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Shifan Yu

Research student

Lancaster University

The Management School




Shifan Yu is a PhD candidate in Finance at Lancaster University Management School (LUMS). His research interests lie primarily in the area of financial econometrics, with a particular focus on new econometric methods for the analysis of high-frequency financial data. He holds a PhD scholarship from the North West Social Science Doctoral Training Partnership (NWSSDTP) of the Economic and Social Research Council (ESRC) with an enhanced award in Advanced Quantitative Methods. 

Research Interests

  • Financial Econometrics
  • High-Frequency Financial Data
  • Volatility and Risk Modelling

Supervised By

Current Research

  • Testing for Jumps in a Discretely Observed Price Process with Endogenous Sampling Times [link]
  • Nonparametric Range-Based Estimation of Integrated Variance with Episodic Extreme Return Persistence

Current Teaching

  • Ac.F100: Introduction to Accounting and Finance (BSc)
  • Ac.F101: Quantitative Methods for Accounting and Finance (BSc)
  • Ac.F501: Quantitative Methods for Finance (MSc)

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