| Estimation of the continuous and discontinuous leverage effects Y Aït-Sahalia, J Fan, RJA Laeven, CD Wang, X Yang Journal of the American Statistical Association 112 (520), 1744-1758, 2017 | 80 | 2017 |
| Testing for self-excitation in jumps HP Boswijk, RJA Laeven, X Yang Journal of Econometrics 203 (2), 256-266, 2018 | 42 | 2018 |
| Testing for mutually exciting jumps and financial flights in high frequency data M Dungey, D Erdemlioglu, M Matei, X Yang Journal of Econometrics 202 (1), 18-44, 2018 | 38 | 2018 |
| Mind your language: Market responses to central bank speeches M Ahrens, D Erdemlioglu, M McMahon, CJ Neely, X Yang Journal of Econometrics 249, 105921, 2025 | 31 | 2025 |
| Forecasting volatility using double shrinkage methods M Cheng, NR Swanson, X Yang Journal of Empirical Finance 62, 46-61, 2021 | 22 | 2021 |
| Predicting interest rates using shrinkage methods, real‐time diffusion indexes, and model combinations NR Swanson, W Xiong, X Yang Journal of Applied Econometrics 35 (5), 587-613, 2020 | 21 | 2020 |
| Financial econometrics and big data: A survey of volatility estimators and tests for the presence of jumps and co-jumps A Mukherjee, W Peng, NR Swanson, X Yang Handbook of statistics 42, 3-59, 2020 | 21 | 2020 |
| Asymptotic properties of correlation-based principal component analysis J Choi, X Yang Journal of Econometrics 229 (1), 1-18, 2022 | 13 | 2022 |
| News arrival, time-varying jump intensity, and realized volatility: Conditional testing approach D Erdemlioglu, X Yang Journal of Financial Econometrics 21 (5), 1519-1556, 2023 | 10 | 2023 |
| Uniform inference for characteristic effects of large continuous-time linear models Y Liao, X Yang arXiv preprint arXiv:1711.04392, 2017 | 10 | 2017 |
| Semiparametric estimation in continuous-time: asymptotics for integrated volatility functionals with small and large bandwidths X Yang Journal of Business & Economic Statistics 39 (3), 793-806, 2021 | 7 | 2021 |
| Estimation of leverage effect: Kernel function and efficiency X Yang Journal of Business & Economic Statistics 41 (3), 939-956, 2023 | 4 | 2023 |
| Time-invariant restrictions of volatility functionals: Efficient estimation and specification tests X Yang Journal of Econometrics 215 (2), 486-516, 2020 | 4 | 2020 |
| Financial flights, stock market linkages and jump excitation MH Dungey, D Erdemlioglu, M Matei, X Yang | 4 | 2016 |
| Recent advances in theory and methods for the analysis of high dimensional and high frequency financial data NR Swanson, X Yang MDPI, 2021 | 3 | 2021 |
| Macroeconomic and financial mixed frequency factors in a big data environment W Peng, NR Swanson, X Yang, C Yao Journal of the Royal Statistical Society Series C: Applied Statistics 73 (3 …, 2024 | 2 | 2024 |
| Uniform predictive inference for factor models with instrumental and idiosyncratic betas M Cheng, Y Liao, X Yang Journal of Econometrics 237 (2), 105373, 2023 | 2 | 2023 |
| Macroeconomic and financial uncertainty measures in a big data environment W Peng, NR Swanson, X Yang, C Yao Available at SSRN 3964209, 2021 | 2 | 2021 |
| Fixed and long time span jump tests: New monte carlo and empirical evidence M Cheng, NR Swanson Econometrics 7 (1), 13, 2019 | 2 | 2019 |
| Uniform Inference and Prediction for Conditional Factor Models with Instrumental and Idiosyncratic Betas Y Liao, X Yang Departamental Working Papes 201711, 2018 | 2 | 2018 |
Norman R. SwansonCullen Chair & Distinguished Professor of Economics, Rutgers UniversityVerified email at rutgers.edu
