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

7

DOWNLOADS

928

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (7)

1.

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
University of Manchester - Alliance Manchester Business School, Lancaster University - Department of Accounting and Finance and Lancaster University Management School
Downloads 269 (127,255)

Abstract:

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

2.

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

Number of pages: 36 Posted: 27 May 2016 Last Revised: 16 Jul 2019
University of Manchester - Alliance Manchester Business School, Lancaster University - Department of Accounting and Finance and Lancaster University Management School
Downloads 251 (136,649)

Abstract:

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Intensity Modelling, Market Microstructure Invariance, Volatility Modelling

3.

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, University 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 Finance, Lancaster University - Department of Accounting and Finance and Independent
Downloads 184 (183,108)

Abstract:

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Options Data, High Frequency Data, Market Microstructure

4.

Renewal Based Volatility Estimation

Number of pages: 41 Posted: 22 Feb 2018 Last Revised: 25 Sep 2019
University of Manchester - Alliance Manchester Business School, Lancaster University - Department of Accounting and Finance and Lancaster University Management School
Downloads 145 (224,130)

Abstract:

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High-Frequency Volatility Estimation, Realized Volatility, Renewal Theory

5.

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, University of Edinburgh and University of Manchester - Alliance Manchester Business School
Downloads 43 (458,026)

Abstract:

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

6.

Nearly Unbiased Estimation of Sample Skewness

Economics Letters, Forthcoming
Number of pages: 15 Posted: 19 May 2020
Yifan Li
University of Manchester - Alliance Manchester Business School
Downloads 32 (507,900)

Abstract:

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Skewness, bias, return predictability

7.

A Simple Nearly Unbiased Estimator of Cross-Covariances

Journal of Time Series Analysis (forthcoming).
Number of pages: 32
Yifan Li and Yao Rao
University of Manchester - Alliance Manchester Business School and The University of Liverpool
Downloads 4

Abstract:

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cross-covariance, bias, multivariate time series.