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Australian School of Business > Schools
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Minxian Yang
PhD, The University of New South Wales, Australia
Master of Engineering, Wuhan University of Technology, China
Bachelor of Engineering, Wuhan University of Technology, China
Dr Minxian Yang became an ARC research associate in the School After completing his PhD in 1994. He has been appointed as a lecturer in February 1996 and a senior lecturer in July 1998. He worked as a senior quantitative analyst for the Commonwealth Bank of Australia during 2002-2003. His field of research is time series econometrics and financial econometrics.
- Minxian Yang's personal website
Publications
Selected publications
- (2010), 'Housewives of Tokyo versus the gnomes of Zurich: measuring price discovery in sequential markets', Journal of Financial Markets, forthcoming (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
- (1998a), 'On Identifying Permanent and Transitory Shocks in VAR Models', Economics Letters, 58, 171-175
- (1998b), 'System Estimators of the Cointegrating Matrix in Absence of Normalising Information', Journal of Econometrics, 85, 317-377
- (1997), 'On the Size and Power of Cointegration Tests', Review of Economics and Statistics, 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),'Moving Average Conditional Heteroscedastic Processes', Economics Letters, 49, 367-372 (with R. Bewley)
- (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, D. Orden and L. Fisher)
Research interests
- Time series econometrics: VAR and VEC models, GARCH models, large sample properties of estimators, model identification, forecasting
- Financial econometrics: volatility modeling and forecasting, price discovery
Research grants
- Information Content of Order Flows in the Foreign Exchange and Commodities Markets (with J. Wang, D. Foster, L. Yang and I. Geninson)
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- ECON1203 Business and Economics Statistics
| - ECON2206 Introductory Econometrics
| - ECON2209 Business Forecasting
| - ECON5206 Financial Econometrics
| - ECON6201 Advanced Econometric Theory
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