Yingying Li

发表

Solving the High-Dimensional Markowitz Optimization Problem: When Sparse Regression Meets Random Matrix Theory

Mengmeng Ao, Yingying Li, Xinghua Zheng, 2016 .

Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9

Jean Jacod, Yingying Li, Mark Podolskij, 2007 .

High-dimensional minimum variance portfolio estimation based on high-frequency data

T. Cai, Yingying Li, Xinghua Zheng, 2020 .

High-Dimensional Minimum Variance Portfolio Estimation Based on High-Frequency Data

T. Cai, Yingying Li, Xinghua Zheng, 2019, Journal of Econometrics.

Efficient Estimation of Integrated Volatility Incorporating Trading Information

Yingying Li, Xinghua Zheng, Shangyu Xie, 2016 .

Volatility inference in the presence of both endogenous time and microstructure noise

Yingying Li, Xinghua Zheng, Zhiyuan Zhang, 2013, 1303.5809.

On the Estimation of Integrated Covariance Matrices of High Dimensional Diffusion Processes

Yingying Li, Xinghua Zheng, Yingying Li, 2010, 1005.1862.

Are Volatility Estimators Robust with Respect to Modeling Assumptions?

Yingying Li, P. Mykland, Yingying Li, 2007, 0709.0440.

Approaching Mean-Variance Efficiency for Large Portfolios

Mengmeng Ao, Yingying Li, Xinghua Zheng, 2018, The Review of Financial Studies.

High Dimensional Minimum Variance Portfolio Estimation under Statistical Factor Models

Yingying Li, Xinghua Zheng, Yi Ding, 2020 .

Solving the Markowitz Optimization Problem for Large Portfolios ∗ †

Mengmeng Ao, Yingying Li, Xinghua Zheng, 2017 .

Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale

Yingying Li, Xinghua Zheng, 2018 .

The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency

Jianqing Fan, Yingying Li, Yacine Ait-Sahalia, 2011 .

Rounding Errors and Volatility Estimation

P. Mykland, Yingying Li, 2015 .

Microstructure noise in the continuous case

P. Mykland, J. Jacod, M. Podolskij, 2008 .

Estimating the Integrated Volatility with Tick Observations

J. Jacod, Yingying Li, Xinghua Zheng, 2015 .

Statistical Properties of Microstructure Noise

J. Jacod, Yingying Li, Xinghua Zheng, 2013, 1302.1047.

Determining the Volatility of a Price Process in The Presence of Rounding Errors

P. Mykland, Yingying Li, 2006 .

A Unified Approach to Volatility Estimation in the Presence of Both Rounding and Random Market Microstructure Noise

Yingying Li, Zhiyuan Zhang, Yichu Li, 2017 .

REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS

P. Mykland, É. Renault, Lan Zhang, 2013, Econometric Theory.

Realized Volatility When Sampling Times are Possibly Endogenous 3 1

P. Mykland, Lan Zhang, Yingying Li, 2013 .

Realized Volatility When Sampling Times can be Endogenous

P. Mykland, É. Renault, Lan Zhang, 2009 .

Journal of the American Statistical Association Vast Volatility Matrix Estimation Using High- Frequency Data for Portfolio Selection Vast Volatility Matrix Estimation Using High-frequency Data for Portfolio Selection

Ke Yu, Yingying Li, Jianqing Fan, 2022 .

Volatility Measurement with Pockets of Extreme Return Persistence

T. Andersen, Yingying Li, Bo Zhou, 2020, Journal of Econometrics.

Volatility of Volatility: Estimation and Tests Based on Noisy High Frequency Data with Jumps

Yingying Li, Guangying Liu, Zhiyuan Zhang, 2021 .