Yingying Li

Finance · Journal of Econometrics · 2007–2020

A researcher in the Science corpus: 8 papers; trusts 34 researchers and is trusted by 36 researchers here, as inferred from the citation graph.

Subfields

• Finance — 114 citations into it; #1,022 of 10,518 by trust here, #1,158 by citations
• Economics and Econometrics — 83 citations into it
• Statistics and Probability — 34 citations into it; #2,816 of 12,932 by trust here, #1,650 by citations
• Management Science and Operations Research — 20 citations into it
• Artificial Intelligence — 10 citations into it
• Control and Systems Engineering — 6 citations into it
• Mathematical Physics — 6 citations into it

Whom Yingying Li trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Ole E. Barndorff-Nielsen
2. Lan Zhang
3. N. Shephard
4. Per Aslak Mykland
5. Torben G. Andersen
6. P. R. Hansen
7. Yacine Aït-Sahalia
8. Jean Jacod
9. Tim Bollerslev
10. Masaaki Fukasawa

Who trusts Yingying Li overall

1. Yacine Aït-Sahalia
2. Ole E. Barndorff-Nielsen
3. Jean Jacod
4. Xinbing Kong
5. P. R. Hansen
6. D. Xiu
7. N. Shephard
8. Mark Podolskij
9. Asger Lunde
10. Kim Christensen

Papers from Yingying Li's perspective

Ordered by how strongly the researchers Yingying Li trusts endorse each paper. Same corpus, a different order for every researcher.

1. Separating Microstructure Noise from Volatility
2. Realized Variance and Market Microstructure Noise
3. Designing Realised Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise
4. Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics
5. Econometric analysis of realized volatility and its use in estimating stochastic volatility models
6. Power and bipower variation with stochastic volatility and jumps
7. Integrated Covariance Estimation using High-frequency Data in the Presence of Noise
8. ANOVA for diffusions and Itô processes
9. BOOTSTRAPPING REALIZED VOLATILITY
10. MODELING AND FORECASTING REALIZED VOLATILITY

Their papers

• REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS (2013) — 74 citations
• Microstructure Noise in the Continuous Case: The Pre-Averaging Approach ∗ (2008) — 685 citations
• High dimensional minimum variance portfolio estimation under statistical factor models (2020) — 68 citations
• High-dimensional minimum variance portfolio estimation based on high-frequency data (2020) — 57 citations
• Statistical Properties of Microstructure Noise (2013) — 83 citations
• The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency (2011) — 207 citations
• On the estimation of integrated covariance matrices of high dimensional diffusion processes (2010) — 61 citations
• Are Volatility Estimators Robust with Respect to Modeling Assumptions (2007) — 72 citations