Yingying LI
李瑩瑩
PhD in Statistics
The University of Chicago, 2008

Professor
Department of Information Systems, Business Statistics and Operations Management
Department of Finance



(852) 2358 7744
yyli@ust.hk
Room LSK4070
Personal Web

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Google Scholar
f0jaUQkAAAAJ

ORCID
0000-0002-2394-8094

Scopus ID
24468311700




Research Interest Publications Projects Teaching Assignment RPG Supervision Space used




Research Interest

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Big data
High-frequency data
High-dimensional statistics
Portfolio analysis
Financial econometrics



Publications

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All Years 21 2022 0 2021 2 2020 3 2019 3 2018 2 2017 2 2016 9

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Expand All Collapse All


2021 2

Volatility measurement with pockets of extreme return persistence
Journal of Econometrics, 6 February 2021
Andersen, Torben G.; Li, Yingying; Todorov, Viktor; Zhou, Bo Article
Volatility of volatility: Estimation and tests based on noisy high frequency data with jumps
Journal of Econometrics, 9 April 2021
Li, Yingying; Liu, Guangying; Zhang, Zhiyuan Article

2020 3

High Dimensional Minimum Variance Portfolio Estimation under Factor Models
Journal of Econometrics, 2020
Ding, Yi; Li, Yingying Article
High dimensional minimum variance portfolio estimation under statistical factor models
Journal of Econometrics, v. 222, (1), May 2021, p. 502-515
Ding, Yi; Li, Yingying; Zheng, Xinghua Article
High-Dimensional Minimum Variance Portfolio Estimation Based on High-Frequency Data
Journal of Econometrics, v. 214, (2), February 2020, p. 482-494
Cai, Tianwen Tony; Hu, Jianchang; Li, Yingying; Zheng, Xinghua Article

2019 3

Approaching Mean-Variance Efficiency for Large Portfolios
Review of Financial Studies, v. 32, (7), September 2018, p. 2890-2919
Ao, Mengmeng; Li, Yingying; Zheng, Xinghua Article
Estimating the integrated volatility with tick observations
Journal of Econometrics, v. 208, (1), January 2019, p. 80-100
Jacod, Jean; Li, Yingying; Zheng, Xinghua Article
How to Beat the Historical Average?
2019 Greater Bay Area Summer Finance Conference, HKUST, Hong Kong, 15-16 August 2019
Li, Kai; Yu, Jialin; Li, Yingying Conference paper

2018 2

A Unified Approach to Volatility Estimation in the Presence of Bothrounding and Random Market Microstructure Noise
Journal of Econometrics, v. 203, (2), April 2018, p. 187-222
Li, Yingying; Zhang, Zhiyuan; Li, Yichu Article
Dividend-Price Dynamics and Structural Estimation of Market Return
金融高端论坛, Beijing, China, 17 October 2018
Yu, Jialin; Li, Kai; Li, Yingying Conference paper

2017 2

Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale
Journal of Financial Econometrics, v. 16, (4), Fall 2018, p. 583-587
Li, Yingying; Zheng, Xinghua Article
Statistical Properties of Microstructure Noise
Econometrica, v. 85, (4), 2017, p. 1133-1174
Jacod, Jean; Li, Yingying; Zheng, Xinghua Article

2016 1

Efficient Estimation of Integrated Volatility Incorporating Trading Information
Journal of Econometrics, v. 195, (1), November 2016, p. 33-50
Li, Yingying; Xie, Shangyu; Zheng, Xinghua Article

2015 1

Rounding Errors and Volatility Estimation
Journal of Financial Econometrics, v. 13, (2), March 2015, article number nbu005, p. 478-504
Li, Yingying; Mykland, Per Aslak Article

2014 1

Realized Volatility When Sampling Times are Possibly Endogenous
Econometric Theory, v. 30, (3), June 2014, p. 580-605
Li, Yingying; Mykland, Per A.; Renault, Eric; Zhang, Lan; Zheng, Xinghua Article

