Xinghua Zheng

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

Clear Water Bay

Kowloon

Hong Kong

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 13,292

SSRN RANKINGS

Top 13,292

in Total Papers Downloads

5,159

SSRN CITATIONS
Rank 13,814

SSRN RANKINGS

Top 13,814

in Total Papers Citations

62

CROSSREF CITATIONS

22

Scholarly Papers (12)

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

Abstract:

Loading...

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

Abstract:

Loading...

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

Abstract:

Loading...

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

Abstract:

Loading...

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

Abstract:

Loading...

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
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

Abstract:

Loading...

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)

Abstract:

Loading...

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
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

Abstract:

Loading...

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

Abstract:

Loading...

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

Abstract:

Loading...

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

Abstract:

Loading...

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
Downloads 0 (873,473)

Abstract:

Loading...

Network, Community Detection, Jumps, Co-Jumps, Stock Dependence, High-Frequency Data