Profile image of Wenying Yao

Dr Wenying Yao

STAFF PROFILE

Position

Lecturer

Faculty

Faculty of Business and Law

Department

BL Deakin Business School

Campus

Melbourne Burwood Campus

Qualifications

Doctor of Philosophy, Monash University, 2013

Biography

Dr Wenying Yao is a lecturer in economics within the Department of Economics at Deakin University. She obtained her PhD in Econometrics from Monash University in 2013, and worked as a Post-doctoral Research Fellow at the University of Tasmania for 3 years.

Her research broadly covers the area of time series econometrics, with particular focuses on macroeconometrics, high frequency financial econometrics and econometric theory.

Read more on Wenying's profile

Research interests

  • Time Series Analysis
  • High Frequency Financial Econometrics
  • Econometric Theory
  • Macroeconometrics
  • Empirical Finance
  • Applied Econometrics

Teaching interests

  • Econometrics
  • Time Series Analysis
  • Financial Econometrics

Professional activities

Projects

  • High dimensional predictive regression in the presence of cointegration
  • Identifying financial market contagion in real time

Publications

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2018

News and expected returns in East Asian equity markets: The RV-GARCHM model

Vance Martin, Chrismin Tang, Wenying Yao

(2018), pp. 1-34, Journal of Asian economics, Amsterdam, The Netherlands, C1

journal
2017

Vector autoregressions and macroeconomic modeling: an error taxonomy

D Poskitt, W Yao

(2017), Vol. 35, pp. 407-419, Journal of business & economic statistics, New York, N.Y., C1-1

journal

Time-varying continuous and jump betas: the role of firm characteristics and periods of stress

V Alexeev, M Dungey, W Yao

(2017), Vol. 40, pp. 1-19, Journal of empirical finance, Amsterdam, The Netherlands, C1

journal

On weak identification in structural VARMA models

W Yao, T Kam, F Vahid

(2017), Vol. 156, pp. 1-6, Economics letters, Amsterdam, The Netherlands, C1

journal
2016

Continuous and jump betas: implications for portfolio diversification

V Alexeev, M Dungey, W Yao

(2016), Vol. 4, pp. 1-15, Econometrics, Basel, Switzerland, C1

journal

Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations

G Athanasopoulos, D Poskitt, F Vahid, W Yao

(2016), Vol. 31, pp. 1100-1119, Journal of applied econometrics, Chichester, Eng., C1-1

journal

Funded Projects at Deakin

No Funded Projects at Deakin found

Supervisions

No completed student supervisions to report