2013 2

The leverage effect puzzle: Disentangling sources of bias at high frequency
Journal of financial economics, v. 109, (1), July 2013, p. 224-249
Ait-sahalia, Yacine; Fan, Jianqing; Li, Yingying Article
Volatility inference in the presence of both endogenous time and microstructure noise
Stochastic Processes and their Applications, v. 123, (7), July 2013, p. 2696-2727
Li, Yingying; Zhang, Zhiyuan; Zheng, Xinghua Article

2012 1

Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection
Journal of the American Statistical Association, v. 107, (497), March 2012, p. 412-428
Fan, Jianqing; Li, Yingying; Yu, Ke Article

2009 1

Microstructure Noise in the Continuous Case: The Pre-Averaging Approach
Stochastic Processes and Their Applications, v. 119, (7), 2009, p. 2249-2276
Li, Yingying; Jacod, Jean; Mykland, Per A.; Podolskij, Mark; Vetter, Mathias Article

2007 1

Are Volatility Estimators Robust with Respect to Modeling Assumptions?
Bernoulli, v. 13, (3), 2007, p. 601-622
Li, Yingying; Mykland, Per A. Article

2002 1

On Euler's Constant - Calculating Sums by Integrals
Amer.math.Monthly, v. 109, (9), 2002, Nov, p. 845-850
Li, Yingying Article


Expand All Collapse All


Article 2

Volatility measurement with pockets of extreme return persistence
Journal of Econometrics, 6 February 2021
Andersen, Torben G.; Li, Yingying; Todorov, Viktor; Zhou, Bo
Volatility of volatility: Estimation and tests based on noisy high frequency data with jumps
Journal of Econometrics, 9 April 2021
Li, Yingying; Liu, Guangying; Zhang, Zhiyuan


Expand All Collapse All


Article 3

High Dimensional Minimum Variance Portfolio Estimation under Factor Models
Journal of Econometrics, 2020
Ding, Yi; Li, Yingying
High dimensional minimum variance portfolio estimation under statistical factor models
Journal of Econometrics, v. 222, (1), May 2021, p. 502-515
Ding, Yi; Li, Yingying; Zheng, Xinghua
High-Dimensional Minimum Variance Portfolio Estimation Based on High-Frequency Data
Journal of Econometrics, v. 214, (2), February 2020, p. 482-494
Cai, Tianwen Tony; Hu, Jianchang; Li, Yingying; Zheng, Xinghua


Expand All Collapse All


Article 2

Approaching Mean-Variance Efficiency for Large Portfolios
Review of Financial Studies, v. 32, (7), September 2018, p. 2890-2919
Ao, Mengmeng; Li, Yingying; Zheng, Xinghua
Estimating the integrated volatility with tick observations
Journal of Econometrics, v. 208, (1), January 2019, p. 80-100
Jacod, Jean; Li, Yingying; Zheng, Xinghua

Conference paper 1

How to Beat the Historical Average?
2019 Greater Bay Area Summer Finance Conference, HKUST, Hong Kong, 15-16 August 2019
Li, Kai; Yu, Jialin; Li, Yingying


Expand All Collapse All


Article 1

A Unified Approach to Volatility Estimation in the Presence of Bothrounding and Random Market Microstructure Noise
Journal of Econometrics, v. 203, (2), April 2018, p. 187-222
Li, Yingying; Zhang, Zhiyuan; Li, Yichu

Conference paper 1

Dividend-Price Dynamics and Structural Estimation of Market Return
金融高端论坛, Beijing, China, 17 October 2018
Yu, Jialin; Li, Kai; Li, Yingying


Expand All Collapse All


Article 2

Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale
Journal of Financial Econometrics, v. 16, (4), Fall 2018, p. 583-587
Li, Yingying; Zheng, Xinghua
Statistical Properties of Microstructure Noise
Econometrica, v. 85, (4), 2017, p. 1133-1174
Jacod, Jean; Li, Yingying; Zheng, Xinghua


