Следене
Yingying Li
Yingying Li
Потвърден имейл адрес: ust.hk - Начална страница
Заглавие
Позовавания
Позовавания
Година
Microstructure noise in the continuous case: the pre-averaging approach
J Jacod, Y Li, PA Mykland, M Podolskij, M Vetter
Stochastic processes and their applications 119 (7), 2249-2276, 2009
8262009
The leverage effect puzzle: Disentangling sources of bias at high frequency
Y Ait-Sahalia, J Fan, Y Li
Journal of financial economics 109 (1), 224-249, 2013
2582013
Vast volatility matrix estimation using high-frequency data for portfolio selection
J Fan, Y Li, K Yu
Journal of the American Statistical Association 107 (497), 412-428, 2012
1682012
Approaching Mean-Variance Efficiency for Large Portfolios
M Ao, Y Li, X Zheng
Available at SSRN, 2016
1312016
Realized volatility when sampling times are possibly endogenous
Y Li, PA Mykland, E Renault, L Zhang, X Zheng
Econometric theory 30 (3), 580-605, 2014
114*2014
Are volatility estimators robust with respect to modeling assumptions?
Y Li, PA Mykland
1072007
Statistical properties of microstructure noise
J Jacod, Y Li, X Zheng
Econometrica 85 (4), 1133-1174, 2017
1062017
On the estimation of integrated covariance matrices of high dimensional diffusion processes
X Zheng, Y Li
692011
High-dimensional minimum variance portfolio estimation based on high-frequency data
TT Cai, J Hu, Y Li, X Zheng
Journal of Econometrics 214 (2), 482-494, 2020
522020
Rounding errors and volatility estimation
Y Li, PA Mykland
Journal of Financial Econometrics 13 (2), 478-504, 2015
49*2015
Estimating the integrated volatility with tick observations
J Jacod, Y Li, X Zheng
Journal of Econometrics 208 (1), 80-100, 2019
422019
Efficient estimation of integrated volatility incorporating trading information
Y Li, S Xie, X Zheng
Journal of Econometrics 195 (1), 33-50, 2016
422016
Volatility inference in the presence of both endogenous time and microstructure noise
Y Li, Z Zhang, X Zheng
Stochastic Processes and their Applications 123 (7), 2696-2727, 2013
322013
Volatility measurement with pockets of extreme return persistence
TG Andersen, Y Li, V Todorov, B Zhou
Journal of Econometrics 237 (2), 105048, 2023
272023
A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
Y Li, Z Zhang, Y Li
Journal of Econometrics 203 (2), 187-222, 2018
242018
On Euler's constant—calculating sums by integrals
L Yingying
The American mathematical monthly 109 (9), 845-850, 2002
102002
Solving the Markowitz optimization problem for large portfolios
M Ao, Y Li, X Zheng
URL http://fmaconferences. org/SanDiego/Papers/MAXSER_MengmengAo. pdf, 2017
62017
Estimating the integrated volatility when microstructure noise is dependent and observation times are irregular
J Jacod, Y Li, X Zheng
Available at SSRN 2659615, 2015
62015
Rounding Errors and Volatility Estimation
Y Li, PA Mykland
Working paper, 2008
62008
Statistical Properties of Microstructure Noise
J Jacod, Y Li, X Zheng
arXiv preprint arXiv:1302.1047, 2013
52013
Системата не може да изпълни операцията сега. Опитайте отново по-късно.
Статии 1–20