Xiye Yang
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Affiliations
-
Rutgers University-New Brunswick
/ Department of Economics
Research profile
author of:
- Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models (RePEc:arx:papers:1711.04392)
by Yuan Liao & Xiye Yang - Mind Your Language: Market Responses to Central Bank Speeches (RePEc:cpr:ceprdp:18191)
by McMahon, Michael & Ahrens, Maximilian & Erdemlioglu, Deniz & Neely, Christopher J & Yang, Xiye - Testing for mutually exciting jumps and financial flights in high frequency data (RePEc:eee:econom:v:202:y:2018:i:1:p:18-44)
by Dungey, Mardi & Erdemlioglu, Deniz & Matei, Marius & Yang, Xiye - Testing for self-excitation in jumps (RePEc:eee:econom:v:203:y:2018:i:2:p:256-266)
by Boswijk, H. Peter & Laeven, Roger J.A. & Yang, Xiye - Time-invariant restrictions of volatility functionals: Efficient estimation and specification tests (RePEc:eee:econom:v:215:y:2020:i:2:p:486-516)
by Yang, Xiye - Asymptotic properties of correlation-based principal component analysis (RePEc:eee:econom:v:229:y:2022:i:1:p:1-18)
by Choi, Jungjun & Yang, Xiye - Uniform predictive inference for factor models with instrumental and idiosyncratic betas (RePEc:eee:econom:v:237:y:2023:i:2:s0304407622002123)
by Cheng, Mingmian & Liao, Yuan & Yang, Xiye - Forecasting volatility using double shrinkage methods (RePEc:eee:empfin:v:62:y:2021:i:c:p:46-61)
by Cheng, Mingmian & Swanson, Norman R. & Yang, Xiye - Mind Your Language: Market Responses to Central Bank Speeches (RePEc:fip:fedlwp:96270)
by Maximilian Ahrens & Deniz Erdemlioglu & Michael McMahon & Christopher J. Neely & Xiye Yang - Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications (RePEc:fip:fedlwp:96490)
by Deniz Erdemlioglu & Christopher J. Neely & Xiye Yang - Testing for mutually exciting jumps and financial flights in high frequency data (RePEc:hal:journl:hal-02995949)
by Mardi Dungey & Deniz Erdemlioglu & Marius Matei & Xiye Yang - Uniform Inference for Conditional Factor Models with Instrumental and Idiosyncratic Betas (RePEc:rut:rutres:201711)
by Yuan Liao & Xiye Yang - Estimation of the Continuous and Discontinuous Leverage Effects (RePEc:taf:jnlasa:v:112:y:2017:i:520:p:1744-1758)
by Yacine Aït-Sahalia & Jianqing Fan & Roger J. A. Laeven & Christina Dan Wang & Xiye Yang - Semiparametric Estimation in Continuous-Time: Asymptotics for Integrated Volatility Functionals with Small and Large Bandwidths (RePEc:taf:jnlbes:v:39:y:2021:i:3:p:793-806)
by Xiye Yang - Estimation of Leverage Effect: Kernel Function and Efficiency (RePEc:taf:jnlbes:v:41:y:2023:i:3:p:939-956)
by Xiye Yang - Predicting interest rates using shrinkage methods, real‐time diffusion indexes, and model combinations (RePEc:wly:japmet:v:35:y:2020:i:5:p:587-613)
by Norman R. Swanson & Weiqi Xiong & Xiye Yang