← All authors Xiye Yang Rutgers, The State University of New Jersey (per OpenAlex) · ORCID · OpenAlex
17 papers in scope · 14 published · 4 on the econ.EM arXiv · 243 citations · h-index 8 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Pietro Emilio Spini Yuan Liao Christopher Adjaho Yongchan Kwon Kunpeng Li James M. Robins Gaoqian Xu Roshni Sahoo Hyeonseok Park Zhaonan Qu Daido Kido Jianqing Fan Hidehiko Ichimura Yanqin Fan Francis Vella Juan Carlos Escanciano Konrad Menzel Wayne Yuan Gao Jiahao Lin Victor Chernozhukov Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (3 of 17)
Multi-horizon test for market frictions
published 2025 · Journal of Econometrics · 1 citations
with Z. Merrick Li
working paper 2025 · arXiv
working paper 2025 · arXiv
Mind your language: Market responses to central bank speeches
published 2024 · Journal of Econometrics · 11 citations · first circulated 2023
Macroeconomic and financial mixed frequency factors in a big data environment
published 2024 · Journal of the Royal Statistical Society Series C (Applied Statistics) · 4 citations
with Weijia Peng, Norman R. Swanson, Chun Yao
Uniform predictive inference for factor models with instrumental and idiosyncratic betas
published 2023 · Journal of Econometrics · 4 citations · first circulated 2017
Estimation of Leverage Effect: Kernel Function and Efficiency
published 2022 · Journal of Business and Economic Statistics · 5 citations
News Arrival, Time-Varying Jump Intensity, and Realized Volatility: Conditional Testing Approach
published 2022 · Journal of Financial Econometrics · 9 citations
with Deniz Erdemlioglu
Asymptotic properties of correlation-based principal component analysis
published 2021 · Journal of Econometrics · 18 citations
Forecasting volatility using double shrinkage methods
published 2021 · Journal of Empirical Finance · 17 citations · first circulated 2019
with Mingmian Cheng, Norman R. Swanson
Predicting interest rates using shrinkage methods, real‐time diffusion indexes, and model combinations
published 2020 · Journal of Applied Econometrics · 17 citations
with Norman R. Swanson, Weiqi Xiong
Semiparametric Estimation in Continuous-Time: Asymptotics for Integrated Volatility Functionals with Small and Large Bandwidths
published 2020 · Journal of Business and Economic Statistics · 3 citations · first circulated 2018
Time-invariant restrictions of volatility functionals: Efficient estimation and specification tests
published 2019 · Journal of Econometrics · 2 citations · first circulated 2018
Testing for self-excitation in jumps
published 2018 · Journal of Econometrics · 39 citations
working paper 2017 · arXiv · 4 citations
Testing for mutually exciting jumps and financial flights in high frequency data
published 2017 · Journal of Econometrics · 37 citations
with Mardi Dungey, Deniz Erdemlioglu, Marius Matei
Estimation of the Continuous and Discontinuous Leverage Effects
published 2016 · Journal of the American Statistical Association · 72 citations · first circulated 2013
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