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 1 16 17 2 3 17 18
Cojump anchoring 0 0 2 7 1 2 7 28
Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations 0 0 2 51 1 2 7 110
Forecasting with EC-VARMA models 0 0 0 48 1 1 3 106
High frequency characterization of Indian banking stocks 0 0 0 20 1 3 7 68
Tests for Jumps in Yield Spreads 0 0 0 0 0 0 1 4
Tests for jumps in yield spreads 0 0 0 55 1 2 5 37
The Impact of Forward Guidance and Large-scale Asset Purchase Programs on Commodity Markets 1 1 3 36 7 8 19 98
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 3 5 9 111
VAR Modeling and Business Cycle Analysis: A Taxonomy of Errors 0 0 0 90 1 1 2 229
VAR(MA), what is it good for? more bad news for reduced-form estimation and inference 0 0 0 10 0 0 3 100
Total Working Papers 2 2 25 366 18 27 80 909

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 0 2 4 11
Asymmetric jump beta estimation with implications for portfolio risk management 0 0 1 5 0 1 3 32
Characterizing financial crises using high-frequency data 0 0 1 3 0 0 4 12
Continuous and Jump Betas: Implications for Portfolio Diversification 1 1 1 17 1 5 5 105
Determination of Long‐run and Short‐run Dynamics in EC‐VARMA Models via Canonical Correlations 0 0 0 8 0 0 3 41
Forecasting the volatility of asset returns: The informational gains from option prices 0 0 1 11 0 2 6 43
High-dimensional predictive regression in the presence of cointegration 0 2 5 15 0 3 9 44
High-frequency Characterisation of Indian Banking Stocks 0 0 0 2 1 1 4 32
Jump Risk in the US Financial Sector 0 0 0 5 0 4 12 29
Modelling Financial Contagion Using High Frequency Data 0 0 0 9 1 4 9 31
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 0 2 3 41
Tail connectedness: Measuring the volatility connectedness network of equity markets during crises 0 0 3 3 5 7 19 19
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 0 0 2 16 1 4 6 56
The impact of forward guidance and large-scale asset purchase programs on commodity markets 0 0 1 7 0 1 8 21
Time-varying continuous and jump betas: The role of firm characteristics and periods of stress 0 1 1 14 1 4 4 87
Vector Autoregressions and Macroeconomic Modeling: An Error Taxonomy 1 1 2 11 1 2 4 45
Total Journal Articles 2 6 19 143 11 43 107 697

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Statistics updated 2025-12-06