Xiye Yang

Rutgers, The State University of New Jersey - Department of Economics

Assistant Professor

75 Hamilton Street

New Brunswick, NJ 08901

United States

http://economics.rutgers.edu/people/474-xiye-yang

SCHOLARLY PAPERS

9

DOWNLOADS

837

SSRN CITATIONS

4

CROSSREF CITATIONS

6

Scholarly Papers (9)

1.

Estimation of the Continuous and Discontinuous Leverage Effects

Number of pages: 67 Posted: 19 Nov 2014 Last Revised: 02 Oct 2015
Princeton University - Department of Economics, Princeton University - Bendheim Center for Finance, University of Amsterdam - Department of Quantitative Economics (KE), Columbia University - Department of Statistics and Rutgers, The State University of New Jersey - Department of Economics
Downloads 378 (85,458)
Citation 6

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2.

Financial Econometrics and Big Data: A Survey of Volatility Estimators and Tests for the Presence of Jumps and Co-Jumps

Handbook of Statistics, Forthcoming
Number of pages: 70 Posted: 17 Aug 2018
Rutgers University, New Brunswick - Department of Economics, Rutgers University, New Brunswick - Department of Economics, Rutgers University - Department of Economics and Rutgers, The State University of New Jersey - Department of Economics
Downloads 112 (266,862)

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Financial econometrics, Integrated volatility, Nonparametric estimator, Continuous time model, Jumps, Co-jumps, Big data, High-frequency data

3.

Latent Common Return Volatility Factors: Capturing Elusive Predictive Accuracy Gains When Forecasting Volatility

Number of pages: 44 Posted: 14 Jul 2017
Department of Finance, Lingnan (University) College, Sun Yat-sen University, Rutgers University - Department of Economics and Rutgers, The State University of New Jersey - Department of Economics
Downloads 98 (292,419)
Citation 1

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Forecasting, Latent common volatility factor, Dimension reduction, Factor-augmented regression, High-frequency data, High-dimensional data

4.

Testing for Mutually Exciting Jumps and Financial Flights in High Frequency Data

Journal of Econometrics, Forthcoming
Number of pages: 84 Posted: 02 Jun 2016 Last Revised: 07 Oct 2019
University of Tasmania (deceased), IESEG School of Management, LEM-CNRS 9221, France, University of Tasmania and Rutgers, The State University of New Jersey - Department of Economics
Downloads 98 (292,419)
Citation 1

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Flight-to-safety, Flight-to-quality, Mutual excitation in jumps, High frequency data, Stock-bond comovement

5.

Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models

Number of pages: 52 Posted: 15 Nov 2017 Last Revised: 03 Dec 2018
Yuan Liao and Xiye Yang
Rutgers, The State University of New Jersey - New Brunswick/Piscataway and Rutgers, The State University of New Jersey - Department of Economics
Downloads 61 (384,397)

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Large dimensions, high-frequency data, cross-sectional bootstrap

6.

Forecasting Volatility Using Double Shrinkage Methods

Number of pages: 47 Posted: 23 Aug 2019
Department of Finance, Lingnan (University) College, Sun Yat-sen University, Rutgers University - Department of Economics and Rutgers, The State University of New Jersey - Department of Economics
Downloads 29 (512,737)

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Forecasting, Latent Common Volatility Factor, Dimension Reduction, Factoraugmented Regression, High-Frequency Data, High-Dimensional Data

7.

Semiparametric Estimation in Continuous-Time: Asymptotics for Integrated Volatility Functionals With Small and Large Bandwidths

Number of pages: 36 Posted: 22 Sep 2018 Last Revised: 07 Nov 2018
Xiye Yang
Rutgers, The State University of New Jersey - Department of Economics
Downloads 28 (518,173)
Citation 3

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Semiparametric Two-Step Estimation, Bias Correction, Integrated Volatility Functionals, Matrix Calculus, Small and Large Bandwidths

8.

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

Number of pages: 70 Posted: 20 Jan 2019 Last Revised: 14 Oct 2019
Xiye Yang
Rutgers, The State University of New Jersey - Department of Economics
Downloads 17 (585,869)

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Specification test, volatility functionals, efficiency, high frequency data

9.

Bias Correction and Robust Inference in Semiparametric Models

Number of pages: 35 Posted: 02 Aug 2019
Jungjun Choi and Xiye Yang
Rutgers University, Department of Economics and Rutgers, The State University of New Jersey - Department of Economics
Downloads 16 (592,237)

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semiparametric two-step estimation, nonparametric estimator, bias, robust inference, multi-scale jackknife, analytical bias correction