Yingxing Li

Xiamen University

Xiamen, Fujian 361005

China

SCHOLARLY PAPERS

7

DOWNLOADS

587

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 222 (175,506)

Abstract:

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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 120 (294,024)
Citation 4

Abstract:

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

3.

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 80 (382,769)
Citation 1

Abstract:

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

4.

Financial Risk Meter based on Expectiles

Number of pages: 25 Posted: 01 Apr 2021 Last Revised: 26 Oct 2021
Humboldt University of Berlin - School of Business and Economics, National Chiao-Tung University, Xiamen University and Blockchain Research Center
Downloads 75 (400,067)

Abstract:

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

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 42 (520,106)
Citation 5

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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 26 (607,515)

Abstract:

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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 22 (649,065)
Citation 1

Abstract:

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clustering, expectiles, asymmetric quadratic loss, image segmentation