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Li, Yingying

Overview
Works: 5 works in 14 publications in 2 languages and 96 library holdings
Genres: Catalogs 
Roles: Author, Contributor
Classifications: Z997.W36, 330
Publication Timeline
Key
Publications about Yingying Li
Publications by Yingying Li
Most widely held works by Yingying Li
The leverage effect puzzle : disentangling sources of bias at high frequency by Yacine Aït-Sahalia( file )
7 editions published in 2011 in English and held by 58 libraries worldwide
The leverage effect refers to the generally negative correlation between an asset return and its changes of volatility. A natural estimate consists in using the empirical correlation between the daily returns and the changes of daily volatility estimated from high-frequency data. The puzzle lies in the fact that such an intuitively natural estimate yields nearly zero correlation for most assets tested, despite the many economic reasons for expecting the estimated correlation to be negative. To better understand the sources of the puzzle, we analyze the different asymptotic biases that are involved in high frequency estimation of the leverage effect, including biases due to discretization errors, to smoothing errors in estimating spot volatilities, to estimation error, and to market microstructure noise. This decomposition enables us to propose novel bias correction methods for estimating the leverage effect -- National Bureau of Economic Research web site
Guangzhou tu shu guan cang Ke ju shi wen xian tu lu by Xiaoxuan Cai( Book )
2 editions published in 2012 in Chinese and held by 22 libraries worldwide
Ben shu wei guang zhou tu shu guan suo zang de ke ju shi wen xian tu lu, Zhan shi le dang dai ling nan wen shi xue jie tong cai shi ren wu wang gui chen xian sheng shu zhai li nian lai suo shou zang zhi bu fen shu ji. Fen wei tu lu, Shu mu he fu lu san bu fen
Guangzhou tu shu guan cang Yi qing shi suo ji Guangdong yin pu ti yao by Yingying Li( Book )
3 editions published in 2014 in Chinese and held by 12 libraries worldwide
Ben shu zhu yao shou lu guang zhou tu shu guan zang liang ji yong xian sheng yi qing shi suo ji guang dong yin pu, Qi zhong qing dai yin pu shi ba zhong, Min guo yin pu shi san zhong, Xian dai yin pu liang zhong, Gong san shi san zhong, Yi ti yao de fang shi ti shi ci pi yin pu de te dian
Robustness of volatility estimation by Yingying Li( Archival Material )
1 edition published in 2008 in English and held by 3 libraries worldwide
Microstructure noise in the continuous case : the pre-averaging approach ( file )
1 edition published in 2008 in English and held by 1 library worldwide
 
Alternative Names
李鶯鶯.
Languages
English (9)
Chinese (5)
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