Dr Minxian YANG                                                                         m.yang@unsw.edu.au

Senior Lecturer

School of Economics

The University of New South Wales

Sydney 2052                                                                                    T:      9385-3353

AUSTRALIA                                                                                  F:      9313-6337

 

EDUCATION

 

          Doctor of Philosophy, The University of New South Wales, Australia, Oct/1994

          Master of Engineering, Wuhan University of Technology, China, Jul/1987

          Bachelor of Engineering, Wuhan University of Technology, China, Jan/1982

 

APPOINTMENTS

 

          Senior Lecturer, School of Economics, University of New South Wales, since July 1998.

          Senior Quantitative Analyst, Quantitative Research, Commonwealth Bank of Australia, July 2002 to June 2003.

          Visiting Professor, Department of Economics, University of California at San Diego, January 2001 to April 2001.

          Lecturer, School of Economics, University of New South Wales, February 1996 to June 1998.

          Research Associate, School of Economics, University of New South Wales, March 1994 to February 1996.

 

WORKING PAPERS OR UNDER REVIEW

 

·        (2014a), “The Risk-Return Relationship: Evidence from Index Return and Realised Variance Series”, presented at the 1st Conference on Recent Developments in Financial Econometrics and Applications

·        (2014b), “Binary Choice with Endogeneity: Identification via Heteroskedasticity”, draft completed (in the School’s working paper series)

·        (2014c), “Effects of Idiosyncratic Shocks on Macroeconomic Time Series”

 

 

PUBLICATIONS IN REFEREED JOURNALS

 

·        (2016), “Simultaneous Equation Systems with Heteroskedasticity: Identification, Estimation, and Stock Price Elasticities”, forthcoming Journal of Business & Economic Statistics, doi: 10.1080/07350015.2016.1149072, with G. Milunovich

·        (2015a), "Endogenous crisis dating and contagion using smooth transition structural GARCH", Journal of Banking and Finance, 58, 71-79, doi:10.1016/j.jbankfin.2015.04.006, with M. Dungey, G. Milunovich and S.Thorp

·        (2015b), "How Well Does the Weighted Price Contribution Measure Price Discovery?", Journal of Economic Dynamics and Control, 55, 113-129, DOI:10.1016/j.jedc.2015.04.002, with J. Wang

·        (2014a), "Normality of posterior distribution under mis-specification and non-smoothness, and Bayes factor for Davies’ problem", Econometric Reviews, 33(1-4), 305-336, DOI:10.1080/07474938.2013.807185

·        (2014b), "Commodity price, carry trade, and the volatility and liquidity of Asian currencies", The World Economy, 37(6), 811-833, DOI: 10.1111/twec.12089 with M.S. Gochoco-Bautista and J. Wang

·        (2013a), "On The Risk Return Relationship", Journal of Empirical Finance, 21, p132-141, with J. Wang

·        (2013b), "On Identifying Structural VAR Models via ARCH Effects", Journal of Time Series Econometrics, 5, 117-131, DOI: 10.1515/jtse-2013-0010, with G. Milunovich

·        (2011a), "Volatility feedback and risk premium in GARCH models with generalized hyperbolic distributions", Studies in Nonlinear Dynamics & Econometrics, 15(3), Article 6, DOI: 10.2202/1558-3708.1820

·        (2011b), "Housewives of Tokyo versus the Gnomes of Zurich: Measuring Price Discovery in Sequential Markets", Journal of Financial Markets, 14, 82-108, with J. Wang

·        (2009), "Asymmetric volatility in the foreign exchange markets", Journal of International Financial Markets, Institutions & Money, 19, 597-612, with J. Wang

·        (2008), "Normal Log-normal Mixture, Leptokurtosis and Skewness", Applied Economics Letters, 15, 737-742

·        (2006), "A Hybrid Forecasting Approach for Piece-wise Stationary Time Series ", Journal of Forecasting, 25, 513-527, with R. Bewley

·        (2002), "Lag length and mean break in stationary VAR models", The Econometrics Journal, 5, 374-386

·        (2001), "Closed-form Likelihood Function of Markov-switching Models", Economics Letters, 70, 319-326

·        (2000), "Some Properties of Vector Autoregressive Processes with Markov-Switching Coefficients", Econometric Theory, 16, 23-43

·        (1998b) "On Identifying Permanent and Transitory Shocks in VAR Models", Economics Letters, 58, 171-175

·        (1998a), "System Estimators of the Cointegrating Matrix in Absence of Normalising Information", Journal of Econometrics, 85, 317-337

·        (1998), "On the Size and Power of Cointegration Tests", Review of Economics and Statistics, 80(Nov.), 675-679, with R. Bewley

·        (1996), "On Cointegration Test for VAR Models with Drift", Economics Letters, 51, 45-50, with R. Bewley

·        (1995a), "Testing for Cointegration Based on Canonical Correlation Analysis", Journal of the American Statistical Association, 90(431), 990-996, with R. Bewley

·        (1995b), "Testing for Cointegration: the Effects of Mis-specifying the Lag Length", Mathematics and Computers in Simulation, 39, 251-255, with R. Bewley

·        (1995c), "Moving Average Conditional Heteroscedastic Processes", Economics Letters, 49, 367-372, with R. Bewley

·        (1995d), "On the Use of the F Ratio in a Misspecified Model with an Interval Restriction", Journal of Computation and Simulation, 52, 151-161, with A. Wan

·        (1994), "Comparison of Box-Tiao and Johansen Canonical Estimator of Cointegrating Vectors in VEC(1) Models", Journal of Econometrics, 64, 3-27, with R. Bewley, L. Fisher and D. Orden

·        (1988), "A Dynamic Model for Economy Planning at County Level", Applied Mathematics - A Journal of Chinese Universities, No.2, Vol.3, with R. Luo

 

OTHER PUBLICATIONS

 

·        (2008r), Book Review of Nonlinear Time Series Analysis, Economic Record, Vol. 84, No. 266, p396-397

·        (2000r), Book Review of China’s Political Economy, Journal of the Asia Pacific Economy, 5(1/2), p161-162