Yifan Li

The 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

  • The University of Manchester - Alliance Manchester Business School

  • Lancaster University - Department of Accounting and Finance

SCHOLARLY PAPERS

13

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SSRN CITATIONS
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24

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

  • The University of Manchester - Alliance Manchester Business School

  • Lancaster University - Department of Accounting and Finance

Scholarly Papers (13)

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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
Torben G. Andersen, Ilya Archakov, Leon Eric Grund, Nikolaus Hautsch, Yifan Li, Sergey Nasekin, Ingmar Nolte, Manh Cuong Pham, Manh Cuong Pham, Stephen J. Taylor and Viktor Todorov
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, The University of Manchester - Alliance Manchester Business SchoolLancaster University - Department of Accounting and Finance, 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 616 (73,544)
Citation 1

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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, Ingmar Nolte and Sandra Nolte (Lechner)
The University of Manchester - Alliance Manchester Business SchoolLancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Lancaster University Management School
Downloads 394 (126,099)

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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, Ingmar Nolte and Sandra Nolte (Lechner)
The University of Manchester - Alliance Manchester Business SchoolLancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Lancaster University Management School
Downloads 327 (154,729)

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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, Ingmar Nolte and Sandra Nolte (Lechner)
The University of Manchester - Alliance Manchester Business SchoolLancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Lancaster University Management School
Downloads 196 (256,518)
Citation 1

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High-Frequency Volatility Estimation, Realized Volatility, Renewal Theory

5.

Parametric Risk-Neutral Density Estimation via Finite Lognormal-Weibull Mixtures

Number of pages: 69 Posted: 19 Oct 2021 Last Revised: 24 May 2023
Yifan Li, Ingmar Nolte, Manh Cuong Pham and Manh Cuong Pham
The University of Manchester - Alliance Manchester Business SchoolLancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Lancaster University - Department of Accounting and FinanceMonash University - Department of Econometrics & Business Statistics
Downloads 157 (310,965)
Citation 2

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risk-neutral density, parametric modelling, mixture-of-distribution method

6.

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

Number of pages: 69 Posted: 14 Nov 2021 Last Revised: 10 Oct 2022
Yifan Li, Ingmar Nolte, Sandra Nolte (Lechner) and Shifan Yu
The University of Manchester - Alliance Manchester Business SchoolLancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance, Lancaster University Management School and Lancaster University Management School
Downloads 123 (376,652)

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

7.

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 and Yifan Li
University of Warwick - Warwick Business School, Nottingham University Business School China and The University of Manchester - Alliance Manchester Business SchoolLancaster University - Department of Accounting and Finance
Downloads 121 (381,334)
Citation 1

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

8.

Direct Portfolio Weight Estimator: Mitigating Specification Risk with Realized Utility

Number of pages: 31 Posted: 11 Mar 2022 Last Revised: 17 May 2022
Ekaterina Kazak, Yifan Li, Ingmar Nolte and Sandra Nolte (Lechner)
University of Manchester, The University of Manchester - Alliance Manchester Business SchoolLancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Lancaster University Management School
Downloads 104 (425,141)

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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
The University of Manchester - Alliance Manchester Business SchoolLancaster University - Department of Accounting and Finance
Downloads 63 (572,560)
Citation 3

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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, Ingmar Nolte, Michalis Vasios, Valeri Voev and Qi Xu
The University of Manchester - Alliance Manchester Business SchoolLancaster University - Department of Accounting and Finance, 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 61 (581,646)

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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 and Yao Rao
The University of Manchester - Alliance Manchester Business SchoolLancaster University - Department of Accounting and Finance and The University of Liverpool
Downloads 49 (643,630)

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cross-covariance, bias, multivariate time series.

12.

Nonparametric Range-Based Estimation of Integrated Variance with Episodic Extreme Return Persistence

Number of pages: 55 Posted: 20 Jul 2023 Last Revised: 12 Sep 2023
Yifan Li, Ingmar Nolte, Sandra Nolte (Lechner) and Shifan Yu
The University of Manchester - Alliance Manchester Business SchoolLancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance, Lancaster University Management School and Lancaster University Management School
Downloads 45 (666,705)

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High-Frequency Data, Integrated Variance, Extreme Return Persistence, Drift Burst, Range-Based Volatility Estimation

13.

Correcting the Bias of the Sample Cross-Covariance Estimator

Journal of Time Series Analysis (Forthcoming)
Number of pages: 40 Posted: 10 May 2023 Last Revised: 23 May 2023
Yifan Li
The University of Manchester - Alliance Manchester Business SchoolLancaster University - Department of Accounting and Finance
Downloads 41 (691,371)

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bias correction; cross-covariance; multivariate time series.