Wenying Yao

University of Melbourne - Melbourne Business School

200 Leicester Street

Carlton, Victoria 3053 3186

Australia

SCHOLARLY PAPERS

8

DOWNLOADS

638

SSRN CITATIONS

5

CROSSREF CITATIONS

2

Scholarly Papers (8)

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 University of Melbourne - Melbourne Business School
Downloads 373 (111,452)
Citation 3

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return predictability, predictive regression, cointegration, LASSO

Do Market-Wide Circuit Breakers Calm the Markets or Panic Them?

Number of pages: 37 Posted: 24 Jul 2020 Last Revised: 09 Sep 2021
Xiaoyang Li and Wenying Yao
Deakin University and University of Melbourne - Melbourne Business School
Downloads 118 (322,208)

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Circuit Breakers, Volatility, Liquidity, COVID-19

Do Market-Wide Circuit Breakers Calm the Markets or Panic Them?

Number of pages: 38 Posted: 17 May 2022
Xiaoyang Li and Wenying Yao
Deakin University and University of Melbourne - Melbourne Business School
Downloads 17 (741,797)

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Circuit breakers, volatility, Liquidity, COVID-19

3.

An Examination of Herding Behavior of the Chinese Mutual Funds: A Time-Varying Perspective

Number of pages: 49 Posted: 10 Feb 2022
Tingting Cheng, Shuo Xing and Wenying Yao
Nankai University, Nankai University and University of Melbourne - Melbourne Business School
Downloads 35 (593,489)

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Herding, Mutual funds, Regime switching, Driving factors

4.

Cojump Anchoring

Number of pages: 32 Posted: 08 Jan 2021
Lars Winkelmann and Wenying Yao
Free University of Berlin (FUB) and University of Melbourne - Melbourne Business School
Downloads 32 (610,663)

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

5.

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, Bayes Business School (formerly Cass), London, UK and University of Melbourne - Melbourne Business School
Downloads 27 (642,443)

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

6.

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 University of Melbourne - Melbourne Business School
Downloads 20 (693,432)
Citation 4

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

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
University of Melbourne - Melbourne Business School, University of Tasmania (deceased) and University of Technology Sydney
Downloads 15 (759,768)

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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
University of Melbourne - Melbourne Business School, affiliation not provided to SSRN and University of Technology Sydney
Downloads 1 (913,674)

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8.

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 - FrederictonUniversity of Tasmania, Tasmanian School of Business and Economics, affiliation not provided to SSRN, University of Melbourne - Melbourne Business School and University of Tasmania
Downloads 0 (891,729)

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