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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

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

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

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

Uniform inference for conditional factor models with instrumental and idiosyncratic betas

Liao, Yuan; Yang, Xiye - 2017

It has been well known in financial economics that factor betas depend on observed instruments such as firm specific characteristics and macroeconomic variables, and a key object of interest is the effect of instruments on the factor betas. One of the key features of our model is that we specify...

Persistent link: https://www.econbiz.de/10011771555