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Effects of idiosyncratic shocks on macroeconomic time series

Yang, Minxian - In: Empirical economics : a journal of the Institute for … 53 (2017) 4, pp. 1441-1461

Persistent link: https://www.econbiz.de/10012019377

Volatility feedback and risk premium in GARCH models with generalized hyperbolic distributions

Yang, Minxian - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 15 (2011) 3, pp. 1-19

Persistent link: https://www.econbiz.de/10009521860

The risk return relationship : evidence from index returns and realised variances

Yang, Minxian - In: Journal of economic dynamics & control 107 (2019), pp. 1-21

Persistent link: https://www.econbiz.de/10012312640

Endogenous crisis dating and contagion using smooth transition structural GARCH

Dungey, Mardi H.; Milunovich, George; Thorp, Susan; … - In: Journal of banking & finance 58 (2015), pp. 71-79

Persistent link: https://www.econbiz.de/10011543895

How well does the weighted price contribution measure price discovery?

Wang, Jian-xin; Yang, Minxian - In: Journal of economic dynamics & control 55 (2015), pp. 113-129

Persistent link: https://www.econbiz.de/10011587172

Simultaneous equation systems with heteroscedasticity : identification, estimation, and stock price elasticities

Milunovich, George; Yang, Minxian - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 2, pp. 288-308

Persistent link: https://www.econbiz.de/10011894993

On identifying structural VAR models via ARCH effects

Milunovich, George; Yang, Minxian - In: Journal of time series econometrics 5 (2013) 2, pp. 117-131

Persistent link: https://www.econbiz.de/10010225458

Volatility feedback and risk premium in GARCH models with generalized hyperbolic distributions

Yang, Minxian - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 15 (2011) 3, pp. 1-19

Persistent link: https://www.econbiz.de/10010008353

Inference in partially identified heteroskedastic simultaneous equations models

Lütkepohl, Helmut; Milunovich, George; Yang, Minxian - In: Journal of econometrics 218 (2020) 2, pp. 317-345

Persistent link: https://www.econbiz.de/10012483004

Housewives of Tokyo versus the gnomes of Zurich: Measuring price discovery in sequential markets

Wang, Jianxin; Yang, Minxian - In: Journal of Financial Markets 14 (2011) 1, pp. 82-108

This paper presents two methods to measure market-specific contributions to price discovery in non-overlapping sequential markets: one is a non-parametric approach using high-frequency data and the other is a structural VAR model based on open-to-close returns. The methods complement the...

Persistent link: https://www.econbiz.de/10008864964