Minxian Yang

UNSW Australia Business School, School of Economics

School of Economics

The University of New South Wales

Sydney, NSW NSW 2052

Australia

SCHOLARLY PAPERS

19

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1,789

SSRN CITATIONS
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SSRN RANKINGS

Top 32,033

in Total Papers Citations

14

CROSSREF CITATIONS

7

Scholarly Papers (19)

1.

Asymmetric Volatility in the Foreign Exchange Markets

Number of pages: 37 Posted: 29 Aug 2006
Jian-Xin Wang and Minxian Yang
University of Technology Sydney and UNSW Australia Business School, School of Economics
Downloads 363 (86,033)
Citation 1

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exchange rates, asymmetric volatillity, long memory, trade weighted index, price trend, volatility spillover, volatility jumps

2.

How Well Does the Weighted Price Contribution Measure Price Discovery?

Number of pages: 32 Posted: 20 May 2010 Last Revised: 10 Dec 2014
Jian-Xin Wang and Minxian Yang
University of Technology Sydney and UNSW Australia Business School, School of Economics
Downloads 198 (161,357)
Citation 1

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price discovery, weighted price contribution, information share, information flow, efficient price, overnight return, daytime return, the S&P 100 index

3.
Downloads 183 (173,390)

On the Risk Return Relationship

Number of pages: 20 Posted: 01 May 2012
Minxian Yang and Jian-Xin Wang
UNSW Australia Business School, School of Economics and University of Technology Sydney
Downloads 99 (282,404)

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Risk premium, volatility feedback, GARCH-in-mean, Maximum likelihood, Mixture distributions, Time series

On the Risk Return Relationship

UNSW Australian School of Business Research Paper No. 2012 ECON 31
Number of pages: 21 Posted: 22 May 2012
Jian-Xin Wang and Minxian Yang
University of Technology Sydney and UNSW Australia Business School, School of Economics
Downloads 84 (313,959)

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Risk premium, volatility feedback, GARCH-in-mean, Maximum likelihood, Mixture distributions, Time series

4.

Volatility Feedback and Risk Premium in GARCH Models with Generalized Hyperbolic Distributions

Number of pages: 19 Posted: 27 Jan 2010
Minxian Yang
UNSW Australia Business School, School of Economics
Downloads 182 (174,255)

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Contemporaneous correlation, ARCH-M decomposition, mixture distributions, NIG distribution, GH skewed t distribution, maximum likelihood

Simultaneous Equation Systems with Heteroskedasticity: Identification, Estimation, and Stock Price Elasticities

UNSW Australian School of Business Research Paper No. 2013ECON01
Number of pages: 34 Posted: 18 Feb 2013
George Milunovich and Minxian Yang
Macquarie University - Department of Economics and UNSW Australia Business School, School of Economics
Downloads 72 (344,208)
Citation 3

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Endogeneity, Multivariate Structural Models, Quasi Maximum Likelihood, Asymptotics, Stock Prices and Volumes

Simultaneous Equation Systems with Heteroskedasticity: Identification, Estimation, and Stock Price Elasticities

Number of pages: 33 Posted: 22 Jan 2013
George Milunovich and Minxian Yang
Macquarie University - Department of Economics and UNSW Australia Business School, School of Economics
Downloads 42 (446,235)
Citation 3

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Endogeneity, Multivariate Structural Models, Quasi Maximum Likelihood, Asymptotics, Stock Prices and Volumes

6.

On Identifying Structural VAR Models via ARCH Effects

Number of pages: 9 Posted: 21 Aug 2010 Last Revised: 01 Sep 2010
George Milunovich and Minxian Yang
Macquarie University - Department of Economics and UNSW Australia Business School, School of Economics
Downloads 113 (255,782)
Citation 1

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Identification, Structural VAR, GARCH

7.

Conditional Volatility Persistence

Number of pages: 60 Posted: 05 Dec 2017 Last Revised: 24 May 2019
Jian-Xin Wang and Minxian Yang
University of Technology Sydney and UNSW Australia Business School, School of Economics
Downloads 109 (262,310)
Citation 4

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realized variance, volatility persistence, asymmetric volatility, news impact curve, volatility forecast

The Risk Return Relationship: Evidence from Index Return and Realised Variance Series

UNSW Australian School of Business Research Paper No. 2014-16
Number of pages: 32 Posted: 25 Mar 2014 Last Revised: 20 Aug 2019
Minxian Yang
UNSW Australia Business School, School of Economics
Downloads 56 (393,105)

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risk premium, volatility feedback, return predictability, realised variance model, statistical balance

The Risk Return Relationship: Evidence from Index Return and Realised Variance Series

Number of pages: 31 Posted: 19 Mar 2014
Minxian Yang
UNSW Australia Business School, School of Economics
Downloads 32 (492,836)

