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Yingying LI
Assistant Professor
Email:yyli@ust.hk

PhD 2008, The University of Chicago, Statistics
B.Sc. 2003, Beijing Normal University, Mathematics

Personal Home Page (http://ihome.ust.hk/~yyli)
 

ACADEMIC AND PROFESSIONAL EXPERIENCE
  • Assistant Professor of ISOM, Hong Kong University of Science and Technology, 2009-present
  • Postdoctoral Research Fellow and Lecturer, ORFE and Bendheim Center for Finance, Princeton University, 2008 - 2009


SELECTED PUBLICATIONS

  Articles

  • "Biases in High Frequency Estimates of the Leverage Effect Parameter”", submitted,  (with Yacine Ait-Sahalia and Jianqing Fan)
  • "On the Estimation of Integrated Covariance Matrices of High Dimensional Diffusion Processes", Annals of Statistics, to appear (with Xinghua Zheng)
  • "Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection",  Journal of the American Statistical Association, to appear (with Jianqing Fan and Ke Yu)
  • "Realized Volatility When Sampling Times are Possibly Endogenous", in revision, (with Per Mykland, Eric Renault, Lan Zhang and Xinghua Zheng)
  • "Rounding Errors and Volatility Estimation", in revision (with Per A. Mykland,)
  • "Microstructure Noise in the Continuous Case: The Pre-Averaging Approach", Stochastic Processes and Their Applications, 119(7), 2009, 2249-2276 (with Jean Jacod, Per A. Mykland, Mark Podolskij and Mathias Vetter)
  • "Are Volatility Estimators Robust with Respecto to Modeling Assumptions?", Bernoulli, 13(3), 2007, 601-622 (with Per A. Mykland)
  • "On Euler's Constant -- Calculating Sums by Integrals", Amer.math. Monthly, 109, 2002, 845-850 


SERVICE ACTIVITIES WITHIN COLLEGE AND PROFESSION

  • Organizer of conference invited sessions, Joint Statistical Meetings (2010, Vancouver), IMS-China International Conference on Statistics and Probability (2011, Xi'An)
  • Reviewer, Annals of Statistics, Econometrica, Bernoulli, Econometrics Journal, Finance and Stochastics, Journal of Applied Econometrics, Applied Stochastic Models in Business and Industry, Journal of Statistical Inference for Stochastic Processes, Quantitative Finance, Statistics and Its Interface, The Econometrics Journal, The Journal of Business and Economic Statistics, The Journal of Econometrics, etc
  • Reviewer, Mathematical Reviews (MR/MathSciNet)
  • Reviewer, Grant applications from the Risk Management Institue at the National University of Singapore
  • Executive Committee, Hong Kong Statistical Society (2011 - )


HONORS

  • Hong Kong RGC General Research Fund (GRF) (2011 - 2014, CI)
  • Hong Kong RGC General Research Fund (GRF) (2010 - 2013, PI)
  • Hong Kong RGC School-based Initiatives (SBI) (2010 - 2012, PI)
  • Hong Kong RGC Direct Allocation Grant (DAG) (2010 - 2013, PI)
  • Research grant from the Bendheim Center for Finance, Princeton University (2008-2009)
  • Laha Award from the Institute of Mathematical Statistics (IMS) (2007)
  • Full tuition merit scholarship and Paul Meier Fellowship, the University of Chicago (2003 -2008)


PROFESSIONAL ASSOCIATION MEMBERSHIPS

  • Institute of Mathematical Statistics (IMS), since 2004
  • Hong Kong Statistical Society (HKSS), member since 2011
  • The Society for Financial Econometrics (SoFiE), founding member since 2011