Concepedia

Xinghua Zheng

XZ

22

Publications

946

Citations

17

H-Index

1990

Active since

Affiliations

Hong Kong University of Science and Technology(Current)

University of Hong Kong

University of Chicago

Xiamen University

Institut de Mathématiques de Jussieu-Paris Rive Gauche

Xinghua Zheng is an author at Hong Kong University of Science and Technology specializing in statistics, business, and finance.

Top concepts

StatisticsFinanceBusinessEngineeringAsset PricingManagementProbabilityVolatility ModelingPortfolio OptimizationEconometrics

Publications per year

1990–2024

22

Publications

22

Approaching Mean-Variance Efficiency for Large Portfolios

Mengmeng Ao, Yingying Li, Xinghua Zheng · Review of Financial Studies · 2018 · 144 citations

Mathematical Programming, Portfolio Optimization, Financial Economics +15

Statistical Properties of Microstructure Noise

Jean Jacod, Yingying Li, Xinghua Zheng · Econometrica · 2017 · 113 citations

Volatility Modeling, Engineering, Price Process +16

REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS

Yingying Li, Per A. Mykland, Éric Renault et al. · Econometric Theory · 2013 · 75 citations

Economics, Volatility Modeling, Asset Pricing +11

High dimensional minimum variance portfolio estimation under statistical factor models

Yi Ding, Yingying Li, Xinghua Zheng · Journal of Econometrics · 2020 · 71 citations

Portfolio Optimization, High-dimensional Method, Portfolio Selection +8

Estimating the integrated volatility with tick observations

Jean Jacod, Yingying Li, Xinghua Zheng · Journal of Econometrics · 2018 · 57 citations

Tick Observations, Volatility Modeling, Business +2

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