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Yi Xue

Personal Details

First Name:Yi
Middle Name:
Last Name:Xue
Suffix:
RePEc Short-ID:pxu114
Terminal Degree: Department of Economics; Simon Fraser University (from RePEc Genealogy)

Affiliation

School of International Trade and Economics (SITE)
University of International Business and Economics (UIBE)

Beijing, China
http://site.uibe.edu.cn/
RePEc:edi:siuibcn (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Yi Xue & Xiaochuan Xing & Alexander Karaivanov, 2015. "Bogus Joint Liability Groups in Microfinance -- Theory and Evidence from China," 2015 Meeting Papers 728, Society for Economic Dynamics.
  2. Yi Xue & Ramazan Gencay, 2009. "Trading Frequency and Volatility Clustering," Working Paper series 31_09, Rimini Centre for Economic Analysis.
  3. Yi Xue & Ramazan Gencay, 2009. "Hierarchical Information and the Rate of Information Diffusion," Working Paper series 29_09, Rimini Centre for Economic Analysis.
  4. Ramazan GENCA & Rajna GIBSON & Yi XUE, 2009. "The Role of Signal Precision and Transaction Costs in Stock, Option and Volatility Trading," Swiss Finance Institute Research Paper Series 09-11, Swiss Finance Institute.

Articles

  1. Gençay, Ramazan & Signori, Daniele & Xue, Yi & Yu, Xiao & Zhang, Keyi, 2015. "Economic links and credit spreads," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 157-169.
  2. Yi Xue & Feng Gao & Xingguang Liu, 2015. "Effect of damage evolution of coal on permeability variation and analysis of gas outburst hazard with coal mining," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 79(2), pages 999-1013, November.
  3. Duan, Yunpeng & Xue, Yi, 2014. "Bipower variation with jumps and correlated returns," Economics Letters, Elsevier, vol. 125(3), pages 367-371.
  4. Yi Xue & Ramazan Gen�ay & Stephen Fagan, 2013. "Jump detection with wavelets for high-frequency financial time series," Quantitative Finance, Taylor & Francis Journals, vol. 14(8), pages 1427-1444, July.
  5. Jianpei Li & Yi Xue & Weixing Wu, 2013. "Partnership dissolution and proprietary information," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, vol. 40(2), pages 495-527, February.
  6. Xue, Yi & He, Yin & Shao, Xinjian, 2012. "Butterfly effect: The US real estate market downturn and the Asian recession," Finance Research Letters, Elsevier, vol. 9(2), pages 92-102.
  7. Xue, Yi & Gençay, Ramazan, 2012. "Trading frequency and volatility clustering," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 760-773.
  8. Xue, Yi & Gençay, Ramazan, 2012. "Hierarchical information and the rate of information diffusion," Journal of Economic Dynamics and Control, Elsevier, vol. 36(9), pages 1372-1401.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Yi Xue & Ramazan Gencay, 2009. "Trading Frequency and Volatility Clustering," Working Paper series 31_09, Rimini Centre for Economic Analysis.

    Cited by:

    1. Batten, Jonathan A. & Kinateder, Harald & Wagner, Niklas, 2014. "Multifractality and value-at-risk forecasting of exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 401(C), pages 71-81.
    2. Alessio Brini & Giacomo Toscano, 2024. "SpotV2Net: Multivariate Intraday Spot Volatility Forecasting via Vol-of-Vol-Informed Graph Attention Networks," Papers 2401.06249, arXiv.org, revised Aug 2024.
    3. Lorraine Muguto & Paul-Francois Muzindutsi, 2022. "A Comparative Analysis of the Nature of Stock Return Volatility in BRICS and G7 Markets," JRFM, MDPI, vol. 15(2), pages 1-27, February.
    4. Xue, Yi & Gençay, Ramazan, 2012. "Hierarchical information and the rate of information diffusion," Journal of Economic Dynamics and Control, Elsevier, vol. 36(9), pages 1372-1401.
    5. Nikitopoulos, Christina Sklibosios & Thomas, Alice Carole & Wang, Jianxin, 2023. "The economic impact of daily volatility persistence on energy markets," Journal of Commodity Markets, Elsevier, vol. 30(C).
    6. Borgards, Oliver & Czudaj, Robert L., 2021. "Features of overreactions in the cryptocurrency market," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 31-48.
    7. Wang, Jianxin, 2022. "Market distraction and near-zero daily volatility persistence," International Review of Financial Analysis, Elsevier, vol. 80(C).
    8. Zhao, Xiaojun & Zhang, Na & Zhang, Yali & Xu, Chao & Shang, Pengjian, 2024. "Equity markets volatility clustering: A multiscale analysis of intraday and overnight returns," Journal of Empirical Finance, Elsevier, vol. 77(C).
    9. Aitken, Michael & Cumming, Douglas & Zhan, Feng, 2013. "High frequency trading and end-of-day price dislocation," CFS Working Paper Series 2013/16, Center for Financial Studies (CFS).
    10. Christopher M Wray & Steven R Bishop, 2016. "A Financial Market Model Incorporating Herd Behaviour," PLOS ONE, Public Library of Science, vol. 11(3), pages 1-28, March.
    11. Chen, Pei-Fen & Zeng, Jhih-Hong, 2014. "Asymmetric effects of households’ financial participation on banking diversification," Journal of Financial Stability, Elsevier, vol. 13(C), pages 18-29.
    12. Cao, Guangxi & Zhang, Minjia & Li, Qingchen, 2017. "Volatility-constrained multifractal detrended cross-correlation analysis: Cross-correlation among Mainland China, US, and Hong Kong stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 472(C), pages 67-76.

