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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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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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Mind your language: market responses to central bank speeches
Ahrens, Maximilian; Erdemlioglu, Deniz; McMahon, Michael; … - 2023
Persistent link: https://www.econbiz.de/10014320637
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Systemic tail risk: high-frequency measurement, evidence and implications
Erdemlioglu, Deniz; Neely, Christopher J.; Yang, Xiye - 2023
Persistent link: https://www.econbiz.de/10014320683
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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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News arrival, time-varying jump intensity, and realized volatility : conditional testing approach
Erdemlioglu, Deniz; Yang, Xiye - In: Journal of financial econometrics 21 (2023) 5, pp. 1519-1556
Persistent link: https://www.econbiz.de/10014444697
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Mind your language : market responses to central bank speeches
Ahrens, Maximilian; Erdemlioglu, Deniz; McMahon, Michael; … - 2023
Persistent link: https://www.econbiz.de/10014325089