Xiye Yang : Citation Profile

Rutgers University-New Brunswick

5

H index

4

i10 index

99

Citations

RESEARCH PRODUCTION:

10

Articles

5

Papers

RESEARCH ACTIVITY:

   8 years (2017 - 2025). See details.
   Cites by year: 12
   Journals where Xiye Yang has often published
   Relations with other researchers
   Recent citing documents: 31.    Total self citations: 4 (3.88 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pya517
   Updated: 2026-01-17    RAS profile: 2024-02-07    
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Relations with other researchers

Works with:

Neely, Christopher (2)

Swanson, Norman (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 (6)

Neely, Christopher (5)

Xiu, Dacheng (3)

Swanson, Norman (3)

Zhao, Xueyan (2)

LINTON, OLIVER (2)

Niu, Linlin (2)

Yu, Jun (2)

Gradojevic, Nikola (1)

Rieder, Kilian (1)

Clements, Adam (1)

Cites to:

Bollerslev, Tim (37)

Andersen, Torben (25)

Ait-Sahalia, Yacine (23)

Tauchen, George (22)

Diebold, Francis (19)

Ng, Serena (18)

Bai, Jushan (17)

Swanson, Norman (16)

Xiu, Dacheng (15)

Watson, Mark (12)

LINTON, OLIVER (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 (2025 and 2024)

YearTitle of citing document
2025Crypto Listens: Asymmetric Reactions to Text-based Signals in Central Bank Communications. (2025). Kaplan, Samuel ; Polyzos, Efstathios ; Tercero-Lucas, David. In: Working Papers. RePEc:aoz:wpaper:365.

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2024Statistical inference for rough volatility: Central limit theorems. (2024). Liu, Yanghui ; Rosenbaum, Mathieu ; Hoffmann, Marc ; Szymanski, Gr'Egoire ; Chong, Carsten. In: Papers. RePEc:arx:papers:2210.01216.

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2025Asymptotic Expansions for High-Frequency Option Data. (2025). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2304.12450.

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

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2025Minimum Distance Estimation of Quantile Panel Data Models. (2025). Melly, Blaise ; Pons, Martina. In: Papers. RePEc:arx:papers:2502.18242.

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2025Words That Unite The World: A Unified Framework for Deciphering Central Bank Communications Globally. (2025). Zhang, Joshua ; Pardawala, Huzaifa ; Mittal, Harsit ; Aluru, Pranav ; Sukhani, Siddhant ; Kelly, Dylan Patrick ; Kim, Eric ; Shah, Agam ; Chava, Sahasra ; Ravichandran, Akshar ; Hiray, Arnav ; Yuh, Rachel ; Lee, Soungmin ; Routu, Rutwik ; Galarnyk, Michael ; Gosden, Spencer ; Somani, Siddhartha ; Ye, Liqin ; Gopal, Rudra ; Chiang, Aiden ; Tarte, Meghaj ; Bhadani, Riya ; Guda, Veer ; Jaskowski, Sebastian ; Budideti, Saketh. In: Papers. RePEc:arx:papers:2505.17048.

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2025Can AI Master Econometrics? Evidence from Econometrics AI Agent on Expert-Level Tasks. (2025). Luo, Ye ; Wu, Yuxiao ; Li, Jin ; Han, Tianyang ; Chen, Qiang ; Zhou, Tuo ; Zhang, Xiaowei. In: Papers. RePEc:arx:papers:2506.00856.

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2025Binary Response Forecasting under a Factor-Augmented Framework. (2025). Yang, Xuanbin ; Liu, Fei ; Cong, Jiachen ; Cheng, Tingting. In: Papers. RePEc:arx:papers:2507.16462.

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2025On the estimation of leverage effect and volatility of volatility in the presence of jumps. (2025). Liu, Qiang ; Zhou, Wang. In: Papers. RePEc:arx:papers:2511.00944.

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2025Monetary Policy Shocks: A New Hope. Large Language Models and Central Bank Communication.. (2025). Fernndez-Fuertes, Rubn. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp25257.

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2025The Not So Quiet Revolution: signal and noise in central bank communication. (2025). Ferreira, Leonardo ; Garzeri, Caio ; Monteiro, Victor ; Lima, Antnio ; Guillen, Diogo. In: Working Papers Series. RePEc:bcb:wpaper:635.