  2. Yi Xue & Ramazan Gencay, 2009. "Hierarchical Information and the Rate of Information Diffusion," Working Paper series 29_09, Rimini Centre for Economic Analysis.

    Cited by:

    1. Goodman, James, 2014. "Evidence for ecological learning and domain specificity in rational asset pricing and market efficiency," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 48(C), pages 27-39.
    2. Niu, Zibo & Demirer, Riza & Suleman, Muhammad Tahir & Zhang, Hongwei & Zhu, Xuehong, 2024. "Do industries predict stock market volatility? Evidence from machine learning models," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 90(C).

Articles

  1. Gençay, Ramazan & Signori, Daniele & Xue, Yi & Yu, Xiao & Zhang, Keyi, 2015. "Economic links and credit spreads," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 157-169.

    Cited by:

    1. Hylton Hollander & Guangling Liu, 2014. "Credit spread variability in U.S. business cycles: the Great Moderation versus the Great Recession," Working Papers 15/2014, Stellenbosch University, Department of Economics.
    2. van de Leur, Michiel C.W. & Lucas, André & Seeger, Norman J., 2017. "Network, market, and book-based systemic risk rankings," Journal of Banking & Finance, Elsevier, vol. 78(C), pages 84-90.
    3. Spatareanu, Mariana & Manole, Vlad & Kabiri, Ali & Roland, Isabelle, 2023. "Bank default risk propagation along supply chains: evidence from the U.K," LSE Research Online Documents on Economics 117351, London School of Economics and Political Science, LSE Library.
    4. Senay Agca & Volodymyr Babich & John R. Birge & Jing Wu, 2022. "Credit Shock Propagation Along Supply Chains: Evidence from the CDS Market," Management Science, INFORMS, vol. 68(9), pages 6506-6538, September.
    5. Bhanu Pratap Singh Thakur & M. Kannadhasan & Vinay Goyal, 2018. "Determinants of corporate credit spread: evidence from India," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 45(1), pages 59-73, March.
    6. Ali Kabiri & Vlad Malone & Isabelle Roland & Mariana Spatareanu, 2020. "Bank default risk propagation along supply chains: evidence from the UK," CEP Discussion Papers dp1699, Centre for Economic Performance, LSE.
    7. Lian, Yili, 2017. "Financial distress and customer-supplier relationships," Journal of Corporate Finance, Elsevier, vol. 43(C), pages 397-406.
    8. Tri Tri Nguyen & Manh Cuong Nguyen & Hung Quang Bui & Tuyet Nhung Vu, 2021. "The cash-holding link within the supply chain," Review of Quantitative Finance and Accounting, Springer, vol. 57(4), pages 1309-1344, November.
    9. Mihov, Atanas & Naranjo, Andy, 2017. "Customer-base concentration and the transmission of idiosyncratic volatility along the vertical chain," Journal of Empirical Finance, Elsevier, vol. 40(C), pages 73-100.
    10. Liang He & Shouwei Li, 2017. "Network Entropy and Systemic Risk in Dynamic Banking Systems," Complexity, Hindawi, vol. 2017, pages 1-7, November.
    11. Kabiri, Ali & Malone, Vlad & Roland, Isabelle Angeline Madeleine & Spatareanu, Mariana, 2020. "Bank default risk propagation along supply chains: evidence from the UK," LSE Research Online Documents on Economics 121832, London School of Economics and Political Science, LSE Library.
    12. Martínez, Constanza & León, Carlos, 2016. "The cost of collateralized borrowing in the Colombian money market: Does connectedness matter?," Journal of Financial Stability, Elsevier, vol. 25(C), pages 193-205.
    13. Zhang, Wanjuan & Wang, Jing, 2024. "Credit risk contagion in complex companies network–Empirical research based on listed agricultural companies," Economic Analysis and Policy, Elsevier, vol. 82(C), pages 938-953.
    14. Hu, Nan & Liang, Peng & Liu, Ling & Zhu, Lu, 2022. "The bullwhip effect and credit default swap market: A study based on firm-specific bullwhip effect measure," International Review of Financial Analysis, Elsevier, vol. 84(C).
    15. Berger, Theo, 2023. "Explainable artificial intelligence and economic panel data: A study on volatility spillover along the supply chains," Finance Research Letters, Elsevier, vol. 54(C).
    16. Chowdhury, Biplob & Dungey, Mardi & Kangogo, Moses & Sayeed, Mohammad Abu & Volkov, Vladimir, 2019. "The changing network of financial market linkages: The Asian experience," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 71-92.
    17. Manh Cuong Nguyen & Viet Anh Dang & Tri Tri Nguyen, 2023. "The transfer of risk taking along the supply chain," Review of Quantitative Finance and Accounting, Springer, vol. 61(4), pages 1341-1378, November.
    18. Qian, Ya & Härdle, Wolfgang Karl & Chen, Cathy Yi-Hsuan, 2017. "Industry Interdependency Dynamics in a Network Context," SFB 649 Discussion Papers 2017-012, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    19. Borochin, Paul & Rush, Stephen, 2022. "Information networks in the financial sector and systemic risk," Journal of Banking & Finance, Elsevier, vol. 134(C).
    20. Mariana Spatareanu & Vlad Manole & Ali Kabiri & Isabelle Roland, 2021. "Bank Default Risk Propagation along Supply Chains: Evidence from the U.K," Working Papers Rutgers University, Newark 2021-001, Department of Economics, Rutgers University, Newark.
    21. Spatareanu, Mariana & Manole, Vlad & Kabiri, Ali & Roland, Isabelle, 2023. "Bank default risk propagation along supply chains: Evidence from the U.K," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 813-831.
    22. Spatareanu, M. & Manole, V. & Kabiri, A. & Roland, I., 2020. "Bank Default Risk Propagation along Supply Chains: Evidence from the U.K," Cambridge Working Papers in Economics 2058, Faculty of Economics, University of Cambridge.

