Xiye Yang (杨希野)
Rutgers, The State University of New Jersey
H-index: 8
North America-United States
Top articles of Xiye Yang (杨希野)
Macroeconomic and financial mixed frequency factors in a big data environment
Journal of the Royal Statistical Society Series C: Applied Statistics
2024/2/9
News arrival, time-varying jump intensity, and realized volatility: Conditional testing approach
Journal of Financial Econometrics
2023/12/15
Uniform predictive inference for factor models with instrumental and idiosyncratic betas
Journal of Econometrics
2023/12/1
Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications
2023/7/20
Estimation of leverage effect: Kernel function and efficiency
Journal of Business & Economic Statistics
2023/7/3
Mind Your Language: Market Responses to Central Bank Speeches
2023/6
Asymptotic properties of correlation-based principal component analysis
Journal of Econometrics
2022/7/1
Macroeconomic and financial uncertainty measures in a big data environment
Available at SSRN 3964209
2021/11/15
Supplemental Appendix for “Macroeconomic and Financial Uncertainty Measures in a Big Data Environment”
2021/11
Convolution of Kernels and Recursive Bias Correction
Available at SSRN 3931088
2021/9/27
Recent advances in theory and methods for the analysis of high dimensional and high frequency financial data
2021/8/31
Semiparametric estimation in continuous-time: asymptotics for integrated volatility functionals with small and large bandwidths
Journal of Business & Economic Statistics
2021/7/3
Forecasting volatility using double shrinkage methods
Journal of Empirical Finance
2021/6/1
Predicting interest rates using shrinkage methods, real‐time diffusion indexes, and model combinations
Journal of Applied Econometrics
2020/8
Time-invariant restrictions of volatility functionals: Efficient estimation and specification tests
Journal of econometrics
2020/4/1
Financial econometrics and big data: A survey of volatility estimators and tests for the presence of jumps and co-jumps
2020/1/1
Co-Authors
