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Xiye Yang · Study

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Xiye Yang

7 works· latest 2024· 1 institutionscluster: provisionalORCID 0000-0003-4858-2006

h-index7

i107

Citations209

Works here7

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Most cited in this library

Estimation of the Continuous and Discontinuous Leverage Effects2016 · 70 citations
Testing for mutually exciting jumps and financial flights in high frequency data2017 · 36 citations
Testing for self-excitation in jumps2018 · 36 citations
Asymptotic properties of correlation-based principal component analysis2021 · 18 citations
Mind your language: Market responses to central bank speeches2024 · 17 citations

Works

7 shown

Mind your language: Market responses to central bank speeches

Journal of Econometrics·2024·5 authors·Open access

17citations

Asymptotic properties of correlation-based principal component analysis

Journal of Econometrics·2021·2 authors

18citations

Financial econometrics and big data: A survey of volatility estimators and tests for the presence of jumps and co-jumps

Handbook of statistics·2019·3 authors·chapter

15citations

Forecasting Volatility Using Double Shrinkage Methods

Journal of Empirical Finance·2019·3 authors·Open access

17citations

Testing for self-excitation in jumps

Journal of Econometrics·2018·3 authors

36citations

Testing for mutually exciting jumps and financial flights in high frequency data

Journal of Econometrics·2017·4 authors

36citations

Estimation of the Continuous and Discontinuous Leverage Effects

Journal of the American Statistical Association·2016·5 authors·Open access

70citations