| Microstructure noise in the continuous case: the pre-averaging approach J Jacod, Y Li, PA Mykland, M Podolskij, M Vetter Stochastic processes and their applications 119 (7), 2249-2276, 2009 | 825 | 2009 |
| The leverage effect puzzle: Disentangling sources of bias at high frequency Y Ait-Sahalia, J Fan, Y Li Journal of financial economics 109 (1), 224-249, 2013 | 264 | 2013 |
| Vast volatility matrix estimation using high-frequency data for portfolio selection J Fan, Y Li, K Yu Journal of the American Statistical Association 107 (497), 412-428, 2012 | 167 | 2012 |
| Approaching Mean-Variance Efficiency for Large Portfolios M Ao, Y Li, X Zheng Available at SSRN, 2016 | 143 | 2016 |
| Realized volatility when sampling times are possibly endogenous Y Li, PA Mykland, E Renault, L Zhang, X Zheng Econometric theory 30 (3), 580-605, 2014 | 115* | 2014 |
| Statistical properties of microstructure noise J Jacod, Y Li, X Zheng Econometrica 85 (4), 1133-1174, 2017 | 109 | 2017 |
| Are volatility estimators robust with respect to modeling assumptions? Y Li, PA Mykland | 108 | 2007 |
| On the estimation of integrated covariance matrices of high dimensional diffusion processes X Zheng, Y Li | 69 | 2011 |
| High-dimensional minimum variance portfolio estimation based on high-frequency data TT Cai, J Hu, Y Li, X Zheng Journal of Econometrics 214 (2), 482-494, 2020 | 56 | 2020 |
| Rounding errors and volatility estimation Y Li, PA Mykland Journal of Financial Econometrics 13 (2), 478-504, 2015 | 49* | 2015 |
| Estimating the integrated volatility with tick observations J Jacod, Y Li, X Zheng Journal of Econometrics 208 (1), 80-100, 2019 | 42 | 2019 |
| Efficient estimation of integrated volatility incorporating trading information Y Li, S Xie, X Zheng Journal of Econometrics 195 (1), 33-50, 2016 | 41 | 2016 |
| Volatility measurement with pockets of extreme return persistence TG Andersen, Y Li, V Todorov, B Zhou Journal of Econometrics 237 (2), 105048, 2023 | 31 | 2023 |
| Volatility inference in the presence of both endogenous time and microstructure noise Y Li, Z Zhang, X Zheng Stochastic Processes and their Applications 123 (7), 2696-2727, 2013 | 30 | 2013 |
| A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise Y Li, Z Zhang, Y Li Journal of Econometrics 203 (2), 187-222, 2018 | 25 | 2018 |
| On Euler's constant—calculating sums by integrals L Yingying The American mathematical monthly 109 (9), 845-850, 2002 | 10 | 2002 |
| Solving the Markowitz optimization problem for large portfolios M Ao, Y Li, X Zheng URL http://fmaconferences. org/SanDiego/Papers/MAXSER_MengmengAo. pdf, 2017 | 6 | 2017 |
| Estimating the Integrated Volatility When Microstructure Noise is Dependent and Observation Times are Irregular J Jacod, Y Li, X Zheng Available at SSRN 2659615, 2015 | 6 | 2015 |
| Rounding Errors and Volatility Estimation Y Li, PA Mykland Working paper, 2008 | 6 | 2008 |
| Statistical Properties of Microstructure Noise J Jacod, Y Li, X Zheng arXiv preprint arXiv:1302.1047, 2013 | 5 | 2013 |
