Citation profile for Xiye Yang

Xiye Yang : Citation Profile

Rutgers University-New Brunswick

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Citations

RESEARCH PRODUCTION:

Articles

Papers

RESEARCH ACTIVITY:

   7 years (2017 - 2024). See details.
   Cites by year: 9
   Journals where Xiye Yang has often published
   Relations with other researchers
   Recent citing documents: 16.    Total self citations: 4 (5.88 %)

MORE DETAILS IN:

EconPapers Author's homepage

ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pya517
   Updated: 2024-04-18    RAS profile: 2024-02-07
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Relations with other researchers

Works with:

Swanson, Norman (2)

Neely, Christopher (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Xiye Yang.

Is cited by:

Kalnina, Ilze (5)

Xiu, Dacheng (3)

Neely, Christopher (3)

Swanson, Norman (2)

Yu, Jun (2)

Huang, Jingzhi (1)

Ewald, Christian-Oliver (1)

Fan, Jianqing (1)

Molnár, Peter (1)

Cai, Yuzhi (1)

Yao, Wenying (1)

Cites to:

Bollerslev, Tim (33)

Tauchen, George (22)

Andersen, Torben (22)

Ait-Sahalia, Yacine (20)

Diebold, Francis (17)

Ng, Serena (15)

Swanson, Norman (14)

Xiu, Dacheng (13)

Bai, Jushan (12)

Neely, Christopher (10)

Gürkaynak, Refet (10)

Main data

Where Xiye Yang has published?

Journals with more than one article published	# docs
Journal of Econometrics	5
Journal of Business & Economic Statistics	2

Working Papers Series with more than one paper published	# docs
Working Papers / Federal Reserve Bank of St. Louis	2

Recent works citing Xiye Yang (2024 and 2023)

Year	Title of citing document
2023	Statistical inference for rough volatility: Central limit theorems. (2022). Szymanski, Gr'Egoire ; Rosenbaum, Mathieu ; Liu, Yanghui ; Hoffmann, Marc ; Chong, Carsten. In: Papers. RePEc:arx:papers:2210.01216. Full description at Econpapers \|\| Download paper
2023	Asymptotic Expansions for High-Frequency Option Data. (2023). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2304.12450. Full description at Econpapers \|\| Download paper
2024	Volatility of Volatility and Leverage Effect from Options. (2023). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2305.04137. Full description at Econpapers \|\| Download paper
2023	High Dimensional Time Series Regression Models: Applications to Statistical Learning Methods. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.16192. Full description at Econpapers \|\| Download paper
2023	. Full description at Econpapers \|\| Download paper
2023	An Unconventional FX Tail Risk Story. (2023). Stoja, Evarist ; Pambira, Alberto ; Gerba, Eddie ; Caon, Carlos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10629. Full description at Econpapers \|\| Download paper
2023	Central bank communication by ??? The economics of public policy leaks. (2023). Ehrmann, Michael ; Rieder, Kilian ; Gnan, Phillipp. In: Working Paper Series. RePEc:ecb:ecbwps:20232846. Full description at Econpapers \|\| Download paper
2023	Good and bad self-excitation: Asymmetric self-exciting jumps in Bitcoin returns. (2023). Peng, Zhe ; Xu, Mengyu ; Zhang, Zhengjun. In: Economic Modelling. RePEc:eee:ecmode:v:119:y:2023:i:c:s0264999322003613. Full description at Econpapers \|\| Download paper
2023	Surrender contagion in life insurance. (2023). Schaefer, Mick ; Lavasani, Aidin Miri ; Hilpert, Christian ; Cheng, Chunli. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:3:p:1465-1479. Full description at Econpapers \|\| Download paper
2023	The pricing of jump and diffusive risks in the cross-section of cryptocurrency returns. (2023). Kwok, Simon ; Leong, Minhao. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000786. Full description at Econpapers \|\| Download paper
2023	Stock market volatility predictability in a data-rich world: A new insight. (2023). Ma, Yuanhui ; Wahab, M. I. M., ; Wang, Jiqian. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1804-1819. Full description at Econpapers \|\| Download paper
2023	Are categorical EPU indices predictable for carbon futures volatility? Evidence from the machine learning method. (2023). Liang, Chao ; Huang, Dengshi ; Guo, Xiaozhu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:672-693. Full description at Econpapers \|\| Download paper
2023	Shot-noise cojumps: exact simulation and option pricing. (2023). Zhao, Hongbiao ; Dassios, Angelos ; Qu, Yan. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:111537. Full description at Econpapers \|\| Download paper
2023	An unconventional FX tail risk story. (2023). Stoja, Evarist ; Pambira, Alberto ; Gerba, Eddie ; Caon, Carlos. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:120052. Full description at Econpapers \|\| Download paper
2023	Which factors drive Bitcoin volatility: Macroeconomic, technical, or both?. (2023). Guo, Yangli ; Bouri, Elie ; Ma, Feng ; Wang, Jiqian. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:4:p:970-988. Full description at Econpapers \|\| Download paper

Works by Xiye Yang:

Year	Title	Type	Cited
2018	Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models In: Papers. [Full Text][Citation analysis]	paper	1
2018	Testing for mutually exciting jumps and financial flights in high frequency data In: Journal of Econometrics. [Full Text][Citation analysis]	article	13
2018	Testing for mutually exciting jumps and financial flights in high frequency data.(2018) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 13	paper
2018	Testing for self-excitation in jumps In: Journal of Econometrics. [Full Text][Citation analysis]	article	11
2020	Time-invariant restrictions of volatility functionals: Efficient estimation and specification tests In: Journal of Econometrics. [Full Text][Citation analysis]	article	0
2022	Asymptotic properties of correlation-based principal component analysis In: Journal of Econometrics. [Full Text][Citation analysis]	article	0
2023	Uniform predictive inference for factor models with instrumental and idiosyncratic betas In: Journal of Econometrics. [Full Text][Citation analysis]	article	0
2021	Forecasting volatility using double shrinkage methods In: Journal of Empirical Finance. [Full Text][Citation analysis]	article	4
2024	Mind Your Language: Market Responses to Central Bank Speeches In: Working Papers. [Full Text][Citation analysis]	paper	3
2023	Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications In: Working Papers. [Full Text][Citation analysis]	paper	0
2017	Uniform Inference for Conditional Factor Models with Instrumental and Idiosyncratic Betas In: Departmental Working Papers. [Full Text][Citation analysis]	paper	0
2017	Estimation of the Continuous and Discontinuous Leverage Effects In: Journal of the American Statistical Association. [Full Text][Citation analysis]	article	29
2021	Semiparametric Estimation in Continuous-Time: Asymptotics for Integrated Volatility Functionals with Small and Large Bandwidths In: Journal of Business & Economic Statistics. [Full Text][Citation analysis]	article	0
2023	Estimation of Leverage Effect: Kernel Function and Efficiency In: Journal of Business & Economic Statistics. [Full Text][Citation analysis]	article	0
2020	Predicting interest rates using shrinkage methods, real?time diffusion indexes, and model combinations In: Journal of Applied Econometrics. [Full Text][Citation analysis]	article	3