Xiye Yang

发表

Latent Common Return Volatility Factors: Capturing Elusive Predictive Accuracy Gains When Forecasting Volatility

Norman R. Swanson, Ming-Yen Cheng, N. Swanson, 2017 .

Estimation of the Continuous and Discontinuous Leverage Effects

Jianqing Fan, Yacine Aït-Sahalia, Yacine Ait-Sahalia, 2015, Journal of the American Statistical Association.

Semiparametric Estimation in Continuous-Time: Asymptotics for Integrated Volatility Functionals with Small and Large Bandwidths

Xiye Yang, 2018, Journal of Business & Economic Statistics.

News Arrival, Time-Varying Jump Intensity, and Realized Volatility: Conditional Testing Approach

Xiye Yang, Deniz Erdemlioglu, 2022, Journal of Financial Econometrics.

Time-Invariant Restrictions of Volatility Functionals: Efficient Estimation and Specification Tests

Xiye Yang, 2019, Journal of Econometrics.

Bias Correction and Robust Inference in Semiparametric Models

Xiye Yang, Jungjun Choi, 2019, SSRN Electronic Journal.

Asymptotic properties of correlation-based principal component analysis

Xiye Yang, Jungjun Choi, Xiye Yang, 2021, Journal of Econometrics.

Financial Flights, Stock Market Linkages and Jump Excitation

M. Dungey, Xiye Yang, Deniz Erdemlioglu, 2016 .

Financial Econometrics and Big Data: A Survey of Volatility Estimators and Tests for the Presence of Jumps and Co-Jumps

N. Swanson, A. Mukherjee, Xiye Yang, 2018 .

Estimation of Leverage Effect: Kernel Function and Efficiency

Xiye Yang, 2023 .

Estimation of the Continuous and Discontinuous Leverage Effects

Jianqing Fan, Christina Dan Wang, Yacine Aït-Sahalia, 2015, Journal of the American Statistical Association.

The Estimation of Continuous and Discontinuous Leverage Eects

Jianqing Fan, Xiye Yang, Jianqing Fan, 2013 .

Mind Your Language: Market Responses to Central Bank Speeches

Christopher J. Neely, Michael McMahon, Xiye Yang, 2023, SSRN Electronic Journal.

Uniform Inference and Prediction for Conditional Factor Models with Instrumental and Idiosyncratic Betas

Yuan Liao, Xiye Yang, 2018 .

Forecasting Volatility Using Double Shrinkage Methods

Norman R. Swanson, Ming-Yen Cheng, N. Swanson, 2019, Journal of Empirical Finance.

Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications

Christopher J. Neely, Xiye Yang, Deniz Erdemlioglu, 2023 .

Mind Your Language: Market Responses to Central Bank Speeches

Christopher J. Neely, Michael McMahon, Xiye Yang, 2023, SSRN Electronic Journal.

Testing for self-excitation in jumps

R. Laeven, Xiye Yang, H. Boswijk, 2018 .

Uniform Inference for Conditional Factor Models with Instrumental and Idiosyncratic Betas

Yuan Liao, Xiye Yang, 2017 .

Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models

Yuan Liao, Xiye Yang, 2017, 1711.04392.

Testing for Mutually Exciting Jumps and Financial Flights in High Frequency Data

Xiye Yang, Deniz Erdemlioglu, Marius Matei, 2017 .

Uniform Predictive Inference for Factor Models with Instrumental and Idiosyncratic Betas

Yuan Liao, Ming-Yen Cheng, Xiye Yang, 2023, SSRN Electronic Journal.