Publications

Our Faculty members are frequent contributors to world-renowned journals and serve on editorial boards of top IS, OM and Statistics academic journals.

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Business Statistics

Bayesian Systemic Risk Analysis using Latent Space Network Models

So, Mike Ka Pui, Chan, Wing Chun, Chu, Amanda Man Ying
Data Science in Science, v. 3, (1), December 2024, article number 2381724
Business Statistics

Robo-advising Risk Profiling through Content Analysis for Sustainable Development in the Hong Kong Financial Market

So, Mike Ka Pui
Sustainability (Switzerland), v. 13, (3), 2021, article number 1306, p. 1-15
Business Statistics

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

Cai, Tianwen Tony; Hu, Jianchang; Li, Yingying; Zheng, Xinghua
Journal of Econometrics, v. 214, (2), 2020, p. 482-494
Business Statistics

Approaching Mean-Variance Efficiency for Large Portfolios

Ao, Mengmeng; Li, Yingying; Zheng, Xinghua
Review of Financial Studies, v. 32, (7), 2018, p. 2890-2919
Business Statistics

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

Li, Yingying; Zhang, Zhiyuan; Li, Yichu
Journal of Econometrics, v. 203, (2), 2018, p. 187-222
Business Statistics

Statistical Properties of Microstructure Noise

Jacod, Jean; Li, Yingying; Zheng, Xinghua
Econometrica, v. 85, (4), 2017, p. 1133-1174
Business Statistics

Rounding Errors and Volatility Estimation

Li, Yingying; Mykland, Per Aslak
Journal of Financial Econometrics, v. 13, (2), 2015, article number nbu005, p. 478-504
Business Statistics

The leverage effect puzzle: Disentangling sources of bias at high frequency

Ait-sahalia, Yacine ; Fan, Jianqing; Li, Yingying
Journal of financial economics, v. 109, (1), 2013, p. 224-249
Business Statistics

Exact Simulation Pricing with Gamma Processes and Their Extensions

James, Lancelot; Kim, Dohyun; Zhang, Zhiyuan
Journal of Computational Finance, v. 17, (2), 2013, p. 3-39
Business Statistics

Are Volatility Estimators Robust with Respect to Modeling Assumptions?

Li, Yingying; Mykland, Per A.
Bernoulli, v. 13, (3), 2007, p. 601-622