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

3

DOWNLOADS

575

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

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 248 (124,251)

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 213 (144,234)

Abstract:

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Intensity Modelling, Market Microstructure Invariance, Volatility Modelling

3.

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 114 (243,989)

Abstract:

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High-Frequency Volatility Estimation, Realized Volatility, Renewal Theory