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By Yingying Li

 

Home

FinStaR

Teaching

 

 

* Financial Statistics Research Group

* Post-doctoral researcher and RA positions available to study high-dimensional and high-frequency financial data.

Papers

*.Approaching Mean-Variance Efficiency for Large Portfolios, with Mengmeng Ao and Xinghua Zheng, Review of Financial Studies, to appear

*.A Univfied Approach to Volatility Estimation in the Presence of Both Rounding and Random Market Microstructure Noise, with Zhiyuan Zhang and Yichu Li, Journal of Econometrics, to appear

*.Estimating the Integrated Volatility When Microstructure Noise is Dependent and Observation Times are Irregular, with Jean Jacod and Xinghua Zheng, Journal of Econometrics, to appear.

*.Statistical Properties of Microstructure Noise, Econometrica , 85, 2017, 1133-1174, with Jean Jacod and Xinghua Zheng,

*. Efficient Estimation of Integrated Volatility Incorporating Trading Information, Journal of Econometrics, 195(1), 2016, 33-50 , with Shangyu Xie and Xinghua Zheng,

*. Rounding Errors and Volatility Estimation, Journal of Financial Econometrics, 13(2), 2015, 478-504, with Per A. Mykland.

*.Realized Volatility When Sampling Times are Possibly Endogenous, Econometric Theory, 30, 2014, 580-605, with Per Mykland, Eric Renault, Lan Zhang and Xinghua Zheng.

*.The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency, Journal of Financial Economics, 109, 2013, 224-249, with Yacine Ait-Sahalia and Jianqing Fan.

*.Volatility Inference in the Presence of Both Endogenous Time and Microstructure Noise, Stochastic Processes and their Applications (The Year of Statistics Speical Issue, edited by Rainer Dahlhaus, Jean Jacod, Per Mykland and Nakahiro Yoshida), 123, 2013, 2696-2727, with Zhiyuan Zhang and Xinghua Zheng.

*.Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection, Journal of the American Statistical Association, 107(497), 2012, 412-428, with Jianqing Fan and Ke Yu.

*.On the Estimation of Integrated Covariance Matrices of High Dimensional Diffusion Processes, Annals of Statistics, 2011, 39 (6), 3121–3151, with Xinghua Zheng. Supplementary file

*.Microstructure Noise in the Continuous Case: The Pre-Averaging Approach, Stochastic Processes and their Applications,119(7), 2009, 2249-2276. With Jean Jacod, Per A. Mykland, Mark Podolskij and Mathias Vetter.

*. Are Volatility Estimators Robust with Respect to Modeling Assumptions? , Bernoulli, 13(3), 2007, 601-622. With Per A. Mykland.

*. On Euler's Constant--Calculating Sums by Integrals. Amer.math. Monthly, Sep.2002, 845-850 

*. The Influence Analysis of Parameter Estimation in Linear Errors-in-Variables Modle. Outstanding Undergraduate Thesis, Beijing Normal University (2003)

*. The Magic of Lottery VS the Power of Mathematics (in Chinese, National First prize in the China Undergraduate Mathematical Contest in Modeling (CUMCM) 2002), with Dejun Luo, Yong Zhang

*. Three-Dimensional Reconstruction of a Blood Vessel (in Chinese, National First prize in CUMCM 2001), with Xihan Mu, Yan Li

 

Our research group, FinStaR

My CV

My Citations

Conferences and Seminars

HKUST seminar series in Quantitative Finance and Financial Technology (IAS-QFFT seminar series) Call for proposals

HKUST IAS Quantitative Finance and Fintech Mini Workshop (2016)

Ninth Annual SoFiE Conference (2016)

The First HKUST International Forum on Probability and Statistics (2013)

The 2nd HKUST International Forum on Probability and Statistics (2013)