  2. Yi Xue & Feng Gao & Xingguang Liu, 2015. "Effect of damage evolution of coal on permeability variation and analysis of gas outburst hazard with coal mining," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 79(2), pages 999-1013, November.

    Cited by:

    1. Huang, Laisheng & Li, Bo & Li, Chao & Wu, Bing & Wang, Jingxin, 2024. "Research on anisotropic characteristics and energy damage evolution mechanism of bedding coal under uniaxial compression," Energy, Elsevier, vol. 301(C).
    2. Xiong Ding & Cheng Zhai & Jizhao Xu & Xu Yu & Yong Sun, 2022. "Study on Coal Seepage Characteristics and Secondary Enhanced Gas Extraction Technology under Dual Stress Disturbance," Sustainability, MDPI, vol. 14(22), pages 1-18, November.
    3. Zhenhua Yang & Chaojun Fan & Tianwei Lan & Sheng Li & Guifeng Wang & Mingkun Luo & Hongwei Zhang, 2019. "Dynamic Mechanical and Microstructural Properties of Outburst-Prone Coal Based on Compressive SHPB Tests," Energies, MDPI, vol. 12(22), pages 1-16, November.
    4. Yuan Zhao & Shugang Cao & Yong Li & Hongyun Yang & Ping Guo & Guojun Liu & Ruikai Pan, 2018. "Experimental and numerical investigation on the effect of moisture on coal permeability," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 90(3), pages 1201-1221, February.
    5. Yang Liu & Tong Zhang & Yankun Ma & Shuaibing Song & Ming Tang & Yanfang Li, 2022. "Deformation behavior and damage-induced permeability evolution of sandy mudstone under triaxial stress," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 113(3), pages 1729-1749, September.

  3. Duan, Yunpeng & Xue, Yi, 2014. "Bipower variation with jumps and correlated returns," Economics Letters, Elsevier, vol. 125(3), pages 367-371.

    Cited by:

    1. Li, Meiyu & Gençay, Ramazan & Xue, Yi, 2016. "Is it Brownian or fractional Brownian motion?," Economics Letters, Elsevier, vol. 145(C), pages 52-55.
    2. Keshab Shrestha, 2021. "Multifractal Detrended Fluctuation Analysis of Return on Bitcoin," International Review of Finance, International Review of Finance Ltd., vol. 21(1), pages 312-323, March.

