Publications

2025

• Multi-Horizon Test for Market Frictions
  

          Zhen Merrick Li and Xiye Yang
         Journal of Econometrics, Accepted.
• Mind Your Language - Central Bank Communication, Speech-Implied Forecast Revisions, and High-Frequency Market Reaction
  

          Maximilian Ahrens, Deniz Erdemlioglu, Michael McMahon, Christopher J. Neely, and Xiye Yang
         Journal of Econometrics, 2025, 249.

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, 2024, 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, 2023, 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, 2023, 21, 1519-1556.
• Estimation of Leverage Effect: Kernel Function and Efficiency
  

          Xiye Yang
         Journal of Business & Economic Statistics, 2023, 41, 939-956.

2022

• Asymptotic Properties of Correlation-Based Principal Component Analysis
  

          Jungjun Choi and Xiye Yang
         Journal of Econometrics, 2022, 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, 2021, 39, 793-806.
• Forecasting Volatility Using Double Shrinkage Methods
  

          Mingmian Cheng, Norman Swanson, and Xiye Yang
         Journal of Empirical Finance, 2020, 62, 46-61.

2020

• Forecasting Volatility Using Double Shrinkage Methods
  

          Norman Swanson, Weiqi Xiong, and Xiye Yang
         Journal of Applied Econometrics, 2020, 35, 587-613.
• Time-Invariant Restrictions of Volatility Functionals: Efficient Estimation and Specification Tests
  

          Xiye Yang
         Journal of Econometrics, 2020, 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, 2018, 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, 2018, 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, 2017, 112, 1744-1758.