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Details about Xiye Yang

Homepage:https://xiye-yang.github.io/
Workplace:Department of Economics, Rutgers University-New Brunswick, (more information at EDIRC)

Access statistics for papers by Xiye Yang.

Last updated 2024-02-07. Update your information in the RePEc Author Service.

Short-id: pya517


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Working Papers

2024

  1. Mind Your Language: Market Responses to Central Bank Speeches
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (5)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2023) Downloads

2023

  1. Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications
    Working Papers, Federal Reserve Bank of St. Louis Downloads

2018

  1. Testing for mutually exciting jumps and financial flights in high frequency data
    Post-Print, HAL View citations (16)
    See also Journal Article Testing for mutually exciting jumps and financial flights in high frequency data, Journal of Econometrics, Elsevier (2018) Downloads View citations (15) (2018)
  2. Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models
    Papers, arXiv.org Downloads View citations (2)

2017

  1. Uniform Inference for Conditional Factor Models with Instrumental and Idiosyncratic Betas
    Departmental Working Papers, Rutgers University, Department of Economics Downloads

Journal Articles

2023

  1. Estimation of Leverage Effect: Kernel Function and Efficiency
    Journal of Business & Economic Statistics, 2023, 41, (3), 939-956 Downloads View citations (2)
  2. Uniform predictive inference for factor models with instrumental and idiosyncratic betas
    Journal of Econometrics, 2023, 237, (2) Downloads

2022

  1. Asymptotic properties of correlation-based principal component analysis
    Journal of Econometrics, 2022, 229, (1), 1-18 Downloads

2021

  1. Forecasting volatility using double shrinkage methods
    Journal of Empirical Finance, 2021, 62, (C), 46-61 Downloads View citations (8)
  2. Semiparametric Estimation in Continuous-Time: Asymptotics for Integrated Volatility Functionals with Small and Large Bandwidths
    Journal of Business & Economic Statistics, 2021, 39, (3), 793-806 Downloads View citations (1)

2020

  1. Predicting interest rates using shrinkage methods, real‐time diffusion indexes, and model combinations
    Journal of Applied Econometrics, 2020, 35, (5), 587-613 Downloads View citations (3)
  2. Time-invariant restrictions of volatility functionals: Efficient estimation and specification tests
    Journal of Econometrics, 2020, 215, (2), 486-516 Downloads

2018

  1. Testing for mutually exciting jumps and financial flights in high frequency data
    Journal of Econometrics, 2018, 202, (1), 18-44 Downloads View citations (15)
    See also Working Paper Testing for mutually exciting jumps and financial flights in high frequency data, Post-Print (2018) View citations (16) (2018)
  2. Testing for self-excitation in jumps
    Journal of Econometrics, 2018, 203, (2), 256-266 Downloads View citations (15)

2017

  1. Estimation of the Continuous and Discontinuous Leverage Effects
    Journal of the American Statistical Association, 2017, 112, (520), 1744-1758 Downloads View citations (34)
 
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