| Approaching mean-variance efficiency for large portfolios M Ao, L Yingying, X Zheng The Review of Financial Studies 32 (7), 2890-2919, 2019 | 126 | 2019 |
| 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 | 114* | 2014 |
| Statistical properties of microstructure noise J Jacod, Y Li, X Zheng Econometrica 85 (4), 1133-1174, 2017 | 110 | 2017 |
| On the estimation of integrated covariance matrices of high dimensional diffusion processes X Zheng, Y Li Annals of Statistics 39, 3121 - 3151, 2011 | 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 | 49 | 2020 |
| Estimating the integrated volatility with tick observations J Jacod, Y Li, X Zheng Journal of Econometrics 208 (1), 80-100, 2019 | 45* | 2019 |
| High dimensional minimum variance portfolio estimation under statistical factor models Y Ding, Y Li, X Zheng Journal of econometrics 222 (1), 502-515, 2021 | 44 | 2021 |
| Efficient estimation of integrated volatility incorporating trading information Y Li, S Xie, X Zheng Journal of Econometrics 195 (1), 33-50, 2016 | 42 | 2016 |
| In-sample and out-of-sample Sharpe ratios of multi-factor asset pricing models R Kan, X Wang, X Zheng Journal of Financial Economics 155, 103837, 2024 | 33 | 2024 |
| 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 | 32 | 2013 |
| Occupation statistics of critical branching random walks in two or higher dimensions SP Lalley, X Zheng | 29* | 2011 |
| Subcritical branching processes in a random environment without the Cramer condition V Vatutin, X Zheng Stochastic Processes and their Applications 122 (7), 2594-2609, 2012 | 25 | 2012 |
| Spatial epidemics and local times for critical branching random walks in dimensions 2 and 3 SP Lalley, X Zheng Probability theory and related fields 148, 527-566, 2010 | 23 | 2010 |
| On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations N Xia, X Zheng | 21* | 2018 |
| The random conductance model with Cauchy tails MT Barlow, X Zheng | 14 | 2010 |
| A phase transition for measure-valued SIR epidemic processes SP Lalley, EA Perkins, X Zheng The Annals of Probability 42 (1), 237-310, 2014 | 13 | 2014 |
| Testing high-dimensional covariance matrices under the elliptical distribution and beyond X Yang, X Zheng, J Chen Journal of econometrics 221 (2), 409-423, 2021 | 10 | 2021 |
| On the maximal displacement of subcritical branching random walks E Neuman, X Zheng Probability Theory and Related Fields 167, 1137-1164, 2017 | 8 | 2017 |
| Discrete fractal dimensions of the ranges of random walks in associate with random conductances Y Xiao, X Zheng Probability Theory and Related Fields 156 (1), 1-26, 2013 | 6 | 2013 |
| Critical branching random walks with small drift X Zheng Stochastic processes and their applications 120 (9), 1821-1836, 2010 | 5 | 2010 |
Yingying LiHKUSTVerified email at ust.hk