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risk premium, volatility feedback, return predictability, realised variance model, statistical balance

Binary Choice Model with Endogeneity: Identification via Heteroskedasticity

Number of pages: 19 Posted: 14 Jul 2014
Minxian Yang
UNSW Australia Business School, School of Economics
Downloads 44 (437,938)

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Qualitative response, Probit, Logit, Linear median regression, Endogeneity, Identification, Heteroskedasticity

Binary Choice Model with Endogeneity: Identification via Heteroskedasticity

UNSW Australia Business School Research Paper No. 2014-34
Number of pages: 20 Posted: 21 Jul 2014
Minxian Yang
UNSW Australia Business School, School of Economics
Downloads 39 (459,477)

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Qualitative response, Probit, Logit, Linear median regression, Endogeneity, Identification, Heteroskedasticity

10.

Housewives of Tokyo versus the Gnomes of Zurich: Measuring Price Discovery in Sequential Markets

Number of pages: 32 Posted: 15 Feb 2009 Last Revised: 22 Jan 2010
Jian-Xin Wang and Minxian Yang
University of Technology Sydney and UNSW Australia Business School, School of Economics
Downloads 69 (348,256)
Citation 3

Abstract:

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price discovery, information share, sequential markets, Beverage-Nelson decomposition, efficient price, variance ratio, foreign exchange rate

11.

Measuring Contemporaneous Correlation between Return Shock and Volatility Shock in an EGARCH Model

Number of pages: 28 Posted: 14 Jan 2011
Minxian Yang
UNSW Australia Business School, School of Economics
Downloads 60 (374,422)

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GARCH, stochastic volatility, ARCH-M, leverage, maximum likelihood

12.

Endogenous Crisis Dating and Contagion Using Smooth Transition Structural GARCH

FIRN Research Paper
Number of pages: 26 Posted: 04 Dec 2012 Last Revised: 10 Apr 2015
University of Tasmania (deceased), Macquarie University - Department of Economics, The University of Sydney Business School and UNSW Australia Business School, School of Economics
Downloads 57 (383,948)
Citation 7

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Contagion, Structural GARCH, Global Financial Crisis

13.

On Large Sample Properties of Bayes Procedures: Misspecification, Non-Smoothness and Davies' Problem

Number of pages: 39 Posted: 26 Jan 2010
Minxian Yang
UNSW Australia Business School, School of Economics
Downloads 45 (425,621)

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quasi likelihood, stochastic differentiability, asymptotic normality, loss of identification, dependent data

Commodity Price, Carry Trade, and the Volatility and Liquidity of Asian Currencies

The World Economy (2013)
Number of pages: 23 Posted: 25 Jun 2013
University of the Philippines, School of Economics, University of Technology Sydney (UTS) and UNSW Australia Business School, School of Economics
Downloads 29 (509,082)

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Commodity Price, Carry Trade, and the Volatility and Liquidity of Asian Currencies

The World Economy, Vol. 37, Issue 6, pp. 811-833, 2014
Number of pages: 23 Posted: 11 Jun 2014
University of the Philippines, School of Economics, University of Technology Sydney (UTS) and UNSW Australia Business School, School of Economics
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15.

The Risk Return Relationship: Evidence from Index Returns and Realised Variances

UNSW Business School Research Paper Forthcoming
Number of pages: 41 Posted: 22 Aug 2019
Minxian Yang
UNSW Australia Business School, School of Economics
Downloads 24 (523,319)

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risk premium, volatility feedback, return predictability, statistical balance, normal variance-mean mixture, realised variance model

16.

Effects of Idiosyncratic Shocks on Macroeconomic Time Series

Number of pages: 26 Posted: 16 Sep 2016
Minxian Yang
UNSW Australia Business School, School of Economics
Downloads 24 (523,319)

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vector autoregression, error factor, identification, Granger causality, impulse responses, Phillips curve, monetary neutrality

17.

Lag Length and Mean Break in Stationary VAR Models

The Econometrics Journal, Vol. 5, pp. 374-386, 2002
Number of pages: 13 Posted: 05 Feb 2003
Minxian Yang
UNSW Australia Business School, School of Economics
Downloads 24 (523,319)
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18.

Inference in Partially Identified Heteroskedastic Simultaneous Equations Models

UNSW Business School Research Paper No. 2016-19
Number of pages: 48 Posted: 02 Feb 2017
German Institute for Economic Research (DIW Berlin), Macquarie University - Department of Economics and UNSW Australia Business School, School of Economics
Downloads 22 (535,268)

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Heteroskedasticity, Simultaneous Equations Models, Testing for Identification, Davies' Problem

19.

Economic Growth and Risk in R&D

Number of pages: 15 Posted: 21 Sep 2019
Minxian Yang
UNSW Australia Business School, School of Economics
Downloads 2 (670,496)

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Economic growth, R&D, Riskiness