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

Wenying Yao is a Lecturer in Economics at the Department of Economics, 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

Projects

High dimensional predictive regression in the presence of cointegration

Identifying financial market contagion in real time

Publications

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2017

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
2015

Vector autoregressions and macroeconomic modeling: an error taxonomy

D Poskitt, W Yao

(2015), Vol. 35, pp. 1-14, Journal of business & economic statistics, New York, N.Y., C1-1

journal

Funded Projects at Deakin

No Funded Projects at Deakin found

Supervisions

No completed student supervisions to report