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Researcher: Yao, W (Dr Wenying Yao)

Fields of Research

Financial econometrics
Economic development policy
Time-series analysis
Applied economics
Banking, finance and investment
Financial economics
Econometric and statistical methods

Research Objectives

Savings and investments
Market-based mechanisms
Monetary policy
Financial services
Other economic framework

Career Best Publications

Research Publications

Continuous and jump betas: implications for portfolio diversification; Econometrics
Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations; Journal of Applied Econometrics
On weak identification in structural VARMA models; Economics Letters
Time-varying continuous and jump betas: the role of firm characteristics and periods of stress; Journal of Empirical Finance
Vector Autoregressions and Macroeconomic Modeling: An Error Taxonomy; Journal of Business and Economic Statistics

Research Projects

Identifying financial market contagion in real-time; Universities Australia / Deutscher Akademischer Austauschdienst (German Academic Exchange Service) (UADAAD)

Research Candidate Supervision

Global Financial Crises and International Contagion Effects (with reference to banking system)
on the role of financial frictions in open economics