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Dr Yifan Li

Research Student

Research overview

My research interests are in high frequency financial econometrics, volatility modelling and market microstructure.

Supervised By

Ingmar Nolte, Sandra Nolte

Current Research

Volatility estimation and forecasting with autoregressive conditional intensity (ACI) model with the inclusion of market microstructure covariates.

Markov-Switching ACI models and applications to high-frequency volatility modelling.

Analysing the impact of news arrivals on high-frequency volatility and market microstructure.

Asymptotic theory on duration-based volatility estimators.

Qualifications

MRes in Finance (Distinction), Lancaster University.

Research Grants

LUMS Conference Grant Scheme, 2017.
LUMS Conference Grant Scheme, 2015.
LUMS Doctoral Studentship, 2015-2018.

Current Teaching

AcF324

AcF501

AcF609

 

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