| The impact of COVID-19 pandemic on the volatility connectedness network of global stock market T Cheng, J Liu, W Yao, AB Zhao Pacific-Basin Finance Journal 71, 101678, 2022 | 64 | 2022 |
| Time-varying continuous and jump betas: The role of firm characteristics and periods of stress V Alexeev, M Dungey, W Yao Journal of Empirical Finance 40, 1-19, 2017 | 38 | 2017 |
| High-dimensional predictive regression in the presence of cointegration B Koo, HM Anderson, MH Seo, W Yao Journal of Econometrics 219 (2), 456-477, 2020 | 36 | 2020 |
| Vector autoregressions and macroeconomic modeling: An error taxonomy DS Poskitt, W Yao Journal of business & economic statistics 35 (3), 407-419, 2017 | 22* | 2017 |
| Asymmetric jump beta estimation with implications for portfolio risk management V Alexeev, G Urga, W Yao International Review of Economics & Finance 62, 20-40, 2019 | 16 | 2019 |
| An examination of herding behaviour of the Chinese mutual funds: A time-varying perspective T Cheng, S Xing, W Yao Pacific-Basin Finance Journal 74, 101820, 2022 | 9 | 2022 |
| Forecasting the volatility of asset returns: The informational gains from option prices VL Martin, C Tang, W Yao International Journal of Forecasting 37 (2), 862-880, 2021 | 9 | 2021 |
| Determination of Long‐run and Short‐run Dynamics in EC‐VARMA Models via Canonical Correlations G Athanasopoulos, DS Poskitt, F Vahid, W Yao Journal of Applied Econometrics 31 (6), 1100-1119, 2016 | 9* | 2016 |
| High-frequency Characterisation of Indian Banking Stocks MA Sayeed, M Dungey, W Yao Journal of Emerging Market Finance 17 (2_suppl), S213-S238, 2018 | 7 | 2018 |
| Do market-wide circuit breakers calm markets or panic them? Evidence from the COVID-19 pandemic X Li, W Yao Evidence from the COVID-19 pandemic (May 18, 2020, 2020 | 6 | 2020 |
| On weak identification in structural VARMA models W Yao, T Kam, F Vahid Economics Letters 156, 1-6, 2017 | 5 | 2017 |
| Continuous and Jump Betas: Implications for Portfolio Diversification V Alexeev, M Dungey, W Yao Econometrics 4 (2), 27, 2016 | 5 | 2016 |
| Jump Risk in the US Financial Sector D Gajurel, M Dungey, W Yao, N Jeyasreedharan Economic Record 96 (314), 331-349, 2020 | 3 | 2020 |
| The role of intra-day volatility pattern in jump detection: empirical evidence on how financial markets respond to macroeconomic news announcements W Yao, J Tian University of Tasmania, 2015 | 2 | 2015 |
| Tail Connectedness: Measuring the Network Connectedness of Equity Markets During Crises T Cheng, J Liu, W Yao Available at SSRN 4294472, 2022 | 1 | 2022 |
| The impact of forward guidance and large-scale asset purchase programs on commodity markets P Gomis-Porqueras, S Rafiq, W Yao Studies in Nonlinear Dynamics & Econometrics, 2022 | 1 | 2022 |
| Cojump anchoring L Winkelmann, W Yao Available at SSRN 3720932, 2020 | 1 | 2020 |
| Modelling Financial Contagion Using High Frequency Data W Yao, M Dungey, V Alexeev Economic Record 96 (314), 314-330, 2020 | 1 | 2020 |
| News and expected returns in East Asian equity markets: The RV-GARCHM model VL Martin, C Tang, W Yao Journal of Asian Economics 57, 36-52, 2018 | 1 | 2018 |
| Optimal bandwidth selection for forecasting under parameter instability Y Bai, B Peng, S Shi, W Yao Available at SSRN 4997454, 2024 | | 2024 |
Mardi DungeyProfessor Economics and Finance, University of TasmaniaEmail verificata su utas.edu.au
