Xinghua Zheng

Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management

Clear Water Bay

Kowloon

Hong Kong

  • Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management

SCHOLARLY PAPERS

12

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62

CROSSREF CITATIONS

22

Scholarly Papers (12)

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1.

Approaching Mean-Variance Efficiency for Large Portfolios

Number of pages: 69 Posted: 06 Dec 2015 Last Revised: 19 Jul 2018
Mengmeng Ao, Yingying Li, Yingying Li and Xinghua Zheng
Xiamen University - WISE and Department of Finance, School of Economics, Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of FinanceHong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 1,610 (15,425)
Citation 9

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Large portfolio selection; Mean-variance portfolio; Sharpe ratio; Unconstrained regression; LASSO

2.

Statistical Properties of Microstructure Noise

Econometrica, Forthcoming
Number of pages: 71 Posted: 07 Feb 2013 Last Revised: 21 Feb 2017
Jean Jacod, Yingying Li, Yingying Li and Xinghua Zheng
Université Paris VI Pierre et Marie Curie, Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of FinanceHong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 703 (50,643)
Citation 21

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market microstructure noise, high frequency data, joint moments, autocovariance, autocorrelation

3.

In-Sample and Out-of-Sample Sharpe Ratios of Multi-Factor Asset Pricing Models

Number of pages: 68 Posted: 03 Oct 2019 Last Revised: 21 Mar 2022
Raymond Kan, Xiaolu Wang and Xinghua Zheng
University of Toronto - Rotman School of Management, Iowa State University and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 466 (84,905)
Citation 3

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Multi-Factor Asset Pricing Models; Sharpe Ratio; Out-of-Sample Performance

4.

Efficient Estimation of Integrated Volatility Incorporating Trading Information

Number of pages: 48 Posted: 01 Jan 2014 Last Revised: 11 May 2016
Yingying Li, Yingying Li, Shangyu Xie and Xinghua Zheng
Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of FinanceHong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management, University of International Business and Economics (UIBE) - School of Banking and Finance and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 432 (92,726)
Citation 11

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High frequency data, integrated volatility, market microstructure noise, realized volatility, efficiency

5.

Estimating the Integrated Volatility with Tick Observations

Number of pages: 55 Posted: 14 Sep 2015 Last Revised: 28 Aug 2017
Jean Jacod, Yingying Li, Yingying Li and Xinghua Zheng
Université Paris VI Pierre et Marie Curie, Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of FinanceHong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 399 (101,637)
Citation 14

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High frequency data, integrated volatility, market microstructure noise, dependent noise, endogenous time

6.

High-Dimensional Minimum Variance Portfolio Estimation Based on High-Frequency Data

Journal of Econometrics, Forthcoming
Number of pages: 31 Posted: 01 Feb 2018 Last Revised: 03 Jun 2019
Tony Cai, Jianchang Hu, Yingying Li, Yingying Li and Xinghua Zheng
University of Pennsylvania - Statistics Department, University of Wisconsin - Madison - Department of Statistics, Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of FinanceHong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 394 (103,123)
Citation 3

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Minimum variance portfolio, High dimension, High frequency, CLIME estimator, Precision matrix

7.

High Dimensional Minimum Variance Portfolio Estimation under Statistical Factor Models

Journal of Econometrics, Forthcoming
Number of pages: 33 Posted: 17 Jul 2020
Yi Ding, Yingying Li, Yingying Li and Xinghua Zheng
Hong Kong Polytechnic University, Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of FinanceHong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 355 (115,990)

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Minimum variance portfolio, High dimension, Principal component analysis, Factor model

8.

Realized Volatility When Sampling Times are Possibly Endogenous

Econometric Theory, Forthcoming
Number of pages: 45 Posted: 21 Dec 2009 Last Revised: 27 Apr 2013
Yingying Li, Yingying Li, Per A. Mykland, Eric Renault, Lan Zhang and Xinghua Zheng
Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of FinanceHong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management, University of Chicago - Department of Statistics, University of North Carolina (UNC) at Chapel Hill - Department of Economics, University of Illinois at Chicago - Department of Finance and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 332 (124,850)
Citation 14

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bias-correction, continuous semimartingale, discrete observation, efficiency, endogeneity, It{\^o} process, realized volatility, stable convergence

9.

On the Estimation of Integrated Covariance Matrices of High Dimensional Diffusion Processes

Annals of Statistics, Forthcoming
Number of pages: 39 Posted: 14 May 2010 Last Revised: 10 Oct 2011
Xinghua Zheng, Yingying Li and Yingying Li
Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management and Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of FinanceHong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 216 (191,984)
Citation 3

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High dimension, high frequency, integrated covariance matrix, Marcenko-Pastur equation, random matrix theory, realized covariance matrix

10.

Testing High-Dimensional Covariance Matrices Under the Elliptical Distribution and Beyond

Journal of Econometrics, Forthcoming
Number of pages: 31 Posted: 19 Jul 2017 Last Revised: 15 Jun 2020
Xinxin Yang, Xinghua Zheng and Jiaqi Chen
Central University of Finance and Economics, Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management and Harbin Institute of Technology
Downloads 146 (269,343)
Citation 2

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covariance matrix, high-dimension, elliptical model, linear spectral statistics, central limit theorem, self-normalization

11.

On the Inference about the Spectral Distribution of High-Dimensional Covariance Matrix Based on High-Frequency Noisy Observations

Number of pages: 52 Posted: 14 Apr 2016 Last Revised: 11 Mar 2017
Ningning Xia and Xinghua Zheng
Shanghai University of Finance and Economics - School of Statistics and Management and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 106 (340,505)
Citation 3

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High-dimension, high-frequency, integrated covariance matrices, Marcenko-Pastur equation, microstructure noise

12.

Stock Co-Jump Networks

HKUST Business School Research Paper No. 2022-051
Posted: 09 Feb 2022 Last Revised: 04 Apr 2022
Yi Ding, Yingying Li, Yingying Li, Guoli Liu and Xinghua Zheng
Hong Kong Polytechnic University, Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of FinanceHong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management, Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
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Network, Community Detection, Jumps, Co-Jumps, Stock Dependence, High-Frequency Data