PUBLICATIONS IN REFEREED JOURNALS

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

Dungey, M., G. Milunovich, S.Thorp and M.Yang (2015b), "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

Wang, J. and M. Yang (2015a), "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

M. Yang (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

Gochoco-Bautista, M.S., J. Wang and M. Yang (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

Wang, J. and M. Yang (2013a), "On The Risk Return Relationship", Journal of Empirical Finance, 21, 132-141, DOI: 10.1016/j.jempfin.2013.01.001

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

Yang, M. (2011), "Volatility feedback and risk premium in GARCH models with generalized hyperbolic distributions", Studies in Nonlinear Dynamics & Econometrics, Vol. 15, No. 3, 124-142, Article 6, DOI: 10.2202/1558-3708.1820

Wang, J and M. Yang (2011), "Housewives of Tokyo versus the gnomes of Zurich: measuring price discovery in sequential markets", Journal of Financial Markets, 14, 82-108, doi:10.1016/j.finmar.2010.08.002

Wang, J and M. Yang (2009), "Asymmetric volatility in the foreign exchange markets", Journal of International Financial Markets, Institutions & Money, 19, 597-612, doi:10.1016/j.intfin.2008.10.001

Yang, M. (2008), "Normal log-normal mixture, leptokurtosis and skewness", Applied Economics Letters, 15, 737-742, DOI:10.1080/13504850600749073

Yang, M. and Ron Bewley (2006), "A hybrid forecasting approach for piece-wise stationary time series ", Journal of Forecasting, 25, 513-527

Yang, M. (2002), "Lag length and mean break in stationary VAR models", The Econometrics Journal, 5, 374-386, DOI: 10.1111/1368-423X.00089

Yang, M. (2001), "Closed-form likelihood function of Markov-switching models", Economics Letters, 70, 319-326, doi:10.1016/S0165-1765(00)00378-5

Yang, M. (2000), "Some properties of vector autoregressive processes with Markov-switching coefficients", Econometric Theory, 16, 23-43

Yang, M. (1998b) "On identifying permanent and transitory shocks in VAR models", Economics Letters, 58, 171-175, doi:10.1016/S0165-1765(97)00268-1

Yang, M. (1998a), "System estimators of the cointegrating matrix in absence of normalising information", Journal of Econometrics, 85, 317-337, doi:10.1016/S0304-4076(97)00104-8

Yang, M. and R. Bewley (1996), "On cointegration test for VAR models with drift", Economics Letters, 51, 45-50, doi:10.1016/0165-1765(95)00783-0

Yang, M. and R. Bewley (1995), "Moving average conditional heteroscedastic processes", Economics Letters, 49, 367-372, doi:10.1016/0165-1765(95)00708-N

Bewley, R. and M. Yang (1998), "On the size and power of cointegration tests", Review of Economics and Statistics, 80(Nov.), 675-679

Bewley, R. and M. Yang (1995a), "Testing for cointegration based on canonical correlation analysis", Journal of the American Statistical Association, 90(431), 990-996, DOI: 10.2307/2291335

Bewley, R. and M. Yang (1995b), "Testing for cointegration: the effects of mis-specifying the lag length", Mathematics and Computers in Simulation, 39, 251-255, doi:10.1016/0378-4754(95)00067-X

Bewley, R., D. Orden, M. Yang and L. Fisher (1994), "Comparison of Box-Tiao and Johansen canonical estimator of cointegrating vectors in VEC(1) models", Journal of Econometrics, 64, 3-27, doi:10.1016/0304-4076(94)90055-8

Wan, A. and M. Yang (1995), "On the use of the F ratio in a misspecified model with an  interval restriction", Journal of Computation and Simulation, 52, 151-161, DOI: 10.1080/00949659508811658

Luo, R. and M. Yang (1988), "A dynamic model for economy planning at county level", Applied Mathematics - A Journal of Chinese Universities, No.2, Vol.3

OTHER PUBLICATIONS

Yang, M. (2008a), Book review of Nonlinear Time Series Analysis, Economic Record, Vol. 84, No. 266, p396-397

Yang, M. (2000a), Book review of China's Political Economy, Journal of the Asia Pacific Economy, 5(1/2), p161-162