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2024Should Central Banks Care About Text Mining? A Literature Review. (2024). Meunier, Baptiste ; bricongne, jean-charles ; Caldeira, Raquel. In: Working papers. RePEc:bfr:banfra:950.

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2025Mapping the space of central bankers ideas. (2025). Shin, Hyun Song ; Perez-Cruz, Fernando ; Park, Taejin. In: BIS Working Papers. RePEc:bis:biswps:1299.

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2024Statistical inference for GQARCH‐Itô‐jumps model based on the realized range volatility. (2024). Yu, Jin ; Liu, Guangying ; Hao, Hongxia ; Lin, Jin Guan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:4:p:613-638.

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

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2024Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach. (2024). Zhao, Xueyan ; LINTON, OLIVER ; Hong, S Y. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2449.

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2024Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach. (2024). Zhao, Xueyan ; LINTON, OLIVER ; Hong, S Y. In: Janeway Institute Working Papers. RePEc:cam:camjip:2423.

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2025Reputation for Confidence. (2025). Gáti, Laura ; Handlan, Amy ; Gti, Laura. In: Working Paper Series. RePEc:ecb:ecbwps:20253141.

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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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2025Cross-sectional dependence in idiosyncratic volatility. (2025). Kalnina, Ilze ; Tewou, Kokouvi. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000570.

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2025Mind your language: Market responses to central bank speeches. (2025). Neely, Christopher ; Yang, Xiye ; Ahrens, Maximilian ; Erdemlioglu, Deniz ; McMahon, Michael. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pc:s0304407624002720.

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2024Volatility dynamics of agricultural futures markets under uncertainties. (2024). Uddin, Gazi ; PARK, DONGHYUN ; Zhu, Xuening ; Sheng, Lin Wen ; Dutta, Anupam. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324004626.

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2024Predicting multi-frequency crude oil price dynamics: Based on MIDAS and STL methods. (2024). Zhao, Haoran ; Ding, Lili ; Zhang, Rui. In: Energy. RePEc:eee:energy:v:313:y:2024:i:c:s0360544224037812.

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2024A Hawkes model with CARMA(p,q) intensity. (2024). Mercuri, Lorenzo ; Rroji, Edit ; Perchiazzo, Andrea. 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 ; Niu, Zibo ; Zhu, Xuehong ; Suleman, Muhammad Tahir ; 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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2024An assessment of the marginal predictive content of economic uncertainty indexes and business conditions predictors. (2024). Liu, Yang ; Swanson, Norman R. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1391-1409.

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2025Forecasting interest rates with shifting endpoints: The role of the functional demographic age distribution. (2025). Niu, Linlin ; Hong, Zhiwu ; Chen, Jiazi. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:153-174.

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2025Stylometric Analysis of Sustainable Central Bank Communications: Revealing Authorial Signatures in Monetary Policy Statements. (2025). Zkan, Brahim ; Emekci, Hakan. In: Sustainability. RePEc:gam:jsusta:v:17:y:2025:i:20:p:8979-:d:1768127.

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2025What is the Effect of Restrictions Imposed by Principal Components Analysis on the Empirical Performance of Dynamic Term Structure Models?. (2025). Juneja, Januj. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:5:d:10.1007_s10614-024-10644-y.

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2025Lessons for Monetary Policy Communication: Communication, Getting Through and Expectation Formation. (2025). McMahon, Michael. In: RBA Annual Conference Papers. RePEc:rba:rbaacp:acp2024-01.

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2024Macroeconomic attention and commodity market volatility. (2024). Skintzi, Vasiliki ; Stavroula, Fameliti. In: Empirical Economics. RePEc:spr:empeco:v:67:y:2024:i:5:d:10.1007_s00181-024-02613-z.

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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]		paper3
2018Testing for mutually exciting jumps and financial flights in high frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]		article15
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: 15		paper
2018Testing for self-excitation in jumps In: Journal of Econometrics.
[Full Text][Citation analysis]		article14
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]		article1
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]		article9
2024Mind Your Language: Market Responses to Central Bank Speeches In: Working Papers.
[Full Text][Citation analysis]		paper14
2025Testing for Multi-Asset Systemic Tail Risk 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]		article36
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]		article2
2020Predicting interest rates using shrinkage methods, real‐time diffusion indexes, and model combinations In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article5

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