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

16

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1,408

CITATIONS
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Top 22,995

in Total Papers Citations

12

Scholarly Papers (16)

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 308 (72,805)
Citation 5

Abstract:

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 172 (143,291)
Citation 1

Abstract:

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

3.
Downloads 165 (148,648)

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 92 (234,360)

Abstract:

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 73 (270,792)

Abstract:

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 144 (153,454)
Citation 1

Abstract:

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 62 (296,445)

Abstract:

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 29 (407,643)

Abstract:

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 88 (220,172)
Citation 1

Abstract:

Identification, Structural VAR, GARCH

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
Minxian Yang
UNSW Australia Business School, School of Economics
Downloads 41 (359,226)

Abstract:

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 26 (422,592)

Abstract:

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

8.

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 61 (295,178)
Citation 3

Abstract:

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

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 33 (389,790)

Abstract:

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

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 26 (422,592)

Abstract:

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

10.

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 41 (318,861)

Abstract:

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

11.

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, Macquarie University - Department of Economics, University of Sydney Business School and UNSW Australia Business School, School of Economics
Downloads 39 (333,550)
Citation 1

Abstract:

Contagion, Structural GARCH, Global Financial Crisis

12.

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 29 (392,902)

Abstract:

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

13.

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 (420,552)

Abstract:

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 23 (439,004)

Abstract:

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
Downloads 0

Abstract:

15.

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 0 (497,481)

Abstract:

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

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 0 (461,791)

Abstract:

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