Chair Professor
Yingying LI
Business Statistics
Chair Professor
yyli@ust.hk
Personal Homepage
CV
Yingying LI

Research Interests

  • Financial econometrics
  • Financial risk management high-frequency data
  • Volatility estimation and market microstructure
  • Statistical inference for stochastic processes
  • Asymptotic statistics

Academic Qualification

  • PhD 2008, The University of Chicago, Statistics
  • B.Sc. 2003, Beijing Normal University, Mathematics

Academic And Professional Experience

  • Professor of ISOM and Finance, Hong Kong University of Science and Technology, 2019 -
  • Associate Professor of ISOM and Finance, Hong Kong University of Science and Technology, 2015-2019
  • Assistant Professor of ISOM, Hong Kong University of Science and Technology, 2009-2015
  • Postdoctoral Research Fellow and Lecturer, ORFE and bendheim Center for Finance, Princeton University, 2008-2009

Selected Publications

Articles
  • Tony Cai, Hu, J. C., Li, Y., and Zheng, X., "High-dimensional Minimum Variance Portfolio Estimation Based on High-frequency Data", Journal of Econometrics, to appear
  • Ao, M., Li, Y., and Zheng, X., "Approaching Mean-Variance Efficiency for Large Portfolios", Review of Financial Studies, to appear
  • Jacod, J., Li, Y., and Zheng, X., "Estimating the Integrated Volatility with Tick Observations", Journal of Econometrics, 208 (1), 2019, 80-100
  • Li, Y., Z. Zhang and Li, Y., "A Unied Approach to Volatility Estimation in the Presence of Both Rounding and Random Market Microstructure Noise", Journal of Econometrics, 203 (2), 2018, 187-222
  • Jacod, J., Li, Y., and Zheng, X., "Statistical Properties of Microstructure Noise",  Econometrica, 85, 2017, 1133-1174
  • Li, Y., Xie, S. and Zheng, X., "Efficient Estimation of Integrated Volatility Incorporating Trading Information", Journal of Econometrics, 195 (1), 2016, 33-50
  • Li, Y., and Mykland, P. A., "Rounding Errors and Volatility Estimation", Journal of Financial Econometrics, 13, 2 2015, 478-504
  • Li, Y., Mykland, P. A., Renault, E., Zhang, L., and Zheng, X., "Realized Volatility When Sampling Times are Possibly Endogenous", Econometric Theory, 30, 2014, 580-605
  • Ait-Sahalia, Y., Fan, J., and Li, Y., "The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency", Journal of Financial Economics, 109, 1, 2013, 224-249
  • Li, Y., Zhang, Z., and Zheng, X., "Volatility Inference in the Presence of Both Endogenous Time and Microstructure Noise, Stochastic Processes and their Applications", Stochastic Processes and Their Applications, 123, 2013, 2696-2727
  • Fan, J., Li, Y., and Yu, K., "Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection", Journal of the American Statistical Association, 107, 497, 2012, 412-428
  • Zheng, X., and Li, Y., "On the Estimation of Integrated Covariance Matrices of High Dimensional Diffusion Processes", Annals of Statistics, 39, 6, 2011, 3121-3151
  • Jacod, J., Li, Y., Mykland, P. A., Podolskij, M., and Vetter, M., "Microstructure Noise in the Continuous Case: The Pre-Averaging Approach", Stochastic Processes and Their Applications, 119, 7, 2009, 2249-2276
  • Li, Y., and Mykland, P. A., "Are Volatility Estimators Robust with Respect to Modeling Assumptions?", Bernoulli, 13, 3, 2007, 601-622
  • Li, Y., "On Euler's Constant -- Calculating Sums by Integrals", American Mathematical Monthly, 109, 2002, 845-850

Service Activities Within College And Profession

  • The Society for Financial Econometrics: Council member (2019 - )
  • Journal of Business & Economic Statistics, Associate Editor, (2018 - )
  • Journal of Econometrics, Associate Editor, (2017 - )
  • Journal of Financial Econometrics, Associate Editor, (2017 - )
  • The Society for Financial Econometrics (SoFiE) Annual conference, Program Committee member (2016 - )
  • 9th Annual SoFiE conference, Local Organizer (2016)
  • HKUST IAS Quantitative Finance and FinTech seminar series, Organizer (2016 - )
  • HKUST IAS Quantitative Finance and FinTech mini workshop, Organizer (2016)
  • Financial Engineering and Risk Management (FERM) Symposium, Program Committee member (2016)
  • European Finance Association Meeting (EFA), Program Committee member (2014 - )
  • Co-Organizer, The 1st and the 2nd HKUST international Forum on Probability and Statistics, 2013
  • Organizer of conference invited sessions, Joint Statistical Meetings (2010, 2017), IMS-China International Conference on Statistics and Probability (2011), IMS-SWUFE International Conference on Statistics and Probability (2013), Financial Engineering and Risk Management (FERM) Symposium (2016), The 1st International Conference on Econometrics and Statistics (EcoSta 2017)
  • Reviewer, Annals of Statistics, Econometrica, Journal of Finance, Journal of the American Statistical Association, Bernoulli, Econometrics Journal, Finance and Stochastics, Journal of Applied Econometrics, Applied Stochastic Models in Business and Industry, Journal of Statistical Inference for Stochastic Processes, Quantitative Finance, Statistics and Its Interface, The Econometrics Journal, The Journal of Business and Economic Statistics, The Journal of Econometrics, etc
  • Reviewer, Mathematical Reviews (MR/MathSciNet)
  • Reviewer, Grant applications from the Risk Management Institue at the National University of Singapore
  • Executive Committee, Hong Kong Statistical Society (2011 - 2012 )

Professional Association Memberships

  • Institute of Mathematical Statistics (IMS), since 2004
  • Hong Kong Statistical Society (HKSS), member since 2011
  • The Society for Financial Econometrics (SoFiE), founding member since 2011

Honors

  • Hong Kong RGC General Research Fund (GRF) (2019 - 2022, PI)
  • Hong Kong RGC General Research Fund (GRF) (2018 - 2021, PI)
  • Eected Fellow, the Society for Financial Econometrics (SoFiE) (2017)
  • Dean's Recognition of Teaching Excellence (2016-2017)
  • Hong Kong RGC General Research Fund (GRF) (2016 - 2018, PI)
  • Hong Kong RGC General Research Fund (GRF) (2014 - 2016, PI)
  • Dean's Recognition of Excellent Teaching Performance, HKUST Business School, 2013
  • Hong Kong RGC General Research Fund (GRF) (2011 - 2014, CI)
  • Hong Kong RGC General Research Fund (GRF) (2010 - 2013, PI)
  • Hong Kong RGC School-based Initiatives (SBI) (2010 - 2012, PI)
  • Hong Kong RGC Direct Allocation Grant (DAG) (2010 - 2013, PI)
  • Research grant from the Bendheim Center for Finance, Princeton University (2008-2009)
  • Laha Award from the Institute of Mathematical Statistics (IMS) (2007)
  • Full tuition merit scholarship and Paul Meier Fellowship, the University of Chicago (2003 -2008)