← All authors Wenying Yao The University of Melbourne (from arXiv:2601.03598, 2026) · ORCID · OpenAlex
22 papers in scope · 20 published · 2 on the econ.EM arXiv · 219 citations · h-index 8 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Graziano Moramarco Giuseppe Cavaliere Matteo Barigozzi Thomas T. Yang Rong Chen Yuefeng Han Iliyan Georgiev Luca Fanelli Elynn Chen Anthony Osuntuyi Monica Billio Enrica De Cian Malcolm Mistry Cun-Hui Zhang Giovanni Angelini Philipp Otto Boyao Wu Matteo Luciani Anirban Sengupta Anders Rahbek Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (2 of 22)
working paper 2026 · arXiv
working paper 2026 · arXiv
Optimal Bandwidth Selection for Forecasting under Parameter Instability
published 2026 · Journal of Financial Econometrics · first circulated 2024
with Yu Bai, Bin Peng, Shuping Shi, Yuqiang Bai
Tail connectedness: Measuring the volatility connectedness network of equity markets during crises
published 2024 · Pacific-Basin Finance Journal · 5 citations · first circulated 2022
with Tingting Cheng, Fei Liu, Junli Liu
Identifying changes in the distribution of income from higher‐order moments with an application to Australia
published 2024 · Australian & New Zealand Journal of Statistics
with Vance L. Martin, Jialu Shi, Song Yang
Tests for Jumps in Yield Spreads
published 2023 · Journal of Business and Economic Statistics · first circulated 2021
The impact of forward guidance and large-scale asset purchase programs on commodity markets
published 2022 · Studies in Nonlinear Dynamics and Econometrics · 3 citations
with Pedro Gomis-Porqueras, Shuddhasattwa Rafiq
An examination of herding behaviour of the Chinese mutual funds: A time-varying perspective
published 2022 · Pacific-Basin Finance Journal · 16 citations
with Tingting Cheng, Shuo Xing
Characterizing financial crises using high-frequency data
published 2022 · Quantitative Finance · 1 citations
with Mardi Dungey, J. E. Holloway, Abdullah Yalaman
The impact of COVID-19 pandemic on the volatility connectedness network of global stock market
published 2021 · Pacific-Basin Finance Journal · 74 citations
Forecasting the volatility of asset returns: The informational gains from option prices
published 2020 · International Journal of Forecasting · 12 citations
with Vance L. Martin, Chrismin Tang
Jump Risk in the US Financial Sector
published 2020 · Economic Record · 5 citations
with Dinesh Gajurel, Mardi Dungey, Nagaratnam Jeyasreedharan
Modelling Financial Contagion Using High Frequency Data
published 2020 · Economic Record · 2 citations
with Mardi Dungey, Vitali Alexeev
High-dimensional predictive regression in the presence of cointegration
published 2020 · Journal of Econometrics · 27 citations · first circulated 2016
Asymmetric jump beta estimation with implications for portfolio risk management
published 2019 · International Review of Economics & Finance · 12 citations
High-frequency Characterisation of Indian Banking Stocks
published 2018 · Journal of Emerging Market Finance · 3 citations · first circulated 2015
with Mohammad Abu Sayeed, Mardi Dungey, Mohammad Abu Sayaeed
News and expected returns in East Asian equity markets: The RV-GARCHM model
published 2018 · Journal of Asian Economics · 2 citations
with Vance L. Martin, Chrismin Tang
On weak identification in structural VARMA models
published 2017 · Economics Letters · 3 citations
with Timothy Kam, Farshid Vahid
Time-varying continuous and jump betas: The role of firm characteristics and periods of stress
published 2016 · Journal of Empirical Finance · 31 citations
with Vitali Alexeev, Mardi Dungey
Continuous and Jump Betas: Implications for Portfolio Diversification
published 2016 · Econometrics · 8 citations
with Vitali Alexeev, Mardi Dungey
Determination of Long‐run and Short‐run Dynamics in EC‐VARMA Models via Canonical Correlations
published 2015 · Journal of Applied Econometrics · 5 citations
Vector Autoregressions and Macroeconomic Modeling: An Error Taxonomy
published 2015 · Journal of Business and Economic Statistics · 10 citations
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
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