Sector 0 0 0 5 1 4 13 30
Modelling Financial Contagion Using High Frequency Data 0 0 0 9 0 1 9 31
News and expected returns in East Asian equity markets: The RV-GARCHM model 0 0 0 7 1 1 1 44
On weak identification in structural VARMA models 0 0 0 8 4 6 7 45
Tail connectedness: Measuring the volatility connectedness network of equity markets during crises 0 0 3 3 1 8 20 20
Tests for Jumps in Yield Spreads 0 0 0 0 0 1 4 5
The impact of COVID-19 pandemic on the volatility connectedness network of global stock market 1 1 3 17 5 7 11 61
The impact of forward guidance and large-scale asset purchase programs on commodity markets 0 0 1 7 1 1 9 22
Time-varying continuous and jump betas: The role of firm characteristics and periods of stress 0 1 1 14 1 5 5 88
Vector Autoregressions and Macroeconomic Modeling: An Error Taxonomy 0 1 2 11 1 3 5 46
Total Journal Articles 2 8 19 145 31 65 136 728

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Statistics updated 2026-01-09