Profile image of Wenying Yao

Dr Wenying Yao

STAFF PROFILE

Position

Senior 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 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.

Read more on Wenying's profile

Research interests

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

Affiliations

  • Member, Society for Financial Econometrics.

Teaching interests

  • Econometrics
  • Time Series Analysis
  • Financial Econometrics

Units taught

MAE306

MAE901

Professional activities

Projects

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

Publications

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2019

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
2018

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

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
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