科学研究

Yingying Li is Professor at the Department of Information System, Business Statistics and Operations Management (ISOM) and the Department of Finance at Hong Kong University of Science and Technology (HKUST). Before joining HKUST, Dr. Li also held positions as lecturer and postdoctoral fellow at the Bendheim Center for Finance and the Operations Research and Financial Engineering department at Princeton University. Dr. Li received her Ph. D in Statistics from the University of Chicago.

Under a high-frequency and high-dimensional setup, we establish a framework to estimate the factor structure in stock volatility. We show the consistency of conducting principal component analysis on realized volatilities in identifying the factor structure in stock and idiosyncratic volatility. Empirically, with strong empirical evidence, we propose a single factor model for stock volatility, where volatility is represented by a common volatility factor and a multiplicative  lognormal idiosyncratic component. We further utilize the proposed factor model for volatility forecasting and show that our proposed approach outperforms various benchmark methods. This is joint work with Yi Ding, Robert Engle and Xinghua Zheng.