Yifan Li

University of Manchester - Alliance Manchester Business School

Booth Street West

Manchester, M15 6PB

United Kingdom

Lancaster University - Department of Accounting and Finance

The Management School

Lancaster LA1 4YX

United Kingdom

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 38,786

SSRN RANKINGS

Top 38,786

in Total Papers Downloads

1,810

SSRN CITATIONS

4

CROSSREF CITATIONS

0

Ideas:
“  I am currently working on econometric theory with applications in finance.  ”

Scholarly Papers (11)

1.

A Descriptive Study of High-Frequency Trade and Quote Option Data

Number of pages: 80 Posted: 07 Sep 2019 Last Revised: 27 Aug 2020
Northwestern University - Kellogg School of Management, University of Vienna - Faculty of Business, Economics and Statistics, University of Vienna, University of Vienna - Department of Statistics and Operations Research, Lancaster University - Department of Accounting and FinanceUniversity of Manchester - Alliance Manchester Business School, Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and FinanceMonash University - Department of Econometrics & Business Statistics, Lancaster University - Department of Accounting and Finance and Independent
Downloads 465 (89,112)
Citation 1

Abstract:

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Options Data, High Frequency Data, Market Microstructure

2.

High-Frequency Volatility Modelling: A Markov-Switching Autoregressive Conditional Intensity Model

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 52 Posted: 27 May 2016 Last Revised: 25 Jan 2021
Yifan Li, Yifan Li, Ingmar Nolte and Sandra Nolte (Lechner)
Lancaster University - Department of Accounting and FinanceUniversity of Manchester - Alliance Manchester Business School, Lancaster University - Department of Accounting and Finance and Lancaster University Management School
Downloads 355 (121,331)

Abstract:

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Regime Switch, Intensity Modelling, Invariance, Stock Return Volatility.

3.

High-Frequency Volatility Estimation and the Relative Importance of Market Microstructure Variables

Number of pages: 63 Posted: 26 Sep 2015 Last Revised: 27 May 2018
Yifan Li, Yifan Li, Ingmar Nolte and Sandra Nolte (Lechner)
Lancaster University - Department of Accounting and FinanceUniversity of Manchester - Alliance Manchester Business School, Lancaster University - Department of Accounting and Finance and Lancaster University Management School
Downloads 303 (143,634)

Abstract:

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High-Frequency Volatility Estimation, Market Microstructure Variables, ACD Model, Best Subset Regression.

4.

Renewal Based Volatility Estimation

Number of pages: 41 Posted: 22 Feb 2018 Last Revised: 25 Sep 2019
Yifan Li, Yifan Li, Ingmar Nolte and Sandra Nolte (Lechner)
Lancaster University - Department of Accounting and FinanceUniversity of Manchester - Alliance Manchester Business School, Lancaster University - Department of Accounting and Finance and Lancaster University Management School
Downloads 182 (233,799)
Citation 1

Abstract:

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High-Frequency Volatility Estimation, Realized Volatility, Renewal Theory

5.

Testing for Jumps in a Discretely Observed Price Process with Endogenous Sampling Times

Number of pages: 71 Posted: 14 Nov 2021 Last Revised: 09 Jun 2022
Yifan Li, Yifan Li, Ingmar Nolte, Sandra Nolte (Lechner) and Shifan Yu
Lancaster University - Department of Accounting and FinanceUniversity of Manchester - Alliance Manchester Business School, Lancaster University - Department of Accounting and Finance, Lancaster University Management School and Lancaster University - Department of Accounting and Finance
Downloads 112 (341,839)

Abstract:

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high-frequency data, jump test, market microstructure noise, stochastic sampling scheme, first exit time, price staleness

6.

Social Media, Financial Reporting Opacity, and Return Co-movement: Evidence From Seeking Alpha

Journal of Financial Markets, Forthcoming
Number of pages: 58 Posted: 20 Mar 2020
Rong Ding, Hang ZHOU, Yifan Li and Yifan Li
University of Warwick - Warwick Business School, Nottingham University Business School China and Lancaster University - Department of Accounting and FinanceUniversity of Manchester - Alliance Manchester Business School
Downloads 92 (388,585)
Citation 1

Abstract:

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Social Media, Co-Movement, Seeking Alpha, Financial Reporting Opacity

7.

Mixture-of-Lognormal Risk-Neutral Density Estimation Revisited: Asymptotics, Analytical Derivatives, and the Mode Constraint

Number of pages: 63 Posted: 19 Oct 2021
Yifan Li, Yifan Li, Ingmar Nolte, Manh Cuong Pham and Manh Cuong Pham
Lancaster University - Department of Accounting and FinanceUniversity of Manchester - Alliance Manchester Business School, Lancaster University - Department of Accounting and Finance and Lancaster University - Department of Accounting and FinanceMonash University - Department of Econometrics & Business Statistics
Downloads 84 (410,764)

Abstract:

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risk-neutral density, parametric modelling, mixture-of-lognormal

8.

Direct Portfolio Weight Estimator: Mitigating Specification Risk with Realized Utility

Number of pages: 31 Posted: 11 Mar 2022 Last Revised: 17 May 2022
University of Manchester, Lancaster University - Department of Accounting and FinanceUniversity of Manchester - Alliance Manchester Business School, Lancaster University - Department of Accounting and Finance and Lancaster University Management School
Downloads 82 (416,647)

Abstract:

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portfolio allocation, high-frequency finance, realized measures, forecasting

9.

Nearly Unbiased Estimation of Sample Skewness

Economics Letters, Forthcoming
Number of pages: 15 Posted: 19 May 2020
Yifan Li and Yifan Li
Lancaster University - Department of Accounting and FinanceUniversity of Manchester - Alliance Manchester Business School
Downloads 52 (525,014)
Citation 1

Abstract:

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Skewness, bias, return predictability

10.

Weighted Least Squares Realized Covariation Estimation

Number of pages: 79 Posted: 20 Jan 2022
Yifan Li, Yifan Li, Ingmar Nolte, Michalis Vasios, Valeri Voev and Qi Xu
Lancaster University - Department of Accounting and FinanceUniversity of Manchester - Alliance Manchester Business School, Lancaster University - Department of Accounting and Finance, European Securities and Markets Authority, affiliation not provided to SSRN and Zhejiang University - School of Economics and Academy of Financial Research
Downloads 47 (547,723)

Abstract:

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Market Microstructure Noise, Realized Volatility, Realized Covariation,Weighted Least Squares, Volatility Forecasting, Asset Allocation

11.

A Simple Nearly Unbiased Estimator of Cross-Covariances

Journal of Time Series Analysis (Forthcoming).
Number of pages: 32 Posted: 01 Dec 2020
Yifan Li, Yifan Li and Yao Rao
Lancaster University - Department of Accounting and FinanceUniversity of Manchester - Alliance Manchester Business School and The University of Liverpool
Downloads 36 (604,893)

Abstract:

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cross-covariance, bias, multivariate time series.