Wenying Yao

Deakin University - Department of Economics

Lecturer in Economics

Australia

SCHOLARLY PAPERS

7

DOWNLOADS

439

SSRN CITATIONS

7

CROSSREF CITATIONS

1

Scholarly Papers (7)

1.

High-Dimensional Predictive Regression in the Presence of Cointegration

Number of pages: 46 Posted: 15 Oct 2016 Last Revised: 01 Mar 2019
Monash Business School, Monash University - Department of Economics, Seoul National University - School of Economics and Deakin University - Department of Economics
Downloads 334 (103,814)
Citation 4

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return predictability, predictive regression, cointegration, LASSO

2.

Do Market-Wide Circuit Breakers Calm Markets or Panic Them? Evidence from the COVID-19 Pandemic

Number of pages: 31 Posted: 24 Jul 2020 Last Revised: 22 Sep 2020
Xiaoyang Li and Wenying Yao
Deakin University and Deakin University - Department of Economics
Downloads 64 (392,898)

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Circuit Breakers, Volatility, Liquidity, COVID-19

3.

Asymmetric Jump Beta Estimation with Implications for Portfolio Risk Management

Alexeev, V., Urga, G., & Yao, W. (2019). Asymmetric jump beta estimation with implications for portfolio risk management. International Review of Economics & Finance, 62, 20–40. doi:10.1016/j.iref.2019.02.014
Number of pages: 47 Posted: 05 Aug 2019
Vitali Alexeev, Giovanni Urga and Wenying Yao
University of Technology Sydney, Centre for Econometric Analysis, Faculty of Finance, Cass Business School, London, UK and University of Bergamo, Italy and Deakin University - Department of Economics
Downloads 12 (647,513)

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Asymmetric jumps, Systematic risk, Portfolio diversification, Value-at-Risk

Modelling Financial Contagion Using High Frequency Data

Yao W, Dungey M, Alexeev V, Modelling Financial Contagion Using High Frequency Data, Economic Record, 2020 Forthcoming
Number of pages: 36 Posted: 07 Jul 2020
Wenying Yao, Mardi H. Dungey and Vitali Alexeev
Deakin University - Department of Economics, University of Tasmania (deceased) and University of Technology Sydney
Downloads 10 (688,704)

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Factor model, Crisis transmission, Jumps, High frequency data

Modelling Financial Contagion Using High Frequency Data

Economic Record, Vol. 96, Issue 314, pp. 314-330, 2020
Number of pages: 17 Posted: 06 Oct 2020
Wenying Yao, Mardi Dungey and Vitali Alexeev
Deakin University - Department of Economics, affiliation not provided to SSRN and University of Technology Sydney
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5.

Time-Varying Continuous and Jump Betas: The Role of Firm Characteristics and Periods of Stress

Journal of Empirical Finance, Vol. 40, pp.1-19, 2017
Number of pages: 29 Posted: 08 Aug 2019
Vitali Alexeev, Mardi H. Dungey and Wenying Yao
University of Technology Sydney, University of Tasmania (deceased) and Deakin University - Department of Economics
Downloads 10 (661,852)
Citation 4

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systematic risk, jumps, equity risk premium, high-frequency data

6.

Cojump Anchoring

Number of pages: 32 Posted: 08 Jan 2021
Lars Winkelmann and Wenying Yao
Free University of Berlin (FUB) and Deakin University - Department of Economics
Downloads 9 (669,125)

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High-frequency statistics, pre-averaging, jump test, break-even inflation, anchoring of inflation expectations

7.

Jump Risk in the US Financial Sector

Economic Record, Vol. 96, Issue 314, pp. 331-349, 2020
Number of pages: 19 Posted: 06 Oct 2020
University of New Brunswick - Fredericton, affiliation not provided to SSRN, Deakin University - Department of Economics and University of Tasmania
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