  4. Yi Xue & Ramazan Gen�ay & Stephen Fagan, 2013. "Jump detection with wavelets for high-frequency financial time series," Quantitative Finance, Taylor & Francis Journals, vol. 14(8), pages 1427-1444, July.

    Cited by:

    1. Faria, Gonçalo & Verona, Fabio, 2020. "The yield curve and the stock market: Mind the long run," Journal of Financial Markets, Elsevier, vol. 50(C).
    2. Kilponen, Juha & Verona, Fabio, 2016. "Testing the Q theory of investment in the frequency domain," Bank of Finland Research Discussion Papers 32/2016, Bank of Finland.
    3. Antonis Michis, 2014. "Investing in Gold: Individual Asset Risk in the Long Run," Working Papers 2014-2, Central Bank of Cyprus.
    4. Faria, Gonçalo & Verona, Fabio, 2018. "Forecasting stock market returns by summing the frequency-decomposed parts," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 228-242.
    5. Bruzda Joanna, 2015. "Amplitude and phase synchronization of European business cycles: a wavelet approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(5), pages 625-655, December.

  5. Jianpei Li & Yi Xue & Weixing Wu, 2013. "Partnership dissolution and proprietary information," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, vol. 40(2), pages 495-527, February.

    Cited by:

    1. Alejandro Francetich, 2023. "When partner knows best: asymmetric expertise in partnerships," International Journal of Game Theory, Springer;Game Theory Society, vol. 52(2), pages 363-399, June.
    2. Ludwig Ensthaler & Thomas Giebe & Jianpei Li, 2014. "Speculative partnership dissolution with auctions," Review of Economic Design, Springer;Society for Economic Design, vol. 18(2), pages 127-150, June.

  6. Xue, Yi & He, Yin & Shao, Xinjian, 2012. "Butterfly effect: The US real estate market downturn and the Asian recession," Finance Research Letters, Elsevier, vol. 9(2), pages 92-102.

    Cited by:

    1. Carmen M. Reinhart & Kenneth S. Rogoff, 2009. "Is the 2007 US Sub-Prime Financial Crisis So Different?: An International Historical Comparison," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 56(3), pages 291-299.
    2. Kiohos, Apostolos & Babalos, Vassilios & Koulakiotis, Athanasios, 2017. "Wealth effect revisited: Novel evidence on long term co-memories between real estate and stock markets," Finance Research Letters, Elsevier, vol. 20(C), pages 217-222.
    3. Dewandaru, Ginanjar & Masih, Rumi & Masih, A. Mansur M., 2015. "Why is no financial crisis a dress rehearsal for the next? Exploring contagious heterogeneities across major Asian stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 241-259.
    4. Dewandaru, Ginanjar & Masih, Rumi & Masih, A. Mansur M., 2016. "Contagion and interdependence across Asia-Pacific equity markets: An analysis based on multi-horizon discrete and continuous wavelet transformations," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 363-377.
    5. Reinhart, Carmen & Rogoff, Kenneth, 2008. "¿Es tan diferente la crisis financiera de sub-prime en EEUU? Una comparacion historica internacional [“Is The 2007 U.S. Subprime Crisis So Different? An International Historical Comparison,”]," MPRA Paper 13656, University Library of Munich, Germany.
    6. Avishek Bhandari, 2020. "A wavelet analysis of inter-dependence, contagion and long memory among global equity markets," Papers 2003.14110, arXiv.org.
    7. Rajan Sruthi & Santhakumar Shijin, 2020. "Investigating liquidity constraints as a channel of contagion: a regime switching approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-21, December.

  7. Xue, Yi & Gençay, Ramazan, 2012. "Trading frequency and volatility clustering," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 760-773.
    See citations under working paper version above.
  8. Xue, Yi & Gençay, Ramazan, 2012. "Hierarchical information and the rate of information diffusion," Journal of Economic Dynamics and Control, Elsevier, vol. 36(9), pages 1372-1401.
    See citations under working paper version above.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-CTA: Contract Theory and Applications (2) 2009-06-03 2015-09-26
  2. NEP-CNA: China (1) 2015-09-26
  3. NEP-DEM: Demographic Economics (1) 2015-09-26
  4. NEP-MFD: Microfinance (1) 2015-09-26
  5. NEP-MST: Market Microstructure (1) 2009-06-03
  6. NEP-PPM: Project, Program and Portfolio Management (1) 2015-09-26

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