Integrated Volatility Functionals

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.

2020

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

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