Published and Forthcoming Papers
Yang, X.: "Estimation of Leverage Effect: Kernel Function and Efficiency," accepted, Journal of Business & Economic Statistics. [DOI]
Erdemlioglu, D. and X. Yang: "News Arrival, Time-Varying Jump Intensity, and Realized Volatility: Conditional Testing Approach," accepted, Journal of Financial Econometrics. [DOI] [SSRN]
Choi, J. and X. Yang: "Asymptotic Properties of Correlation-Based Principal Component Analysis," accepted, Journal of Econometrics. [DOI]
Yang, X. (2021): "Semiparametric Estimation in Continuous-Time: Asymptotics for Integrated Volatility Functionals With Small and Large Bandwidths," Journal of Business & Economic Statistics, 39, 793-806. [DOI] [SSRN] [Supplement]
Cheng, M., N. R. Swanson, and X. Yang (2021): "Forecasting Volatility Using Double Shrinkage Methods," Journal of Empirical Finance, 62, 46-61. [DOI] [SSRN]
Swanson, N. R., W. Xiong, and X. Yang (2020): "Predicting Interest Rates Using Shrinkage Methods, Real-Time Diffusion Indexes, and Model Combination," Journal of Applied Econometrics, 35, 587-613. [DOI]
Yang, X. (2020): "Time-Invariant Restrictions of Volatility Functionals: Efficient Estimation and Specification Tests," Journal of Econometrics, forthcoming. [DOI]
Mukherjee, A., W. Peng, N. R. Swanson, and X. Yang (2019): “Financial Econometrics and Big Data: A Survey of Volatility Estimators and Tests for the Presence of Jumps and Co-Jumps,” in Handbook of Statistics, ed. by H. D. Vinod and C. Rao, Elsevier, vol. 41, forthcoming. [DOI]
Boswijk, P. H., R. J. A. Laeven, and X. Yang (2018): "Testing for Self-Excitation in Jumps," Journal of Econometrics, 203, 256-266. [DOI] [Dropbox] [Supplement]
Dungey, M., D. Erdemlioglu, M. Matei, and X. Yang (2018): "Testing for Mutually Exciting Jumps and Financial Flights in High Frequency Data," Journal of Econometrics, 202, 18–44. [DOI] [SSRN]
Ait-Sahalia Y., J. Fan, R. J. A. Laeven, C. D. Wang, and X. Yang (2017): "Estimation of the Continuous and Discontinuous Leverage Effects," Journal of the American Statistical Association, 112, 1744–1758. [DOI] [SSRN] [Supplement]
Erdemlioglu, D. and X. Yang: "News Arrival, Time-Varying Jump Intensity, and Realized Volatility: Conditional Testing Approach," accepted, Journal of Financial Econometrics. [DOI] [SSRN]
Choi, J. and X. Yang: "Asymptotic Properties of Correlation-Based Principal Component Analysis," accepted, Journal of Econometrics. [DOI]
Yang, X. (2021): "Semiparametric Estimation in Continuous-Time: Asymptotics for Integrated Volatility Functionals With Small and Large Bandwidths," Journal of Business & Economic Statistics, 39, 793-806. [DOI] [SSRN] [Supplement]
Cheng, M., N. R. Swanson, and X. Yang (2021): "Forecasting Volatility Using Double Shrinkage Methods," Journal of Empirical Finance, 62, 46-61. [DOI] [SSRN]
Swanson, N. R., W. Xiong, and X. Yang (2020): "Predicting Interest Rates Using Shrinkage Methods, Real-Time Diffusion Indexes, and Model Combination," Journal of Applied Econometrics, 35, 587-613. [DOI]
Yang, X. (2020): "Time-Invariant Restrictions of Volatility Functionals: Efficient Estimation and Specification Tests," Journal of Econometrics, forthcoming. [DOI]
Mukherjee, A., W. Peng, N. R. Swanson, and X. Yang (2019): “Financial Econometrics and Big Data: A Survey of Volatility Estimators and Tests for the Presence of Jumps and Co-Jumps,” in Handbook of Statistics, ed. by H. D. Vinod and C. Rao, Elsevier, vol. 41, forthcoming. [DOI]
Boswijk, P. H., R. J. A. Laeven, and X. Yang (2018): "Testing for Self-Excitation in Jumps," Journal of Econometrics, 203, 256-266. [DOI] [Dropbox] [Supplement]
Dungey, M., D. Erdemlioglu, M. Matei, and X. Yang (2018): "Testing for Mutually Exciting Jumps and Financial Flights in High Frequency Data," Journal of Econometrics, 202, 18–44. [DOI] [SSRN]
Ait-Sahalia Y., J. Fan, R. J. A. Laeven, C. D. Wang, and X. Yang (2017): "Estimation of the Continuous and Discontinuous Leverage Effects," Journal of the American Statistical Association, 112, 1744–1758. [DOI] [SSRN] [Supplement]
Working Papers
Cheng, M., Y. Liao, and X. yang: "Uniform Predictive Inference for Factor Models with Instrumental and Idiosyncratic Betas," R & R, Journal of Econometrics.
Choi, J. and X. Yang: "Bias Correction and Robust Inference in Semiparametric Models," submitted.
Liao, Y. and X. Yang: "Uniform Inference for Conditional Factor Models with Instrumental and Idiosyncratic Betas." [SSRN]
Choi, J. and X. Yang: "Bias Correction and Robust Inference in Semiparametric Models," submitted.
Liao, Y. and X. Yang: "Uniform Inference for Conditional Factor Models with Instrumental and Idiosyncratic Betas." [SSRN]
Work in Progress
Li, Z., O. Linton, and X. Yang: "Testing Whether Asset Prices Have Pricing Errors."
Erdemlioglu, D., X. Yang, and K, Yilmaz: "Flight to Home and Asymmetric Tail Cycles: Identification through Mutual Excitation Approach."
Erdemlioglu, D., C. Neely, and X. Yang: "News-Driven Systemic Tail Risk at High Frequency."
Peng, W., N. R. Swanson, X. Yang, and C. Yao: "Mixing Mixed Frequency Macroeconomic Forecasting Models with High Frequency Volatility and Risk Factors: An Empirical Assessment."
Erdemlioglu, D., X. Yang, and K, Yilmaz: "Flight to Home and Asymmetric Tail Cycles: Identification through Mutual Excitation Approach."
Erdemlioglu, D., C. Neely, and X. Yang: "News-Driven Systemic Tail Risk at High Frequency."
Peng, W., N. R. Swanson, X. Yang, and C. Yao: "Mixing Mixed Frequency Macroeconomic Forecasting Models with High Frequency Volatility and Risk Factors: An Empirical Assessment."