58 citations · 108 across the 5 of their papers we have counts for
5 papers
Tests for principal eigenvalues and eigenvectors
Jianqing Fan, Yingying Li, Ningning Xia +1
We establish central limit theorems for principal eigenvalues and eigenvectors under a large factor model setting, and develop two-sample tests of both principal eigenvalues and pr…
Volatility Inference in the Presence of Both Endogenous Time and Microstructure Noise
Yingying Li, Zhiyuan Zhang, Xinghua Zheng
In this article we consider the volatility inference in the presence of both market microstructure noise and endogenous time. Estimators of the integrated volatility in such a sett…
Statistical Properties of Microstructure Noise
Jean Jacod, Yingying Li, Xinghua Zheng
We study the estimation of moments and joint moments of microstructure noise. Estimators of arbitrary order of (joint) moments are provided, for which we establish consistency as w…
On the estimation of integrated covariance matrices of high dimensional diffusion processes
Xinghua Zheng, Yingying Li
We consider the estimation of integrated covariance (ICV) matrices of high dimensional diffusion processes based on high frequency observations. We start by studying the most commo…
Are volatility estimators robust with respect to modeling assumptions?
Yingying Li, Per A. Mykland
We consider microstructure as an arbitrary contamination of the underlying latent securities price, through a Markov kernel . Special cases include additive error, rounding and…