Yifan Li - Research Portal | Lancaster University

CVs

Yifan Li public CV

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Affiliations

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

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Dr Yifan Li

Research Student

ORCID: 0000-0002-4941-3629

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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Publications & Outputs

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
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
Unpublished
Renewal Based Volatility Estimation
Li, Y., Nolte, I. & Nolte, S., 12/01/2019, (Unpublished) SSRN Working Paper.
Research output: Working paper

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Activities

The fourth annual conference of the International Association for Applied Econometrics
Activity: Participating in or organising an event types › Participation in conference -Mixed Audience
3rd KoLa Workshop on Finance and Econometrics
Activity: Participating in or organising an event types › Participation in workshop, seminar, course
Vienna–Copenhagen Conference on Financial Econometrics
Activity: Participating in or organising an event types › Participation in conference -Mixed Audience

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Research

CVs

Affiliations

Dr Yifan Li

Research overview

Supervised By

Current Research

Qualifications

Research Grants

Current Teaching

Publications & Outputs

Weighted Least Squares Realized Covariation Estimation

High-frequency volatility modelling: a Markov-switching autoregressive conditional intensity model

Renewal Based Volatility Estimation

Activities

The fourth annual conference of the International Association for Applied Econometrics

3rd KoLa Workshop on Finance and Econometrics

Vienna–Copenhagen Conference on Financial Econometrics

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