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

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 32,585

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Top 32,585

in Total Papers Downloads

2,986

SSRN CITATIONS
Rank 31,348

SSRN RANKINGS

Top 31,348

in Total Papers Citations

35

CROSSREF CITATIONS

1

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

Scholarly Papers (15)

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, 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 733 (67,092)
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
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 432 (129,020)

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
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 338 (169,703)

Abstract:

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

4.

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

Journal of Econometrics, Forthcoming
Number of pages: 83 Posted: 19 Oct 2021 Last Revised: 19 Apr 2024
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 233 (248,231)

Abstract:

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

5.

Renewal Based Volatility Estimation

Number of pages: 41 Posted: 22 Feb 2018 Last Revised: 25 Sep 2019
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 215 (267,922)
Citation 1

Abstract:

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High-Frequency Volatility Estimation, Realized Volatility, Renewal Theory

6.

Realized Candlestick Wicks

Number of pages: 55 Posted: 20 Jul 2023 Last Revised: 04 Jun 2024
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 211 (272,587)

Abstract:

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

7.

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

Number of pages: 53 Posted: 14 Nov 2021 Last Revised: 18 May 2024
Singapore Management University - School of Economics, 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 181 (313,074)
Citation 1

Abstract:

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High-Frequency Data, Jump Test, Market Microstructure Noise, Stochastic Sampling Scheme, First Exit Time

8.

A Linear Weight Estimator for Dynamic Global Minimum Variance Portfolio Allocation

Number of pages: 40 Posted: 11 Mar 2022 Last Revised: 30 Nov 2023
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 166 (339,618)

Abstract:

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

9.

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 150 (367,788)
Citation 1

Abstract:

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

10.

Weighted Least Squares Realized Covariation Estimation

Number of pages: 79 Posted: 20 Jan 2022
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 75 (595,869)
Citation 1

Abstract:

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

11.

Nearly Unbiased Estimation of Sample Skewness

Economics Letters, Forthcoming
Number of pages: 15 Posted: 19 May 2020 Last Revised: 01 May 2024
Yifan Li
The University of Manchester - Alliance Manchester Business SchoolLancaster University - Department of Accounting and Finance
Downloads 70 (618,977)
Citation 3

Abstract:

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Skewness, bias, return predictability

12.

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 63 (653,860)

Abstract:

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bias correction; cross-covariance; multivariate time series.

13.

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 60 (669,715)

Abstract:

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cross-covariance, bias, multivariate time series.

14.

Decoupling Interday and Intraday Volatility Dynamics with Price Durations

Number of pages: 32 Posted: 31 May 2024
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 38 (818,941)

Abstract:

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High-Frequency Data, Volatility Estimation, Price Durations, ACD model

15.

Estimating and Forecasting Skewness Using Affine Stochastic Volatility Models

Number of pages: 55 Posted: 30 May 2024
Jiayu Jin, Kevin Aretz and Yifan Li
Alliance Manchester Business School, Alliance Manchester Business School and The University of Manchester - Alliance Manchester Business SchoolLancaster University - Department of Accounting and Finance
Downloads 21 (961,817)

Abstract:

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Skewness Estimation, Discrete Returns, Leverage Effect, Compounding Effect, Affine Stochastic Volatility Models