Jump Intensity

2023

• 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.

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.