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
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Working Papers
2024
- 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)
2023
- Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications
Working Papers, Federal Reserve Bank of St. Louis
2018
- 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)
- Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models
Papers, arXiv.org View citations (2)
2017
- Uniform Inference for Conditional Factor Models with Instrumental and Idiosyncratic Betas
Departmental Working Papers, Rutgers University, Department of Economics
Journal Articles
2023
- Estimation of Leverage Effect: Kernel Function and Efficiency
Journal of Business & Economic Statistics, 2023, 41, (3), 939-956 View citations (2)
- Uniform predictive inference for factor models with instrumental and idiosyncratic betas
Journal of Econometrics, 2023, 237, (2)
2022
- Asymptotic properties of correlation-based principal component analysis
Journal of Econometrics, 2022, 229, (1), 1-18
2021
- Forecasting volatility using double shrinkage methods
Journal of Empirical Finance, 2021, 62, (C), 46-61 View citations (8)
- 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
- 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)
- Time-invariant restrictions of volatility functionals: Efficient estimation and specification tests
Journal of Econometrics, 2020, 215, (2), 486-516
2018
- 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)
- Testing for self-excitation in jumps
Journal of Econometrics, 2018, 203, (2), 256-266 View citations (15)
2017
- Estimation of the Continuous and Discontinuous Leverage Effects
Journal of the American Statistical Association, 2017, 112, (520), 1744-1758 View citations (34)
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