Publications

2024

• Macroeconomic and Financial Mixed Frequency Factors in a Big Data Environment
  

          Weijia Peng, Norman R Swanson, Xiye Yang, and Chun Yao
          Journal of the Royal Statistical Society Series C: Applied Statistics, 73(3),682-714.

2023

• Uniform Predictive Inference for Factor Models with Instrumental and Idiosyncratic Betas
  

          Mingmian Cheng, Yuan Liao, and Xiye Yang
          Journal of Econometrics, 237,1053-1073.
• News Arrival, Time-Varying Jump Intensity, and Realized Volatility: Conditional Testing Approach
  

          Deniz Erdemlioglu and Xiye Yang
          Journal of Business & Economic Statistics, 21,1519-1556.
• Estimation of Leverage Effect: Kernel Function and Efficiency
  

          Xiye Yang
          Journal of Business & Economic Statistics, 41,939-956.

2022

• Asymptotic Properties of Correlation-Based Principal Component Analysis
  

          Jungjun Choi and Xiye Yang
          Journal of Econometrics, 229,1-18.

2021

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

          Xiye Yang
          Journal of Business & Economic Statistics, 39,793-806.
• Forecasting Volatility Using Double Shrinkage Methods
  

          Mingmian Cheng, Norman Swanson, and Xiye Yang
          Journal of Empirical Finance, 62,46-61.

2020

• Forecasting Volatility Using Double Shrinkage Methods
  

          Norman Swanson, Weiqi Xiong, and Xiye Yang
          Journal of Applied Econometrics, 35,587-613.
• Time-Invariant Restrictions of Volatility Functionals: Efficient Estimation and Specification Tests
  

          Xiye Yang
          Journal of Econometrics, 215,486-516.
• Financial Econometrics and Big Data: A Survey of Volatility Estimators and Tests for the Presence of Jumps and Co-Jumps
  

          Arpita Mukherjee, Weijia Peng, Norman Swanson, and Xiye Yang
          Handbook of Statistics, ed. by H. D. Vinod and C. Rao, Elsevier, vol. 41,23-59.

2018

• Testing for Self-Excitation in Jumps
  

          Peter H. Boswijk, Roger J. A. Laeven, and Xiye Yang
          Journal of Econometrics, 203,256-266.
• Testing for Mutually Exciting Jumps and Financial Flights in High Frequency Data
  

          Mardi Dungey, Deniz Erdemlioglu, Marius Matei, and Xiye Yang
          Journal of Econometrics, 202,18-44.

2017

• Estimation of the Continuous and Discontinuous Leverage Effects
  

          Yacine Aït-Sahalia, Jianqing Fan, Roger J. A. Laeven, Christina Dan Wang, and Xiye Yang
          Journal of the American Statistical Association, 112,1744-1758.