Xiye Yang
Biographic Data
| ID | 8920291 |
|---|---|
| NAME | Xiye Yang |
| GIVEN NAMES | Xiye |
| FAMILY NAME | Yang |
| SIGNATURE | YANG X |
| AFFILIATIONS | Rutgers, the State University of New Jersey |
| ORCID | 0000-0003-4858-2006 |
| VERIFIED | Yes |
| TOTAL WORKS | 3 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 3 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2020 |
| LATEST PUBLICATION YEAR | 2023 |
| H-INDEX | 0 |
Estimation of Leverage Effect
This article proposes more efficient estimators for the leverage effect than the existing ones. The idea is to allow for nonuniform kernel functions in the spot volatility estimates or the aggregated returns. This finding highlights a critical difference between the leverage effect and integrated volatility functionals, where the uniform kernel is optimal. Another distinction between these two cases is that the overlapping estimators of the lever…
Semiparametric Estimation in Continuous-Time
This article studies the estimation of integrated volatility functionals, which is a semiparametric two-step estimation problem in the nonstationary continuous-time setting. We generalize the asymptotic normality results of Jacod and Rosenbaum to a wider range of bandwidths. Moreover, we employ matrix calculus to obtain a new analytical bias correction and variance estimation method. The proposed method gives more succinct expressions than the el…
Predicting interest rates using shrinkage methods, real‐time diffusion indexes, and model combinations
In the context of predicting the term structure of interest rates, we explore the marginal predictive content of real‐time macroeconomic diffusion indexes extracted from a “data rich” real‐time data set, when used in dynamic Nelson–Siegel (NS) models of the variety discussed in Svensson (NBER technical report, 1994; NSS) and Diebold and Li ( Journal of Econometrics , 2006, 130 , 337–364; DNS). Our diffusion indexes are constructed using principal…
No prominent works on this page.
Predicting interest rates using shrinkage methods, real‐time diffusion indexes, and model combinations
In the context of predicting the term structure of interest rates, we explore the marginal predictive content of real‐time macroeconomic diffusion indexes extracted from a “data rich” real‐time data set, when used in dynamic Nelson–Siegel (NS) models of the variety discussed in Svensson (NBER technical report, 1994; NSS) and Diebold and Li ( Journal of Econometrics , 2006, 130 , 337–364; DNS). Our diffusion indexes are constructed using principal…
Semiparametric Estimation in Continuous-Time
This article studies the estimation of integrated volatility functionals, which is a semiparametric two-step estimation problem in the nonstationary continuous-time setting. We generalize the asymptotic normality results of Jacod and Rosenbaum to a wider range of bandwidths. Moreover, we employ matrix calculus to obtain a new analytical bias correction and variance estimation method. The proposed method gives more succinct expressions than the el…
Estimation of Leverage Effect
This article proposes more efficient estimators for the leverage effect than the existing ones. The idea is to allow for nonuniform kernel functions in the spot volatility estimates or the aggregated returns. This finding highlights a critical difference between the leverage effect and integrated volatility functionals, where the uniform kernel is optimal. Another distinction between these two cases is that the overlapping estimators of the lever…
Econometrics (3 works) · Financial Risk and Volatility Modeling (3 works) · Mathematics (3 works) · Stochastic processes and financial applications (3 works) · Computer Science (2 works) · Economics (2 works) · Monetary Policy and Economic Impact (2 works) · Statistics (2 works) · Applied Mathematics (1 work) · Complex Systems and Time Series Analysis (1 work)