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 4 20 0 3 26 41
Cojump anchoring 0 0 0 7 0 1 9 35
Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations 0 0 0 51 0 0 10 118
Forecasting with EC-VARMA models 0 0 0 48 0 1 17 122
High frequency characterization of Indian banking stocks 0 0 0 20 1 2 12 77
Tests for Jumps in Yield Spreads 0 0 0 0 0 1 10 14
Tests for jumps in yield spreads 0 0 0 55 0 1 8 44
The Impact of Forward Guidance and Large-scale Asset Purchase Programs on Commodity Markets 0 0 1 36 1 3 24 115
The role of intra-day volatility pattern in jump detection: empirical evidence on how financial markets respond to macroeconomic news announcements 0 0 1 33 0 3 26 132
Uncovering Sparse Financial Networks with Information Criteria 0 0 12 12 0 1 5 5
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 2 2 28 128
Total Working Papers 0 1 18 382 4 18 185 1,069

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 14 23
Asymmetric jump beta estimation with implications for portfolio risk management 0 0 1 6 0 4 14 45
Characterizing financial crises using high-frequency data 0 0 1 4 1 1 15 27
Continuous and Jump Betas: Implications for Portfolio Diversification 0 0 2 18 0 0 21 123
Determination of Long‐run and Short‐run Dynamics in EC‐VARMA Models via Canonical Correlations 0 0 0 8 0 2 14 55
Forecasting the volatility of asset returns: The informational gains from option prices 0 0 0 11 0 28 42 83
High-dimensional predictive regression in the presence of cointegration 0 0 4 17 0 1 15 56
High-frequency Characterisation of Indian Banking Stocks 0 0 0 2 0 0 7 38
Jump Risk in the US Financial Sector 0 0 0 5 0 0 11 37
Modelling Financial Contagion Using High Frequency Data 0 0 0 9 0 1 8 38
News and expected returns in East Asian equity markets: The RV-GARCHM model 0 0 0 7 0 2 7 50
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 1 1 4 1 3 25 37
Tests for Jumps in Yield Spreads 0 0 0 0 0 1 6 10
The impact of COVID-19 pandemic on the volatility connectedness network of global stock market 0 0 1 17 0 3 36 90
The impact of forward guidance and large-scale asset purchase programs on commodity markets 0 0 0 7 0 4 22 43
Time-varying continuous and jump betas: The role of firm characteristics and periods of stress 0 0 1 14 0 0 8 91
Vector Autoregressions and Macroeconomic Modeling: An Error Taxonomy 0 0 1 11 0 1 8 51
Total Journal Articles 0 1 14 151 2 51 291 954

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Statistics updated 2026-10-11