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Yuning Li
Lecturer in Accounting and Finance

Profile

Biography

Dr Yuning Li is a Lecturer in Accounting and Finance, joining the School for Business and Society in September 2023. Before that, he received his BSc in Mathematics and PhD in Statistics from Zhejiang University and his PhD in Economics from University of York.

Research

Overview

My research interests are:

  • Financial econometrics: Time series model, Market microstructure, and High-frequency data analysis
  • Statistical modelling: Nonparametric estimation, Change point detection, and High- dimensional data analysis

My research is theoretically and computationally intensive, mainly in high-dimensional/big data analysis and financial data analysis, which involves development of innovative statistical models, simulation, asymptotic analysis and estimation.

My current research mainly focuses on the latent factor model, which has emerged as a powerful framework for analysing high-dimensional data. By assuming that the observed variables can be expressed as linear combinations of a few latent factors plus an approximation error, the factor model provides a means of dimension reduction, captures the essential dynamics of the data, and
can be applied in many areas such as portfolio management.

Publications

Selected publications

1. Yu-Ning Li, Jia Chen and Oliver Linton (2023). Estimation of Common Factors for Microstructure Noise and Efficient Price in a High-frequency Dual Factor Model (Job market paper). Journal of Econometrics, Forthcoming.
2. Yu-Ning Li, Degui Li and Piotr Fryzlewicz (2023). Detection of multiple structural breaks in large covariance matrices. Journal of Business & Economic Statistics 41, 846--861.
3. Qing Yang, Yu-Ning Li and Yi Zhang (2020). Change point detection for nonparametric regression under strongly mixing process. Statistical Papers 61, 1465-–1506.
4. Yu-Ning Li, Yi Zhang and Caiya Zhang (2019). Statistical inference for measurement equation selection in the log-realGARCH model. Econometric Theory 35, 943--977.
5. Yu-Ning Li and Yi Zhang (2018). Estimation of heteroscedasticity by local composite quantile regression and matrix decomposition. Journal of Nonparametric Statistics 30, 291-- 307.
6. Yu-Ning Li, Yi Zhang and Jun Zhao (2018). Optimal capital allocation based on weighted- mean-variance principle (Chinese). Mathematica Applicata. 31 12--18.

Teaching

Undergraduate

  • ECO00027I: Mathematics 2, University of York. 2020-2021
  • ECO00004I: Financial Economics and Capital Markets, University of York. 2020-2021
  • MAN00037I: Financial Modelling with R, University of York. 2023-2024

Postgraduate

  • MAN00134M: Quantitative Methods in Finance, University of York. 2023-2024
  • MAN00162M: Individual Research Project - Finance, University of York. 2023-2024 

Contact details

Dr Yuning Li
Lecturer
School for Business and Society
University of York
Church Lane Building
York Science Park
York
YO10 5ZF

Office hours

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