Expand All Collapse All


Article 1

Efficient Estimation of Integrated Volatility Incorporating Trading Information
Journal of Econometrics, v. 195, (1), November 2016, p. 33-50
Li, Yingying; Xie, Shangyu; Zheng, Xinghua


Expand All Collapse All


Article 1

Rounding Errors and Volatility Estimation
Journal of Financial Econometrics, v. 13, (2), March 2015, article number nbu005, p. 478-504
Li, Yingying; Mykland, Per Aslak


Expand All Collapse All


Article 1

Realized Volatility When Sampling Times are Possibly Endogenous
Econometric Theory, v. 30, (3), June 2014, p. 580-605
Li, Yingying; Mykland, Per A.; Renault, Eric; Zhang, Lan; Zheng, Xinghua


Expand All Collapse All


Article 2

The leverage effect puzzle: Disentangling sources of bias at high frequency
Journal of financial economics, v. 109, (1), July 2013, p. 224-249
Ait-sahalia, Yacine; Fan, Jianqing; Li, Yingying
Volatility inference in the presence of both endogenous time and microstructure noise
Stochastic Processes and their Applications, v. 123, (7), July 2013, p. 2696-2727
Li, Yingying; Zhang, Zhiyuan; Zheng, Xinghua


Expand All Collapse All


Article 1

Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection
Journal of the American Statistical Association, v. 107, (497), March 2012, p. 412-428
Fan, Jianqing; Li, Yingying; Yu, Ke


Expand All Collapse All


Article 1

Microstructure Noise in the Continuous Case: The Pre-Averaging Approach
Stochastic Processes and Their Applications, v. 119, (7), 2009, p. 2249-2276
Li, Yingying; Jacod, Jean; Mykland, Per A.; Podolskij, Mark; Vetter, Mathias


Expand All Collapse All


Article 1

Are Volatility Estimators Robust with Respect to Modeling Assumptions?
Bernoulli, v. 13, (3), 2007, p. 601-622
Li, Yingying; Mykland, Per A.


Expand All Collapse All


Article 1

On Euler's Constant - Calculating Sums by Integrals
Amer.math.Monthly, v. 109, (9), 2002, Nov, p. 845-850
Li, Yingying


Expand All Collapse All


2016 1

Efficient Estimation of Integrated Volatility Incorporating Trading Information
Journal of Econometrics, v. 195, (1), November 2016, p. 33-50
Li, Yingying; Xie, Shangyu; Zheng, Xinghua Article

2015 1

Rounding Errors and Volatility Estimation
Journal of Financial Econometrics, v. 13, (2), March 2015, article number nbu005, p. 478-504
Li, Yingying; Mykland, Per Aslak Article

2014 1

Realized Volatility When Sampling Times are Possibly Endogenous
Econometric Theory, v. 30, (3), June 2014, p. 580-605
Li, Yingying; Mykland, Per A.; Renault, Eric; Zhang, Lan; Zheng, Xinghua Article

2013 2

The leverage effect puzzle: Disentangling sources of bias at high frequency
Journal of financial economics, v. 109, (1), July 2013, p. 224-249
Ait-sahalia, Yacine; Fan, Jianqing; Li, Yingying Article
Volatility inference in the presence of both endogenous time and microstructure noise
Stochastic Processes and their Applications, v. 123, (7), July 2013, p. 2696-2727
Li, Yingying; Zhang, Zhiyuan; Zheng, Xinghua Article

2012 1

Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection
Journal of the American Statistical Association, v. 107, (497), March 2012, p. 412-428
Fan, Jianqing; Li, Yingying; Yu, Ke Article

2009 1

Microstructure Noise in the Continuous Case: The Pre-Averaging Approach
Stochastic Processes and Their Applications, v. 119, (7), 2009, p. 2249-2276
Li, Yingying; Jacod, Jean; Mykland, Per A.; Podolskij, Mark; Vetter, Mathias Article

2007 1

Are Volatility Estimators Robust with Respect to Modeling Assumptions?
Bernoulli, v. 13, (3), 2007, p. 601-622
Li, Yingying; Mykland, Per A. Article

