Items where Author is "Li, Yifan"

Yu, Shifan and Nolte, Ingmar and Nolte, Sandra and Li, Yifan (2024) Statistical Inference with High-Frequency Financial Data : New Perspectives from Alternative Observation Schemes. PhD thesis, Accounting and Finance.

Li, Yifan and Nolte, Ingmar and Pham, Manh (2024) Parametric Risk-Neutral Density Estimation via Finite Lognormal-Weibull Mixtures. Journal of Econometrics, 241 (2): 105748. ISSN 0304-4076

Li, Yifan and Nolte, Ingmar and Vasios, Michalis and Voev, Valeri and Xu, Qi (2022) Weighted Least Squares Realized Covariation Estimation. Journal of Banking and Finance, 137: 106420. ISSN 0378-4266

Li, Yifan and Nolte, Ingmar and Nolte, Sandra (2021) High-frequency volatility modelling : a Markov-switching autoregressive conditional intensity model. Journal of Economic Dynamics and Control, 124: 104077. ISSN 0165-1889

Andersen, Torben and Archakov, Ilya and Grund, Leon and Hautsch, Nikolaus and Li, Yifan and Nasekin, Sergey and Nolte, Ingmar and Pham, Manh and Taylor, Stephen and Todorov, Viktor (2021) A descriptive study of high-frequency trade and quote option data. Journal of Financial Econometrics, 19 (1). pp. 128-177. ISSN 1479-8409

Li, Yifan and Nolte, Ingmar and Nolte, Sandra (2018) Point process based high frequency volatility estimation : theory and applications. PhD thesis, Lancaster University.

Hansen, Peter and Li, Yifan and Lunde, Asger and Patton, Andrew (2017) Mind the Gap : An Early Empirical Analysis of SEC's “Tick Size Pilot Program”. Working Paper. UNSPECIFIED. (Unpublished)

Li, Yifan and Nolte, Ingmar and Nolte, Sandra (2016) High-frequency volatility modelling : a Markov-switching autoregressive conditional intensity model. Working Paper. UNSPECIFIED.

Li, Yifan and Nolte, Ingmar and Nolte, Sandra (2015) High-frequency volatility estimation and the relative importance of market microstructure variables. Working Paper. UNSPECIFIED.