Xinghua Zheng

Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management

Clear Water Bay

Kowloon

Hong Kong

  • Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management

SCHOLARLY PAPERS

14

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107

CROSSREF CITATIONS

22

Scholarly Papers (14)

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1.

Approaching Mean-Variance Efficiency for Large Portfolios

Number of pages: 69 Posted: 06 Dec 2015 Last Revised: 19 Jul 2018
Mengmeng Ao, Yingying Li, Yingying Li and Xinghua Zheng
Xiamen University - WISE and Department of Finance, School of Economics, Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of FinanceHong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 1,726 (16,395)
Citation 9

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Large portfolio selection; Mean-variance portfolio; Sharpe ratio; Unconstrained regression; LASSO

2.

Statistical Properties of Microstructure Noise

Econometrica, Forthcoming
Number of pages: 71 Posted: 07 Feb 2013 Last Revised: 21 Feb 2017
Jean Jacod, Yingying Li, Yingying Li and Xinghua Zheng
Université Paris VI Pierre et Marie Curie, Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of FinanceHong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 742 (55,345)
Citation 21

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market microstructure noise, high frequency data, joint moments, autocovariance, autocorrelation

3.

In-Sample and Out-of-Sample Sharpe Ratios of Multi-Factor Asset Pricing Models

Number of pages: 68 Posted: 03 Oct 2019 Last Revised: 21 Mar 2022
Raymond Kan, Xiaolu Wang and Xinghua Zheng
University of Toronto - Rotman School of Management, Iowa State University and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 645 (66,517)
Citation 3

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Multi-Factor Asset Pricing Models; Sharpe Ratio; Out-of-Sample Performance

4.

High Dimensional Minimum Variance Portfolio Estimation under Statistical Factor Models

Journal of Econometrics, Forthcoming
Number of pages: 33 Posted: 17 Jul 2020
Yi Ding, Yingying Li, Yingying Li and Xinghua Zheng
University of Macau, Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of FinanceHong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 488 (94,147)
Citation 4

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Minimum variance portfolio, High dimension, Principal component analysis, Factor model

5.

High-Dimensional Minimum Variance Portfolio Estimation Based on High-Frequency Data

Journal of Econometrics, Forthcoming
Number of pages: 31 Posted: 01 Feb 2018 Last Revised: 03 Jun 2019
Tony Cai, Jianchang Hu, Yingying Li, Yingying Li and Xinghua Zheng
University of Pennsylvania - Statistics Department, University of Wisconsin - Madison - Department of Statistics, Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of FinanceHong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 462 (100,466)
Citation 3

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Minimum variance portfolio, High dimension, High frequency, CLIME estimator, Precision matrix

6.

Estimating the Integrated Volatility with Tick Observations

Number of pages: 55 Posted: 14 Sep 2015 Last Revised: 28 Aug 2017
Jean Jacod, Yingying Li, Yingying Li and Xinghua Zheng
Université Paris VI Pierre et Marie Curie, Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of FinanceHong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 452 (103,140)
Citation 20

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High frequency data, integrated volatility, market microstructure noise, dependent noise, endogenous time

7.

Efficient Estimation of Integrated Volatility Incorporating Trading Information

Number of pages: 48 Posted: 01 Jan 2014 Last Revised: 11 May 2016
Yingying Li, Yingying Li, Shangyu Xie and Xinghua Zheng
Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of FinanceHong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management, University of International Business and Economics (UIBE) - School of Banking and Finance and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 451 (103,405)
Citation 11

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High frequency data, integrated volatility, market microstructure noise, realized volatility, efficiency

8.

Realized Volatility When Sampling Times are Possibly Endogenous

Econometric Theory, Forthcoming
Number of pages: 45 Posted: 21 Dec 2009 Last Revised: 27 Apr 2013
Yingying Li, Yingying Li, Per A. Mykland, Eric Renault, Lan Zhang and Xinghua Zheng
Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of FinanceHong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management, University of Chicago - Department of Statistics, University of North Carolina (UNC) at Chapel Hill - Department of Economics, University of Illinois at Chicago - Department of Finance and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 361 (133,599)
Citation 14

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bias-correction, continuous semimartingale, discrete observation, efficiency, endogeneity, It{\^o} process, realized volatility, stable convergence

9.

Stock Co-Jump Networks

Journal of Econometrics, Forthcoming, HKUST Business School Research Paper No. 2022-051
Number of pages: 23 Posted: 09 Feb 2022 Last Revised: 29 Mar 2023
Yi Ding, Yingying Li, Yingying Li, Guoli Liu and Xinghua Zheng
University of Macau, Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of FinanceHong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management, Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 327 (148,656)

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Network, Community Detection, Jumps, Co-Jumps, Stock Dependence, High-Frequency Data

10.

Factor Modeling for Volatility

HKUST Business School Research Paper No. 2022-089
Number of pages: 63 Posted: 22 Nov 2022 Last Revised: 15 Feb 2023
Yi Ding, Robert F. Engle, Yingying Li, Yingying Li and Xinghua Zheng
University of Macau, New York University (NYU) - Department of Finance, Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of FinanceHong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 253 (193,766)

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Volatility modeling, Factor model, High-frequency data, High-dimension, Principal component analysis

11.

On the Estimation of Integrated Covariance Matrices of High Dimensional Diffusion Processes

Annals of Statistics, Forthcoming
Number of pages: 39 Posted: 14 May 2010 Last Revised: 10 Oct 2011
Xinghua Zheng, Yingying Li and Yingying Li
Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management and Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of FinanceHong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 230 (212,583)
Citation 3

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High dimension, high frequency, integrated covariance matrix, Marcenko-Pastur equation, random matrix theory, realized covariance matrix

12.

Testing High-Dimensional Covariance Matrices Under the Elliptical Distribution and Beyond

Journal of Econometrics, Forthcoming
Number of pages: 31 Posted: 19 Jul 2017 Last Revised: 15 Jun 2020
Xinxin Yang, Xinghua Zheng and Jiaqi Chen
Central University of Finance and Economics, Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management and Harbin Institute of Technology
Downloads 172 (276,863)
Citation 2

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covariance matrix, high-dimension, elliptical model, linear spectral statistics, central limit theorem, self-normalization

13.

On the Inference about the Spectral Distribution of High-Dimensional Covariance Matrix Based on High-Frequency Noisy Observations

Number of pages: 52 Posted: 14 Apr 2016 Last Revised: 11 Mar 2017
Ningning Xia and Xinghua Zheng
Shanghai University of Finance and Economics - School of Statistics and Management and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 118 (373,205)
Citation 3

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High-dimension, high-frequency, integrated covariance matrices, Marcenko-Pastur equation, microstructure noise

14.

High-Dimensional Covariance Matrices Under Dynamic Volatility Models: Asymptotics and Shrinkage Estimation

HKUST Business School Research Paper No. 2022-090
Number of pages: 49 Posted: 22 Nov 2022 Last Revised: 13 Dec 2022
Yi Ding and Xinghua Zheng
University of Macau and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 51 (606,601)

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High-dimension, dynamic volatility model, sample covariance matrix, spectral distri- bution, nonlinear shrinkage