Yingying Li

Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of Finance

Clear Water Bay, Kowloon

Hong Kong

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 Finance

Clear Water Bay, Kowloon

Hong Kong

SCHOLARLY PAPERS

16

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161

CROSSREF CITATIONS

69

Scholarly Papers (16)

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 1,619 (15,611)
Citation 9

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

2.

Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection

Number of pages: 45 Posted: 27 Apr 2010 Last Revised: 08 Feb 2013
Jianqing Fan, Yingying Li, Yingying Li and Ke Yu
Princeton University - Bendheim Center for 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 Princeton University - Bendheim Center for Finance
Downloads 735 (48,582)
Citation 24

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3.

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 703 (51,542)
Citation 21

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

4.

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 433 (94,066)
Citation 11

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

5.

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 408 (100,861)
Citation 14

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

6.

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 404 (101,922)
Citation 3

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

7.

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
Hong Kong Polytechnic University, 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 372 (111,956)

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

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 334 (126,142)
Citation 14

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

9.

A Unified Approach to Volatility Estimation in the Presence of Both Rounding and Random Market Microstructure Noise

Number of pages: 78 Posted: 23 Dec 2015 Last Revised: 24 Nov 2017
Yingying Li, Yingying Li, Zhiyuan Zhang and Yichu Li
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, Shanghai University of Finance and Economics - School of Statistics and Management and Investment Technology Group
Downloads 283 (150,048)
Citation 6

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High-Frequency Data, Rounding Error, Market Microstructure Noise, Integrated Volatility, Realized Volatility

10.

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 217 (194,367)
Citation 3

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

11.

Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9

CREATES Research Paper 2007-43
Number of pages: 32 Posted: 24 Jun 2008 Last Revised: 20 May 2010
Jean Jacod, Yingying Li, Yingying Li, Per A. Mykland, Mark Podolskij and Mathias Vetter
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, University of Chicago - Department of Statistics, Aarhus University - School of Business and Social Sciences and Ruhr University of Bochum
Downloads 192 (217,285)
Citation 89

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consistency, continuity, discrete observation, Itý process, leverage effect, pre-averaging, quarticity, realized volatility, stable convergence

12.

Volatility Measurement with Pockets of Extreme Return Persistence

Number of pages: 48 Posted: 04 Nov 2020
Torben G. Andersen, Yingying Li, Yingying Li, Viktor Todorov and Bo Zhou
Northwestern University - Kellogg School of Management, 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, Northwestern University and Durham University Business School
Downloads 165 (247,437)
Citation 1

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extreme return persistence, high-frequency data, integrated volatility estimation, market microstructure noise, volatility forecasting.

13.

Volatility of Volatility: Estimation and Tests Based on Noisy High Frequency Data with Jumps

Journal of Econometrics, Forthcoming, HKUST Business School Research Paper No. 2021-014
Number of pages: 57 Posted: 09 Mar 2021 Last Revised: 04 Jun 2021
Yingying Li, Yingying Li, Guangying Liu, Guangying Liu and Zhiyuan Zhang
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, School of Statistics and Mathematics, Nanjing Audit UniversitySchool of Statistics and Mathematics, Nanjing Audit University and Shanghai University of Finance and Economics - School of Statistics and Management
Downloads 156 (259,333)

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Volatility of Volatility, Central Limit Theorem, High Frequency Data, Microstructure Noise, Semimartingale

14.

The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency

NBER Working Paper No. w17592
Number of pages: 52 Posted: 15 Nov 2011 Last Revised: 26 Jan 2022
Yacine Ait-Sahalia, Jianqing Fan, Yingying Li and Yingying Li
Princeton University - Department of Economics, Princeton University - Bendheim Center for Finance 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 49 (524,309)
Citation 7

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15.

Are Volatility Estimators Robust with Respect to Modeling Assumptions?

Bernoulli, Vol. 13, No. 3, pp. 601-622, 2007
Number of pages: 30 Posted: 20 May 2010
Yingying Li, Yingying Li and Per A. Mykland
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 University of Chicago - Department of Statistics
Downloads 39 (572,554)
Citation 1

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Bias Correction; Local Time, Market Microstructure, Martingale, Measurement Error, Robustness, Realized Volatility, Subsampling, Two Scales Realized Volatility

16.

Stock Co-Jump Networks

HKUST Business School Research Paper No. 2022-051
Number of pages: 33 Posted: 09 Feb 2022 Last Revised: 27 Jun 2022
Yi Ding, Yingying Li, Yingying Li, Guoli Liu and Xinghua Zheng
Hong Kong Polytechnic University, 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 12 (761,732)

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