Yifan Li - Publications & Outputs - Research Portal

Dr Yifan Li

Research Student

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Unpublished
Mind the Gap: An Early Empirical Analysis of SEC's “Tick Size Pilot Program”
Hansen, P., Li, Y., Lunde, A. & Patton, A., 2017, (Unpublished).
Research output: Working paper
Published
High-frequency volatility estimation and the relative importance of market microstructure variables
Li, Y., Nolte, I. & Nolte, S., 25/09/2015, 50 p.
Research output: Working paper
Published
High-frequency volatility modelling: a Markov-switching autoregressive conditional intensity model
Li, Y., Nolte, I. & Nolte, S., 27/05/2016, 46 p.
Research output: Working paper
Unpublished
Renewal Based Volatility Estimation
Li, Y., Nolte, I. & Nolte, S., 12/01/2019, (Unpublished) SSRN Working Paper.
Research output: Working paper
Published
Point process based high frequency volatility estimation: theory and applications
Li, Y., 2018, Lancaster University. 246 p.
Research output: Thesis › Doctoral Thesis
Published
High-frequency volatility modelling: a Markov-switching autoregressive conditional intensity model
Li, Y., Nolte, I. & Nolte, S., 31/03/2021, In: Journal of Economic Dynamics and Control. 124, 21 p., 104077.
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Published
Weighted Least Squares Realized Covariation Estimation
Li, Y., Nolte, I., Vasios, M., Voev, V. & Xu, Q., 30/04/2022, In: Journal of Banking and Finance. 137, 21 p., 106420.
Research output: Contribution to Journal/Magazine › Journal article › peer-review