Profile image of Wenying Yao

Dr Wenying Yao



Senior Lecturer


Faculty of Business and Law


BL Deakin Business School


Melbourne Burwood Campus


Doctor of Philosophy, Monash University, 2013


Dr Wenying Yao is a Senior Lecturer in the Department of Economics in Deakin Business School. Wenying obtained her PhD in Econometrics from Monash University in 2013 and worked as a Postdoctoral Research Fellow at the University of Tasmania for 3 years. She joined Deakin in 2016. Her research broadly covers the area of time series econometrics, with particular focuses on macro-econometrics, high-frequency financial econometrics and econometric theory. She is particularly interested in developing and applying innovative econometric tools to financial and macroeconomic time series data.

Read more on Wenying's profile

Research interests

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


  • Member, Society for Financial Econometrics.

Teaching interests

  • Econometrics
  • Time Series Analysis
  • Financial Econometrics
  • Macroeconometrics

Units taught





Professional activities


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Forecasting the volatility of asset returns: the informational gains from option prices

Vance Martin, Chrismin Tang, Wenying Yao

(2021), Vol. 37, pp. 862-880, International journal of forecasting, Amsterdam, The Netherlands, C1

journal article

High-dimensional predictive regression in the presence of cointegration

B Koo, H Anderson, M Seo, W Yao

(2020), pp. 1-22, Journal of Econometrics, Amsterdam, The Netherlands, C1

journal article

Modelling financial contagion using high frequency data

Wenying Yao, Mardi Dungey, Vitali Alexeev

(2020), Vol. 96, pp. 314-330, Economic record, Chichester, Eng., C1

journal article

Jump risk in the US financial sector

Denish Gajurel, Mardi Dungey, Wenying Yao, Nagaratnam Jeyasreedharan

(2020), Vol. 96, pp. 331-349, The Economic Record, London, Eng., C1

journal article

Asymmetric jump beta estimation with implications for portfolio risk management

Vitali Alexeev, Giovanni Urga, W Yao

(2019), Vol. 62, pp. 20-40, International review of economics and finance, Amsterdam, The Netherlands, C1

journal article

High-frequency characterisation of Indian banking stocks

M Sayeed, M Dungey, W Yao

(2018), Vol. 17, pp. S213-S238, Journal of Emerging Market Finance, London, Eng., C1

journal article

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

Vance Martin, Chrismin Tang, Wenying Yao

(2018), Vol. 57, pp. 36-52, Journal of Asian economics, Amsterdam, The Netherlands, C1

journal article

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 article

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 article

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 article

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 article

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 article

Funded Projects at Deakin

Australian Competitive Grants

New Insights on Modelling Time Trends with Panel Data: Theory and Practice

Dr Wenying Yao, Dr Bin Peng, Prof Joakim Westerlund

ARC - Discovery Projects

  • 2021: $87,997

Industry and Other Funding

Building Price Outlook: Reviewing the Modelling of Developing Building Price Data.

Prof Anthony Mills, Dr Argaw Gurmu, Dr Wenying Yao

  • 2021: $9,090


Associate Supervisor

Chakrawarthige Fernando

Thesis entitled: Commercial Bank Characteristics and the Monetary Policy Transmission: Evidence from South Asia

Doctor of Philosophy, Department of Economics