3
H index
3
i10 index
54
Citations
Rutgers University-New Brunswick | 3 H index 3 i10 index 54 Citations RESEARCH PRODUCTION: 3 Articles 4 Papers RESEARCH ACTIVITY: 6 years (2017 - 2023). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pya517 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Xiye Yang. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Econometrics | 2 |
Working Papers Series with more than one paper published | # docs |
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Working Papers / Federal Reserve Bank of St. Louis | 2 |
Year | Title of citing document |
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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 |
2023 | 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 | . 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 | 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 |
Year | Title | Type | Cited |
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2018 | Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models In: Papers. [Full Text][Citation analysis] | paper | 2 |
2018 | Testing for mutually exciting jumps and financial flights in high frequency data In: Journal of Econometrics. [Full Text][Citation analysis] | article | 10 |
2018 | Testing for self-excitation in jumps In: Journal of Econometrics. [Full Text][Citation analysis] | article | 10 |
2023 | 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 |
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