Integrated Volatility Functionals

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.

2020

• Time-Invariant Restrictions of Volatility Functionals: Efficient Estimation and Specification Tests
  

          Xiye Yang
         Journal of Econometrics, 2020, 215, 486-516.