Shifan Yu
Ph.D. Candidate in Finance
Department of Accounting and Finance
Lancaster University Management School
Lancaster LA1 4YX, United Kingdom
Email: s.yu7 [at] lancaster.ac.uk
I am a Ph.D. candidate in Finance at Lancaster University Management School (LUMS) and a research fellow of the Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy. My research interests are in financial econometrics, with a specific focus on high-frequency financial data and their implications for enhanced statistical inference for asset price dynamics and market microstructure. My research is funded by the North West Social Science Doctoral Training Partnership (NWSSDTP) of the Economic and Social Research Council (ESRC) with an enhanced award in Advanced Quantitative Methods.
Working Papers
"Testing for Jumps in a Discretely Observed Price Process with Endogenous Sampling Times" (with Y. Li, I. Nolte and S. Nolte), R&R at Journal of Econometrics
"Realized Candlestick Wicks" (with Y. Li, I. Nolte and S. Nolte), R&R at Journal of Econometrics
"Decoupling Interday and Intraday Volatility Dynamics with Price Durations" (with Y. Li, I. Nolte and S. Nolte)