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Comment on: limit of random measures associated with the increments of a Brownian Semimartingale

Li, Yingying; Zheng, Xinghua - In: Journal of financial econometrics : official journal of … 16 (2018) 4, pp. 583-587

Persistent link: https://www.econbiz.de/10011987967

Efficient estimation of integrated volatility incorporating trading information

Li, Yingying; Xie, Shangyu; Zheng, Xinghua - In: Journal of econometrics 195 (2016) 1, pp. 33-50

Persistent link: https://www.econbiz.de/10011705231

Statistical properties of microstructure noise

Jacod, Jean; Li, Yingying; Zheng, Xinghua - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 4, pp. 1133-1174

Persistent link: https://www.econbiz.de/10011791234

High dimensional minimum variance portfolio estimation under statistical factor models

Ding, Yi; Li, Yingying; Zheng, Xinghua - In: Journal of econometrics 222 (2021) 1,2, pp. 502-515

Persistent link: https://www.econbiz.de/10012619723

Approaching mean-variance efficiency for large portfolios

Ao, Mengmeng; Li, Yingying; Zheng, Xinghua - In: The review of financial studies 32 (2019) 7, pp. 2890-2919

Persistent link: https://www.econbiz.de/10012033894

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

Cai, T. Tony; Hu, Jianchang; Li, Yingying; Zheng, Xinghua - In: Journal of econometrics 214 (2020) 2, pp. 482-494

Persistent link: https://www.econbiz.de/10012439068

Estimating the integrated volatility with tick observations

Jacob, Jean; Li, Yingying; Zheng, Xinghua - In: Journal of econometrics 208 (2019) 1, pp. 80-100

Persistent link: https://www.econbiz.de/10012139788

Stock co-jump networks

Ding, Yi; Li, Yingying; Liu, Guoli; Zheng, Xinghua - In: Journal of econometrics 239 (2024) 2, pp. 1-12

Persistent link: https://www.econbiz.de/10015074466

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

Li, Yingying; Zhang, Zhiyuan; Zheng, Xinghua - In: Stochastic Processes and their Applications 123 (2013) 7, pp. 2696-2727

In this article we consider the volatility inference in the presence of both market microstructure noise and endogenous time. Estimators of the integrated volatility in such a setting are proposed, and their asymptotic properties are studied. Our proposed estimator is compared with the existing...

Persistent link: https://www.econbiz.de/10010666234

Testing high-dimensional covariance matrices under the elliptical distribution and beyond

Yang, Xinxin; Zheng, Xinghua; Chen, Jiaqi - In: Journal of econometrics 221 (2021) 2, pp. 409-423

Persistent link: https://www.econbiz.de/10012619243