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Minxian Yang

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Personal Details

First Name: Minxian
Middle Name:
Last Name: Yang
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RePEc Short-ID: pya233

Email: [This author has chosen not to make the email address public]
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Affiliation

School of Economics
UNSW Business School
UNSW (Australia)
Location: Sydney, Australia
Homepage: http://www.economics.unsw.edu.au/
Email:
Phone: (+61)-2-9385-3380
Fax: +61)-2- 9313- 6337
Postal: Australian School of Business Building, Sydney 2052
Handle: RePEc:edi:senswau (more details at EDIRC)

Works

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Working papers

  1. Minxian Yang, 2014. "The Risk Return Relationship: Evidence from Index Return and Realised Variance Series," Discussion Papers 2014-16, School of Economics, The University of New South Wales.
  2. Jianxin Wang & Minxian Yang, 2012. "On the Risk Return Relationship," Discussion Papers 2012-31, School of Economics, The University of New South Wales.
  3. Mardi Dungey & George Milunovich & Susan Thorp & Minxian Yang, 2012. "Endogenous Crisis Dating and Contagion Using Smooth Transition Structural GARCH," Research Paper Series 312, Quantitative Finance Research Centre, University of Technology, Sydney.
  4. Minxian Yang, 2004. "Normal Log-normal Mixture: Leptokurtosis, Skewness and Applications," Econometric Society 2004 Australasian Meetings 186, Econometric Society.
  5. Bewley, R. & Yang, M., 1996. "On the Size and Power of System Tests for Cointegration," Papers 96/9, New South Wales - School of Economics.
  6. Yang, M., 1995. "On Identifying Permanent and Transitory Shocks in VAR Models," Papers 95-5, New South Wales - School of Economics.
  7. Yang, M., 1995. "Econopmic growth and Risk in R&D," Papers 95/24, New South Wales - School of Economics.
  8. Yang, M. & Bewley, R., 1995. "On Cointegration Test for VAR Models with Drift," Papers 95/32, New South Wales - School of Economics.
  9. Bewley, R. & Yang, M., 1993. "Testing for Cointegration within the Box-Tiao Procedure," Papers 93-12, New South Wales - School of Economics.
  10. Bewley, R. & Yang, M., 1993. "Testing for Cointegration: The Effects of Mis-Specifying the Lag Length," Papers 93-18, New South Wales - School of Economics.
  11. Yang, M. & Bewley, R., 1992. "Moving Average Conditional Heterscedastic Processes," Papers 92-23, New South Wales - School of Economics.

Articles

  1. Maria Socorro Gochoco-Bautista & Jianxin Wang & Minxian Yang, 2014. "Commodity Price, Carry Trade, and the Volatility and Liquidity of Asian Currencies," The World Economy, Wiley Blackwell, vol. 37(6), pages 811-833, 06.
  2. Minxian Yang, 2014. "Normality of Posterior Distribution Under Misspecification and Nonsmoothness, and Bayes Factor for Davies' Problem," Econometric Reviews, Taylor & Francis Journals, vol. 33(1-4), pages 305-336, June.
  3. Wang, Jianxin & Yang, Minxian, 2013. "On the risk return relationship," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 132-141.
  4. Milunovich George & Yang Minxian, 2013. "On Identifying Structural VAR Models via ARCH Effects," Journal of Time Series Econometrics, De Gruyter, vol. 5(2), pages 117-131, May.
  5. Yang Minxian, 2011. "Volatility Feedback and Risk Premium in GARCH Models with Generalized Hyperbolic Distributions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(3), pages 1-21, May.
  6. Wang, Jianxin & Yang, Minxian, 2011. "Housewives of Tokyo versus the gnomes of Zurich: Measuring price discovery in sequential markets," Journal of Financial Markets, Elsevier, vol. 14(1), pages 82-108, February.
  7. Wang, Jianxin & Yang, Minxian, 2009. "Asymmetric volatility in the foreign exchange markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(4), pages 597-615, October.
  8. Minxian Yang, 2008. "Normal log-normal mixture, leptokurtosis and skewness," Applied Economics Letters, Taylor & Francis Journals, vol. 15(9), pages 737-742.
  9. Ronald Bewley & Minxian Yang, 2006. "A hybrid forecasting approach for piece-wise stationary time series," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(7), pages 513-527.
  10. Minxian Yang, 2002. "Lag length and mean break in stationary VAR models," Econometrics Journal, Royal Economic Society, vol. 5(2), pages 374-387, 06.
  11. Yang, Minxian, 2001. "Closed-form likelihood function of Markov-switching models," Economics Letters, Elsevier, vol. 70(3), pages 319-326, March.
  12. Yang, Minxian, 2000. "Some Properties Of Vector Autoregressive Processes With Markov-Switching Coefficients," Econometric Theory, Cambridge University Press, vol. 16(01), pages 23-43, February.
  13. Minxian, Yang, 1998. "System estimators of cointegrating matrix in absence of normalising information," Journal of Econometrics, Elsevier, vol. 85(2), pages 317-337, August.
  14. Yang, Minxian, 1998. "On identifying permanent and transitory shocks in VAR models," Economics Letters, Elsevier, vol. 58(2), pages 171-175, February.
  15. Ronald Bewley & Minxian Yang, 1998. "On The Size And Power Of System Tests For Cointegration," The Review of Economics and Statistics, MIT Press, vol. 80(4), pages 675-679, November.
  16. Yang, Minxian & Bewley, Ronald, 1996. "On cointegration tests for VAR models with drift," Economics Letters, Elsevier, vol. 51(1), pages 45-50, April.
  17. Yang, Minxian & Bewley, Ronald, 1995. "Moving average conditional heteroskedastic processes," Economics Letters, Elsevier, vol. 49(4), pages 367-372, October.
  18. Bewley, Ronald & Yang, Minxian, 1995. "Testing for cointegration: the effects of mis-specifying the lag length," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 39(3), pages 251-255.
  19. Bewley, Ronald & Orden, David & Yang, Minxian & Fisher, Lance A., 1994. "Comparison of Box--Tiao and Johansen canonical estimators of cointegrating vectors in VEC(1) models," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 3-27.

NEP Fields

5 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (1) 2004-10-30
  2. NEP-ETS: Econometric Time Series (3) 2004-10-30 2012-10-13 2012-12-22. Author is listed
  3. NEP-FIN: Finance (1) 2004-10-30
  4. NEP-FMK: Financial Markets (2) 2013-06-16 2014-04-11. Author is listed
  5. NEP-GER: German Papers (1) 2014-04-11
  6. NEP-RMG: Risk Management (2) 2013-06-16 2014-04-11. Author is listed

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