| On the size and power of system tests for cointegration R Bewley, M Yang Review of economics and statistics 80 (4), 675-679, 1998 | 216 | 1998 |
| Asymmetric volatility in the foreign exchange markets J Wang, M Yang Journal of International Financial Markets, Institutions and Money 19 (4 …, 2009 | 111 | 2009 |
| Endogenous crisis dating and contagion using smooth transition structural GARCH M Dungey, G Milunovich, S Thorp, M Yang Journal of Banking & Finance 58, 71-79, 2015 | 91 | 2015 |
| Some properties of vector autoregressive processes with Markov-switching coefficients M Yang Econometric Theory 16 (1), 23-43, 2000 | 84 | 2000 |
| Comparison of box—tiao and johansen canonical estimators of cointegrating vectors in vec (1) models R Bewley, D Orden, M Yang, LA Fisher Journal of Econometrics 64 (1-2), 3-27, 1994 | 62 | 1994 |
| Tests for cointegration based on canonical correlation analysis R Bewley, M Yang Journal of the American Statistical Association 90 (431), 990-996, 1995 | 60 | 1995 |
| Housewives of Tokyo versus the gnomes of Zurich: Measuring price discovery in sequential markets J Wang, M Yang Journal of Financial Markets 14 (1), 82-108, 2011 | 51 | 2011 |
| On identifying structural VAR models via ARCH effects G Milunovich, M Yang Journal of Time Series Econometrics 5 (2), 117-131, 2013 | 40 | 2013 |
| Normal log-normal mixture, leptokurtosis and skewness M Yang Applied Economics Letters 15 (9), 737-742, 2008 | 40 | 2008 |
| Conditional volatility persistence JX Wang, M Yang Available at SSRN 3080693, 2018 | 25 | 2018 |
| Moving average conditional heteroskedastic processes M Yang, R Bewley Economics Letters 49 (4), 367-372, 1995 | 24 | 1995 |
| How well does the weighted price contribution measure price discovery? J Wang, M Yang Journal of Economic Dynamics and Control 55, 113-129, 2015 | 22 | 2015 |
| On the risk return relationship J Wang, M Yang Journal of Empirical Finance 21, 132-141, 2013 | 20 | 2013 |
| On cointegration tests for VAR models with drift M Yang, R Bewley Economics Letters 51 (1), 45-50, 1996 | 20 | 1996 |
| Volatility feedback and risk premium in GARCH models with generalized hyperbolic distributions M Yang Studies in Nonlinear Dynamics & Econometrics 15 (3), 2011 | 17 | 2011 |
| Lag length and mean break in stationary VAR models M Yang The Econometrics Journal 5 (2), 374-386, 2002 | 17 | 2002 |
| On identifying permanent and transitory shocks in VAR models M Yang Economics Letters 58 (2), 171-175, 1998 | 17 | 1998 |
| Simultaneous equation systems with heteroscedasticity: identification, estimation, and stock price elasticities G Milunovich, M Yang Journal of Business & Economic Statistics 36 (2), 288-308, 2018 | 9* | 2018 |
| Testing for structural breaks in the long-run means of VARs R Bewley, M Yang Unpublished manuscript, University of New South Wales, Sydney, 2000 | 7 | 2000 |
| Inference in partially identified heteroskedastic simultaneous equations models H Lütkepohl, G Milunovich, M Yang Journal of Econometrics 218 (2), 317-345, 2020 | 6 | 2020 |
