Yingxing Li

Xiamen University

Xiamen, Fujian 361005

China

SCHOLARLY PAPERS

7

DOWNLOADS

831

SSRN CITATIONS

4

CROSSREF CITATIONS

5

Scholarly Papers (7)

1.

Large-Dimensional Positive Definite Covariance Estimation for High Frequency Data via Low-rank and Sparse Matrix Decomposition

Number of pages: 35 Posted: 08 Jul 2019 Last Revised: 29 Mar 2021
City University of Hong Kong, Cornell University - Department of Economics, Xiamen University and City University of Hong Kong (CityU) - School of Data Science
Downloads 309 (149,567)

Abstract:

Loading...

Machine Learning, Large Covariance, High Frequency, High Dimension, Positive Definite, Vast Portfolio Evaluation, Sharpe Ratios, ADMM

2.

Does Index Futures Trading Reduce Volatility in the Chinese Stock Market? A Panel Data Evaluation Approach

Number of pages: 28 Posted: 16 Apr 2013
Haiqiang Chen, Qian Han, Yingxing Li and Kai Wu
Xiamen University, Xiamen University - Wang Yanan Institute for Studies in Economics (WISE), Xiamen University and Xiamen University
Downloads 139 (312,169)
Citation 4

Abstract:

Loading...

Index futures, Spot market volatility, Panel data, Chinese stock market

3.

Financial Risk Meter based on Expectiles

Journal of Multivariate Analysis
Number of pages: 25 Posted: 01 Apr 2021 Last Revised: 29 Jun 2022
Humboldt University of Berlin, National Chiao-Tung University, Xiamen University and Blockchain Research Center
Downloads 129 (330,563)

Abstract:

Loading...

Expectiles, EVaR, CoEVaR, expectile lasso regression, network analysis, systemic risk, Financial Risk Meter

4.

Solving Euler Equations via Two-Stage Nonparametric Penalized Splines

Journal of Econometrics, Forthcoming
Number of pages: 52 Posted: 14 May 2019 Last Revised: 30 Apr 2020
Liyuan Cui, Yongmiao Hong and Yingxing Li
City University of Hong Kong, Cornell University - Department of Economics and Xiamen University
Downloads 115 (359,336)
Citation 1

Abstract:

Loading...

Euler equation, implied price-dividend ratio, nonparametric, penalized splines, two-stage regression, return predictability.

5.

Estimation and Inference for Varying-Coefficient Models With Nonstationary Regressors Using Penalized Splines

Number of pages: 44 Posted: 30 Jun 2013
Haiqiang Chen, Ying Fang and Yingxing Li
Xiamen University - Wang Yanan Institute for studies in Economics, Xiamen University and Xiamen University
Downloads 54 (556,463)
Citation 5

Abstract:

Loading...

Nonstationary Time Series, Varying-coefficient Model, Likelihood Ratio Test, Penalized Splines

6.

Spatial Functional Principal Component Analysis with Applications to Brain Image Data

SFB 649 Discussion Paper 2017-024
Number of pages: 31 Posted: 11 Dec 2017
Yingxing Li, Chen Huang and Wolfgang K. Härdle
Xiamen University, Aarhus University - Department of Economics and Business Economics and Blockchain Research Center
Downloads 44 (606,394)

Abstract:

Loading...

Principal Component Analysis; Penalized Smoothing; Asymptotics; Functional Magnetic Resonance Imaging (fMRI)

7.

K-expectiles clustering

Number of pages: 25 Posted: 09 Mar 2021
IRTG 1792, Xiamen University and Blockchain Research Center
Downloads 41 (623,199)
Citation 1

Abstract:

Loading...

clustering, expectiles, asymmetric quadratic loss, image segmentation