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

12

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CITATIONS
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168

Scholarly Papers (12)

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 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 Finance and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 1,163 (16,981)

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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 and Ke Yu
Princeton University - Bendheim Center for Finance, Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of Finance and Princeton University - Bendheim Center for Finance
Downloads 695 (35,538)
Citation 29

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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 and Xinghua Zheng
Université Paris VI Pierre et Marie Curie, Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of Finance and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 608 (42,458)
Citation 16

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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, Shangyu Xie and Xinghua Zheng
Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of Finance, 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 381 (75,925)
Citation 5

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

5.

Realized Volatility When Sampling Times are Possibly Endogenous

Econometric Theory, Forthcoming
Number of pages: 45 Posted: 21 Dec 2009 Last Revised: 27 Apr 2013
Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of Finance, 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 295 (101,271)
Citation 14

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

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 and Xinghua Zheng
Université Paris VI Pierre et Marie Curie, Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of Finance and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 279 (107,493)
Citation 4

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

7.

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, Zhiyuan Zhang and Yichu Li
Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of Finance, Shanghai University of Finance and Economics - School of Statistics and Management and Investment Technology Group
Downloads 215 (139,944)
Citation 7

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

8.

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 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 Finance
Downloads 208 (144,384)
Citation 7

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

9.

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
Université Paris VI Pierre et Marie Curie, Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of Finance, University of Chicago - Department of Statistics, Aarhus University - School of Economics and Management and Ruhr Universität Bochum
Downloads 169 (174,403)
Citation 127

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

10.

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 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 Finance and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 145 (198,324)
Citation 2

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

11.

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 and Per A. Mykland
Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of Finance and University of Chicago - Department of Statistics
Downloads 35 (438,829)
Citation 14

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

12.

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

NBER Working Paper No. w17592
Number of pages: 52 Posted: 15 Nov 2011
Yacine Ait-Sahalia, Jianqing Fan 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 Finance
Downloads 31 (456,271)
Citation 12

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