Wenying Yao

Associate Professor

Melbourne Business School
University of Melbourne
200 Leicester Street
Carlton VIC 3053, Australia

w.yao@mbs.edu

About Me

I am an Associate Professor in Econometrics and Business Statistics at Melbourne Business School, University of Melbourne.

I have previously worked at Deakin University, Monash University and the University of Tasmania since I obtained my PhD degree from the Department of Econometrics and Business Statistics, Monash University in December 2013.

My research covers time series econometrics in general, with a particular focus on the applications of innovative econometric and statistical tools to macroeconomic and financial market data. I have worked on a wide range of research projects in high frequency financial econometrics, multivariate time series modelling, empirical finance, macro-econometrics, macro-financial linkages, and interdisciplinary projects on forecasting. My research has been published in top field journals in econometrics, including Journal of Econometrics, Journal of Business & Economic Statistics, Journal of Applied Econometrics, among other outlets.

You can find out more about my research here:

News and updates

Nov.2023 I have been promoted to Associate Professor at Melbourne Business School from November 2023.
Feb.2022 I will be joining Melbourne Business School as an Assistant Professor in Econometrics and Business Statistics from March 2022.
Dec.2021 My project "High-frequency Estimation of Term Structure Models at the Zero Lower Bound" has been funded by the Australian Research Council Discovery Project. I will be working with Dr. Bonsoo Koo (Monash University) and Dr. Lars Winkelmann (Freie Universität Berlin) on this project in 2022--2025.
Nov.2021 My promotion application to Associate Professor is successful, effective from January 2022.
Nov.2020 My project "New Insights on Modelling Time Trends with Panel Data: Theory and Practice" has been funded by the Australian Research Council Discovery Project. I will be working with Dr. Bin Peng (Monash University) and Prof. Joakim Westerlund (Deakin University and Lund University) on this project in 2021--2023.
Sep.2018 My promotion application to Senior Lecturer is successful, effective from January 2019.
Aug.2016 I joined Deakin University as a Lecturer in Economics.
Apr.2016 I've started working at Monash University as a Research Fellow until July 2016.
Dec.2015 I will be attending the ASSA/AEA meeting in San Francisco during 3-5 January 2016.
Nov.2015 My application to the "Australia-Germany Joint Research Co-operation Scheme" has been successful. I will be working with Dr Lars Winkelmann (Free University of Berlin) on the project "Identifying Financial Market Contagion in Real Time" in 2016-2017.
Apr.2015 My paper "The role of intra-day volatility pattern in jump detection" has been accepted by the 11th World Congress of the Econometric Society, to be held in August 2015 in Montreal, Canada.
Dec.2013 I attended the graduation ceremony on 18th December 2013 at Monash University and obtained my doctoral degree in Econometrics.
Apr.2013 I started to work as a post-doctoral research fellow at School of Economics and Finance, University of Tasmania, Australia.
Feb.2013 I submitted my PhD dissertation titled "Vector ARMA Model and Macroeconomic Modeling: Some New Methodology and Algorithms".
Dec.2012 I presented my paper "Forecasting with Error Correction VARMA Models" in the seminar series at the School of Economics and Finance, University of Tasmania.
Apr.2010 I won Econometric Game 2010 held in Amsterdam with other 4 teammates representing Monash University. (Monash news link)