2002 1

On Euler's Constant - Calculating Sums by Integrals
Amer.math.Monthly, v. 109, (9), 2002, Nov, p. 845-850
Li, Yingying Article


No Publications






Teaching Assignment

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2021-22 Winter 0 2021-22 Fall 3 2020-21 Summer 1 2020-21 Spring 1 2020-21 Winter 0 2020-21 Fall 2

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FINA5250 Empirical Methods in Finance
FTEC5030 Statistical Methods for Financial Technology
ISOM5510 Data Analysis


SBMT5740 MBA Accelerator – Data Analysis


SOCH6780 Professional Development in Innovation, Technology, and Social Responsibility


FINA5250 Empirical Methods in Finance
ISOM5510 Data Analysis


No Teaching Assignments


No Teaching Assignments






Research Postgraduate (RPG) Supervision From January 2019 to December 2022 (As of 30 January 2022)

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All Supervisions Current RPGs Graduated RPGs

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Current RPGs

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Doctor of Philosophy FAN, Zheqi (co-supervision)
Financial Technology( 2021 - )

HUANG, Yikuan (co-supervision)
Financial Technology( 2021 - )

LYU, Changlei (co-supervision)
Financial Technology( 2021 - )

WANG, Qiyue (co-supervision)
Data Science and Analytics( 2021 - )

ZHANG, Yibin
Financial Technology( 2021 - )

LIU, Guoli
Operations Management( 2020 - )

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Master of Philosophy HU, Shiman
Financial Technology( 2021 - )

YUAN, Jian (co-supervision)
Financial Technology( 2021 - )

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Graduated RPGs

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Doctor of Philosophy DING, Yi
Operations Management( Completed in 2020 )

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Master of Philosophy LIU, Guoli
Operations Management( Completed in 2020 )

NIE, Rong (co-supervision)
Operations Management( Completed in 2019 )









ProjectsFrom January 2020 to December 2022

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All Projects 5 Leading Projects 3 Participating Projects 2

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Developing Hong Kong as a Global Green Finance Centre


發展香港成為全球的綠色金融中心 Participating


RGC - Theme-based Research Scheme


Project Team (HKUST)
ZHANG Chu (Lead)
CHEN Zhanhui
DELINA Laurence Laurencio
FUNG Jimmy Chi Hung
HUANG Allen Hao
HUI Kai Lung
IM Eun Soon
LAFON-VINAIS Veronique J A
LAU Alexis Kai Hon
LI Yingying
LOH Kung Wai Christine
MUKHERJEE Abhiroop
PANAYOTOV George Kamenov
PARK Albert Francis
QI Ye
SHI Xiaoming
STEUER Benjamin
TAM Kar Yan
ZALDOKAS Alminas


2022 -




High-Dimensional Risk Modelling and Portfolio Optimization


高維風險建模與投資組合優化 Leading


National Natural Science Foundation of China


Project Team (HKUST)
LI Yingying (Lead)


2020 -




Testing "Black Holes" in High-Frequency Data and Volatility Forecasting


檢驗高頻數據中的“黑洞”與波動率預測 Leading


RGC - General Research Fund


Project Team (HKUST)
LI Yingying (Lead)


2019 -




Contributing to the Development of Hong Kong into a Global Fintech Hub


促進香港成為全球的金融科技樞紐 Participating


RGC - Theme-based Research Scheme


Project Team (HKUST)
TAM Kar Yan (Lead)
BHATTACHARYA Utpal
CHEN Yanzhen
HUANG Allen Hao
HUI Kai Lung
JAMES Lancelot Fitzgerald
LI Yingying
LING Shiqing
SO Mike Ka Pui
XU Yan
YANG Yi
YEUNG Dit Yan
YOU Haifeng
ZHANG Chu
ZHENG Rong
ZHENG Xinghua


2019 -




Statistical Learning for Personalized Investment


個人化投資的統計機器學習 Leading


RGC - General Research Fund


Project Team (HKUST)
LI Yingying (Lead)


2018 - 2021