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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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Fixed and long time span jump tests : new Monte Carlo and empirical evidence
Cheng, Mingmian; Swanson, Norman R. - In: Econometrics : open access journal 7 (2019) 1/13, pp. 1-32
Numerous tests designed to detect realized jumps over a fixed time span have been proposed and extensively studied in the financial econometrics literature. These tests differ from “long time span tests” that detect jumps by examining the magnitude of the jump intensity parameter in the data...
Persistent link: https://www.econbiz.de/10012025640
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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
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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