Narrow search
Showing 1 - 10 of 17
Cover Image
Realized volatility when sampling times are possibly endogenous
Li, Yingying; Mykland, Per A.; Renault, Eric; Zhang, Lan; … - In: Econometric theory 30 (2014) 3, pp. 580-605
Persistent link: https://www.econbiz.de/10010500887
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Spatial epidemics and local times for critical branching random walks in dimensions 2 and 3
Lalley, Steven P.; Zheng, Xinghua - In: Probability theory and related fields 148 (2010) 3/4, pp. 527-566
Persistent link: https://www.econbiz.de/10008649937
Cover Image
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