Xiye Yang : Citation Profile

Are you Xiye Yang?

Rutgers University-New Brunswick

5

H index

3

i10 index

73

Citations

RESEARCH PRODUCTION:

9

Articles

5

Papers

RESEARCH ACTIVITY:

   7 years (2017 - 2024). See details.
   Cites by year: 10
   Journals where Xiye Yang has often published
   Relations with other researchers
   Recent citing documents: 25.    Total self citations: 4 (5.19 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pya517
   Updated: 2024-12-03    RAS profile: 2024-02-07    
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Relations with other researchers

Works with:

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)

Neely, Christopher (3)

Xiu, Dacheng (3)

Swanson, Norman (2)

Yu, Jun (2)

Demirer, Riza (1)

Fan, Jianqing (1)

AROURI, Mohamed (1)

Cheng, Mingmian (1)

Kwok, Simon Sai Man (1)

Yao, Wenying (1)

Cites to:

Bollerslev, Tim (37)

Andersen, Torben (25)

Ait-Sahalia, Yacine (23)

Tauchen, George (22)

Diebold, Francis (15)

Xiu, Dacheng (15)

Bai, Jushan (13)

Ng, Serena (10)

LINTON, OLIVER (10)

Connor, Gregory (10)

Swanson, Norman (10)

Main data

Where Xiye Yang has published?

Journals with more than one article published# docs
Journal of Econometrics5
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
Working Papers / Federal Reserve Bank of St. Louis2

Recent works citing Xiye Yang (2024 and 2023)

YearTitle of citing document
2024Statistical 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.

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2023Asymptotic Expansions for High-Frequency Option Data. (2023). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2304.12450.

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2024Volatility of Volatility and Leverage Effect from Options. (2023). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2305.04137.

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2023.

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2024An unconventional FX tail risk story. (2024). Stoja, Evarist ; Pambira, Alberto ; Gerba, Eddie ; Caon, Carlos. In: Bank of England working papers. RePEc:boe:boeewp:1068.

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2023An Unconventional FX Tail Risk Story. (2023). Stoja, Evarist ; Pambira, Alberto ; Gerba, Eddie ; Caon, Carlos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10629.

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2023Central bank communication by ??? The economics of public policy leaks. (2023). Ehrmann, Michael ; Rieder, Kilian ; Gnan, Phillipp. In: Working Paper Series. RePEc:ecb:ecbwps:20232846.

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2023Good 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.

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2024Volatility of volatility and leverage effect from options. (2024). Todorov, Viktor ; Chong, Carsten H. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000150.

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2023Surrender 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.

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2023The 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.

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2024A Hawkes model with CARMA(p,q) intensity. (2024). Rroji, Edit ; Perchiazzo, Andrea ; Mercuri, Lorenzo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:116:y:2024:i:c:p:1-26.

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2024Do industries predict stock market volatility? Evidence from machine learning models. (2024). Demirer, Riza ; Suleman, Muhammad Tahir ; Niu, Zibo ; Zhu, Xuehong ; Zhang, Hongwei. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001713.

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2023Stock 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.

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2023The jump leverage risk premium. (2023). Todorov, Viktor ; Bollerslev, Tim. In: Journal of Financial Economics. RePEc:eee:jfinec:v:150:y:2023:i:3:s0304405x23001630.

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2023Are 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.

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2023Shot-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.

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2023An 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.

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2023Estimating a Non-parametric Memory Kernel for Mutually Exciting Point Processes*. (2023). Clements, Adam ; Volkov, V ; Lindsay, K A ; Hurn, A S. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:5:p:1759-1790..

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2023Shot-noise cojumps: Exact simulation and option pricing. (2023). Zhao, Hongbiao ; Dassios, Angelos ; Qu, Yan. In: Journal of the Operational Research Society. RePEc:taf:tjorxx:v:74:y:2023:i:3:p:647-665.

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2023Which 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.

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Works by Xiye Yang:

YearTitleTypeCited
2018Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models In: Papers.
[Full Text][Citation analysis]		paper1
2018Testing for mutually exciting jumps and financial flights in high frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]		article14
2018Testing for mutually exciting jumps and financial flights in high frequency data.(2018) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2018Testing for self-excitation in jumps In: Journal of Econometrics.
[Full Text][Citation analysis]		article13
2020Time-invariant restrictions of volatility functionals: Efficient estimation and specification tests In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
2022Asymptotic properties of correlation-based principal component analysis In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
2023Uniform predictive inference for factor models with instrumental and idiosyncratic betas In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
2021Forecasting volatility using double shrinkage methods In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article6
2024Mind Your Language: Market Responses to Central Bank Speeches In: Working Papers.
[Full Text][Citation analysis]		paper5
2023Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications In: Working Papers.
[Full Text][Citation analysis]		paper0
2017Uniform Inference for Conditional Factor Models with Instrumental and Idiosyncratic Betas In: Departmental Working Papers.
[Full Text][Citation analysis]		paper0
2017Estimation of the Continuous and Discontinuous Leverage Effects In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article33
2021Semiparametric Estimation in Continuous-Time: Asymptotics for Integrated Volatility Functionals with Small and Large Bandwidths In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article0
2023Estimation of Leverage Effect: Kernel Function and Efficiency In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article1

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