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* Financial Statistics Research
Group
*
Post-doctoral researcher and RA positions available to study high-dimensional and high-frequency financial data.
Papers
*. Stock Co-Jump Networks, with Yi Ding, Guoli Liu and Xinghua Zheng, Journal of
Econometrics, to appear.
*. Statistical Learning for Individualized Asset Allocation, with Yi Ding and Rui Song, Journal of the American Statistical Association, to appear.
*. Mining the Factor Zoo: Estimation of Latent Factor Models with Sufficient Proxies, with Runzhe Wan, Wenbin Lu and Rui Song, Journal of
Econometrics, to appear.
*. Volatility measurement with pockets of extreme return persistence, with Torben G. Andersen, Victor Todorov and Bo Zhou, Journal of
Econometrics, to appear.
*. Volatility of Volatility: Estimation and Tests Based on Noisy High Frequency Data with Jumps, with Guangying Liu and Zhiyuan Zhang, Journal of
Econometrics, 229 (2), 2022, 422- 451
*. High Dimensional Minimum Variance Portfolio Estimation under Statistical Factor Models, with Yi Ding and Xinghua Zheng, Journal of
Econometrics, 222 (1), 2021, 502-515
*. High-dimensional Minimum
Variance Portfolio Estimation Based on High-frequency Data, with Tony Cai, Jianchang Hu and Xinghua Zheng, Journal of
Econometrics,
214(2), 2020, 482-494
*.Approaching
Mean-Variance Efficiency for Large Portfolios, with Mengmeng
Ao and Xinghua Zheng,
Review of Financial Studies,
32 (7), 2019, 2499-2540
*.A Univfied Approach to Volatility Estimation in the
Presence of Both Rounding and Random Market Microstructure Noise, with Zhiyuan Zhang and Yichu Li,
Journal of
Econometrics,
203 (2), 2018, 187-222
*.Estimating
the Integrated Volatility When Microstructure Noise is Dependent and
Observation Times are Irregular, with Jean Jacod and Xinghua Zheng,
Journal
of Econometrics, 208(1), 2019, 80-100
*.Statistical
Properties of Microstructure Noise, Econometrica , 85, 2017,
1133-1174, with Jean Jacod and Xinghua Zheng,
*. Efficient
Estimation of Integrated Volatility Incorporating Trading Information, Journal of
Econometrics, 195(1), 2016, 33-50 , with Shangyu Xie and Xinghua Zheng,
*. Rounding
Errors and Volatility Estimation, Journal of Financial Econometrics,
13(2), 2015, 478-504, with Per A. Mykland.
*.Realized
Volatility When Sampling Times are Possibly Endogenous, Econometric Theory, 30,
2014, 580-605, with Per Mykland, Eric Renault, Lan
Zhang and Xinghua Zheng.
*.The Leverage
Effect Puzzle: Disentangling Sources of Bias at High Frequency, Journal
of Financial Economics, 109, 2013, 224-249,
with Yacine Ait-Sahalia
and Jianqing Fan.
*.Volatility
Inference in the Presence of Both Endogenous Time and Microstructure Noise, Stochastic
Processes and their Applications (The Year of Statistics Speical Issue, edited by Rainer Dahlhaus, Jean Jacod, Per Mykland and Nakahiro Yoshida), 123, 2013,
2696-2727, with Zhiyuan Zhang and Xinghua Zheng.
*.Vast
Volatility Matrix Estimation using High Frequency Data for Portfolio
Selection, Journal of
the American Statistical Association, 107(497),
2012, 412-428, with Jianqing Fan and Ke Yu.
*.On the Estimation
of Integrated Covariance Matrices of High Dimensional Diffusion Processes,
Annals of Statistics,
2011, 39 (6), 3121–3151, with Xinghua
Zheng. Supplementary
file
*.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 Respect to Modeling Assumptions? , Bernoulli,
13(3), 2007, 601-622. With Per A. Mykland.
*. On Euler's
Constant--Calculating Sums by Integrals. Amer.math.
Monthly, Sep.2002, 845-850
*. The
Influence Analysis of Parameter Estimation in Linear Errors-in-Variables Modle. Outstanding Undergraduate Thesis, Beijing
Normal University (2003)
*. The Magic of
Lottery VS the Power of Mathematics (in Chinese, National First prize in
the China Undergraduate Mathematical Contest in Modeling (CUMCM) 2002), with Dejun Luo, Yong Zhang
*. Three-Dimensional
Reconstruction of a Blood Vessel (in Chinese, National First prize in
CUMCM 2001), with Xihan Mu, Yan Li
Our research group, FinStaR
My CV
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Citations
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