Prof. Yingying LI
Professor, Business Statistics yyli@ust.hk

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

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ACADEMIC AND PROFESSIONAL EXPERIENCEProfessor 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 Ressearch Fellow and Lecturer, ORFE and bendheim Center for Finance, Princeton University, 2008-2009

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SELECTED PUBLICATIONS ArticlesTony Cai, Hu, J. C.,Li, Y., and Zheng, X., "High-dimensional Minimum Variance Portfolio Estimation Based on High-frequency Data
Approaching Mean-Variance Efficiency for Large Portfolios
Estimating the Integrated Volatility with Tick Observations
A Unied Approach to Volatility Estimation in the Presence of Both Rounding and Random Market Microstructure Noise
Statistical Properties of Microstructure Noise
Efficient Estimation of Integrated Volatility Incorporating Trading Information
Rounding Errors and Volatility Estimation
Realized Volatility When Sampling Times are Possibly Endogenous
The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency
Volatility Inference in the Presence of Both Endogenous Time and Microstructure Noise, Stochastic Processes and their Applications
Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection
On the Estimation of Integrated Covariance Matrices of High Dimensional Diffusion Processes
Microstructure Noise in the Continuous Case: The Pre-Averaging Approach
Are Volatility Estimators Robust with Respect to Modeling Assumptions?
On Euler's Constant -- Calculating Sums by Integrals
research-interests">RESEARCH INTERESTS Financial econometrics
Financial risk management high-frequency data
Volatility estimation and market microstructure
Statistical inference for stochastic processes
Asymptotic statistics

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HONORSHong 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)