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Forecasting volatility using double shrinkage methods
Cheng, Mingmian; Swanson, Norman R.; Yang, Xiye - In: Journal of empirical finance 62 (2021), pp. 46-61
Persistent link: https://www.econbiz.de/10012693319
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Uniform predictive inference for factor models with instrumental and idiosyncratic betas
Cheng, Mingmian; Liao, Yuan; Yang, Xiye - In: Journal of econometrics 237 (2023) 2,3, pp. 1-28
Persistent link: https://www.econbiz.de/10014471816
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Forecast evaluation
Cheng, Mingmian; Swanson, Norman R.; Yao, Chun - In: Macroeconomic forecasting in the era of big data : …, (pp. 495-537). 2020
Persistent link: https://www.econbiz.de/10012160017
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Predicting interest rates using shrinkage methods, real‐time diffusion indexes, and model combinations
Swanson, Norman R.; Xiong, Weiqi; Yang, Xiye - In: Journal of Applied Econometrics 35 (2020) 5, pp. 587-613
Persistent link: https://www.econbiz.de/10012273439
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Semiparametric estimation in continuous-time : asymptotics for integrated volatility functionals with small and large bandwidths
Yang, Xiye - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 3, pp. 793-806
Persistent link: https://www.econbiz.de/10012587983
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Time-invariant restrictions of volatility functionals : efficient estimation and specification tests
Yang, Xiye - In: Journal of econometrics 215 (2020) 2, pp. 486-516
Persistent link: https://www.econbiz.de/10012439497
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Estimation of leverage effect : kernel function and efficiency
Yang, Xiye - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 939-956
Persistent link: https://www.econbiz.de/10014448463
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Testing for mutually exciting jumps and financial flights in high frequency data
Dungey, Mardi H.; Erdemlioglu, Deniz; Matei, Marius; … - In: Journal of econometrics 202 (2018) 1, pp. 18-44
Persistent link: https://www.econbiz.de/10011974551
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Testing for self-excitation in jumps
Boswijk, Herman Peter; Laeven, Roger J. A.; Yang, Xiye - In: Journal of econometrics 203 (2018) 2, pp. 256-266
Persistent link: https://www.econbiz.de/10011974668
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Asymptotic properties of correlation-based principal component analysis
Choi, Jungjun; Yang, Xiye - In: Journal of econometrics 229 (2022) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10013441823