A/Prof Wenying Yao
Principal Research Fellow
Department of Business Administration
21 Scholarly works
2 Projects
HIGHLIGHTS
2026
Journal article
Optimal Bandwidth Selection for Forecasting under Parameter Instability
DOI: 10.1093/jjfinec/nbag0012024
Journal article
Tail connectedness: Measuring the volatility connectedness network of equity markets during crises
DOI: 10.1016/j.pacfin.2024.1024972024
Journal article
Identifying changes in the distribution of income from higher-order moments with an application to Australia
DOI: 10.1111/anzs.124052024
Journal article
Tests for Jumps in Yield Spreads
DOI: 10.1080/07350015.2023.22710392023
Journal article
The impact of forward guidance and large-scale asset purchase programs on commodity markets
DOI: 10.1515/snde-2021-00182022
Research grants (ARC, NHMRC, MRFF)
High-Frequency Estimation of Term Structure Models at the Zero Lower Bound
2021
Research grants (ARC, NHMRC, MRFF)
New Insights on Modelling Time Trends With Panel Data: Theory and Practice
RECENT SCHOLARLY WORKS
2022
Journal article
An examination of herding behaviour of the Chinese mutual funds: A time-varying perspective
DOI: 10.1016/j.pacfin.2022.1018202022
Journal article
The impact of COVID-19 pandemic on the volatility connectedness network of global stock market
DOI: 10.1016/j.pacfin.2021.1016782022
Journal article
Characterizing financial crises using high-frequency data
DOI: 10.1080/14697688.2022.20275042021
Journal article
Forecasting the volatility of asset returns: The informational gains from option prices
DOI: 10.1016/j.ijforecast.2020.09.0122020
Journal article
High-dimensional predictive regression in the presence of cointegration
DOI: 10.1016/j.jeconom.2020.03.011