Associate Professor of Econometrics and Business Statistics
Wenying Yao is an Associate Professor of Econometrics and Business Statistics at Melbourne Business School.
She joined Melbourne Business School in 2022.
After completing her PhD at Monash University in 2013, Wenying has worked at Deakin University, Monash University, and the University of Tasmania.
Wenying’s research covers time series econometrics in general, with a particular focus on the applications of innovative econometric tools to financial and macroeconomic data. She has worked on a wide range of research projects in high frequency financial econometrics, empirical finance, macro-financial linkages, and interdisciplinary projects on forecasting.
Her papers have been published in top field journals in econometrics, including Journal of Econometrics, Journal of Business & Economic Statistics, and Journal of Applied Econometrics among other outlets.
Lars Winkelmann and Wenying Yao (forthcoming), Tests for Jumps in Yield Spreads, Journal of Business & Economic Statistics.
Vance L. Martin, Chrismin Tang, and Wenying Yao (2021), Forecasting the Volatility of Asset Returns: The Informational Gains from Option Prices, International Journal of Forecasting, 37 (2), 862-880.
Bonsoo Koo, Heather M. Anderson, Myung Hwan Seo, and Wenying Yao (2020), High-dimensional Predictive Regression in the Presence of Cointegration, Journal of Econometrics, 219 (2), 456-477.
D. S. Poskitt and Wenying Yao (2017), Vector Autoregressions and Macroeconomic Modeling: An Error Taxonomy, Journal of Business & Economic Statistics, 35 (3), 407-419.
Vitali Alexeev, Mardi Dungey, and Wenying Yao (2017), Time-varying Continuous and Jump Betas: The Role of Firm Characteristics and Periods of Stress, Journal of Empirical Finance, 40, 1-19.
George Athanasopoulos, D. S. Poskitt, Farshid Vahid, and Wenying Yao (2016), Determination of Long-run and Short-run Dynamics in EC-VARMA Models via Canonical Correlations. Journal of Applied Econometrics, 31 (6), 1100-1119.