High-Frequency Data

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.