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Profile photoYifan Li
Accounting and Finance
Lancaster University Management School
Lancaster University
Lancaster, LA1 4YX
E-mail: y.li26@lancaster.ac.uk
Direct phone: +44 7707 013401

Research Interests

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

Current Research

Volatility estimation and forecasting with Autoregressive Conditional Intensity (ACI) model with the inclusion of market microstructure covariates.
Regime-switching ACI model with Bayesian estimation techniques.


Dr. Ingmar Nolte, Lancaster University
Dr. Sandra Nolte, Lancaster University

Academic Career

2014-presentPhD in Finance, Lancaster University
2013-2014MRes Finance (Distinction), Lancaster University
2009-2013B.A. (Hons) in Finance, Accounting and Management (2:1), University of Nottingham, Ningbo Campus,

Honors and Awards

Chancellor's Medal 2014, Lancaster University
Best Overall Performance on the MRes programme 2013/2014, LUMS

Research Grants

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


Participation in the1st Konstanz-Lancaster Financial Econometrics Workshop, 2014.
Participation in the 2nd Konstanz-Lancaster Financial Econometrics Workshop, 2015.
Participation in the 2nd Annual Conference of International Association of Applied Econometrics.
Participation in the 7th International Conference of International Finance and Banking Society