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 3 19 1 1 28 37
Cojump anchoring 0 0 0 7 1 3 8 33
Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations 0 0 0 51 0 3 10 117
Forecasting with EC-VARMA models 0 0 0 48 0 5 16 120
High frequency characterization of Indian banking stocks 0 0 0 20 1 5 10 75
Tests for Jumps in Yield Spreads 0 0 0 0 0 5 10 13
Tests for jumps in yield spreads 0 0 0 55 1 2 7 42
The Impact of Forward Guidance and Large-scale Asset Purchase Programs on Commodity Markets 0 0 1 36 2 6 26 112
The role of intra-day volatility pattern in jump detection: empirical evidence on how financial markets respond to macroeconomic news announcements 1 1 2 33 2 3 26 129
Uncovering Sparse Financial Networks with Information Criteria 0 0 12 12 1 1 4 4
VAR Modeling and Business Cycle Analysis: A Taxonomy of Errors 0 0 0 90 0 2 10 238
VAR(MA), what is it good for? more bad news for reduced-form estimation and inference 0 0 0 10 11 16 27 126
Total Working Papers 1 1 18 381 20 52 182 1,046

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 0 3 16 23
Asymmetric jump beta estimation with implications for portfolio risk management 0 0 1 6 0 3 9 39
Characterizing financial crises using high-frequency data 0 1 1 4 1 4 10 22
Continuous and Jump Betas: Implications for Portfolio Diversification 0 0 2 18 2 5 20 120
Determination of Long‐run and Short‐run Dynamics in EC‐VARMA Models via Canonical Correlations 0 0 0 8 0 3 14 53
Forecasting the volatility of asset returns: The informational gains from option prices 0 0 0 11 0 5 15 54
High-dimensional predictive regression in the presence of cointegration 1 1 4 17 3 7 15 55
High-frequency Characterisation of Indian Banking Stocks 0 0 0 2 0 1 6 36
Jump Risk in the US Financial Sector 0 0 0 5 0 1 16 36
Modelling Financial Contagion Using High Frequency Data 0 0 0 9 0 3 12 36
News and expected returns in East Asian equity markets: The RV-GARCHM model 0 0 0 7 1 1 5 48
On weak identification in structural VARMA models 0 0 0 8 0 7 19 57
Tail connectedness: Measuring the volatility connectedness network of equity markets during crises 0 0 1 3 2 10 29 34
Tests for Jumps in Yield Spreads 0 0 0 0 0 2 5 9
The impact of COVID-19 pandemic on the volatility connectedness network of global stock market 0 0 1 17 5 13 29 81
The impact of forward guidance and large-scale asset purchase programs on commodity markets 0 0 0 7 2 5 20 39
Time-varying continuous and jump betas: The role of firm characteristics and periods of stress 0 0 1 14 1 1 8 91
Vector Autoregressions and Macroeconomic Modeling: An Error Taxonomy 0 0 2 11 0 1 9 50
Total Journal Articles 1 3 15 150 17 75 257 883

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Statistics updated 2026-06-04