Details about Xiye Yang

Access statistics for papers by Xiye Yang.

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

Short-id: pya517

Working Papers

2025

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

2024

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

2018

3. 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) View citations (15) (2018)
4. Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models
   Papers, arXiv.org View citations (3)

2017

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

Journal Articles

2023

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

2022

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

2021

4. Forecasting volatility using double shrinkage methods
   Journal of Empirical Finance, 2021, 62, (C), 46-61 View citations (8)
5. 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 View citations (1)

2020

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

2018

8. Testing for mutually exciting jumps and financial flights in high frequency data
   Journal of Econometrics, 2018, 202, (1), 18-44 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)
9. Testing for self-excitation in jumps
   Journal of Econometrics, 2018, 203, (2), 256-266 View citations (15)

2017

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