Publications

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

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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