Projects per year
Personal profile
Personal profile
Xingzhi Yao obtained her Ph.D in economics from Lancaster University (UK) in 2018. Prior to the work at XJTLU, she was a teaching assistant at Lancaster University Management School (LUMS) with rich teaching experience in Financial Economics, Econometrics and Applied Statistics. She was also affiliated with Timberlake consultants and delivered econometric training courses in R, Eviews and MatLab.Her main research interests include: applied macroeconomicswith focus on fractional integration, fractional co-integration and structural breaks; financial econometrics with focus on high-frequency volatility modelling and forecasting using time-series methods and options-based methods.
Research interests
Financial econometrics: high-frequency volatility modelling and forecasting
Time series econometrics: fractional co-integration; long memory; structural breaks
Experience
Assistant Professor in Finance - XJTLU - 2018 to 2023
Teaching Assistant-Lancaster University Management School-2015-2017
Teaching
FIN414, Empirical Methods in Finance
FIN305 Risk Management for Business
MAN 303 Final Year Project
FIN102 Foundations of Finance
Awards and honours
2019 Talent Program - Jiangsu Province Innovation Entrepreneurship Doctor
2017/18 Lancaster University Management School Deans List
Education/Academic qualification
PhD , Lancaster University, - 2018
MSc , Lancaster University, UK, - 2013
Person Types
- Staff
Fingerprint
Dive into the research topics where Xingzhi Yao is active. These topic labels come from the works of this person. Together they form a unique fingerprint.
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Collaborations and top research areas from the last five years
Recent external collaboration on country/territory level. Dive into details by clicking on the dots or
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Decomposition of option-implied beta and the cross-section of stock returns
1/01/24 → 31/12/26
Project: Internal Research Project
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Left Tail of Volatility-of-Volatility: evidence from international option markets
1/10/21 → 30/09/23
Project: Governmental Research Project
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Trading Activity, Jump, Return and Volatility Analysis for High-Frequency Financial Data
1/08/18 → 30/09/21
Project: Internal Research Project
Research output
- 5 Article
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On the right jump tail inferred from the VIX market
Li, Z., Yao, X. & Izzeldin, M., Feb 2023, In: International Review of Financial Analysis. 86, 102507.Research output: Contribution to journal › Article › peer-review
3 Citations (Scopus) -
Return predictability of variance differences: A fractionally cointegrated approach
Li, Z., Izzeldin, M. & Yao, X., 1 Jul 2020, In: Journal of Futures Markets. 40, 7, p. 1072-1089 18 p.Research output: Contribution to journal › Article › peer-review
Open Access2 Citations (Scopus) -
A novel cluster HAR-type model for forecasting realized volatility
Yao, X., Izzeldin, M. & Li, Z., 1 Oct 2019, In: International Journal of Forecasting. 35, 4, p. 1318-1331 14 p.Research output: Contribution to journal › Article › peer-review
Open Access12 Citations (Scopus) -
Modelling systems with a mixture of I(d) and I(0) variables using the fractionally co-integrated VAR model
Yao, X., Izzeldin, M. & Li, Z., Aug 2019, In: Economics Letters. 181, p. 160-163 4 p.Research output: Contribution to journal › Article › peer-review
Open Access1 Citation (Scopus) -
Forecasting using alternative measures of model-free option-implied volatility
Yao, X. & Izzeldin, M., 1 Feb 2018, In: Journal of Futures Markets. 38, 2, p. 199-218 20 p.Research output: Contribution to journal › Article › peer-review
Open Access4 Citations (Scopus)
Activities
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Correlation risk premium and return predictability
Xingzhi Yao (Speaker)
17 Jul 2024 → 19 Jul 2024Activity: Talk or presentation › Presentation at conference/workshop/seminar
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Decomposition of implied correlation risk and the cross-section of stock returns
Xingzhi Yao (Speaker)
16 Dec 2023Activity: Talk or presentation › Presentation at conference/workshop/seminar
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The 17th International Conference on Computational and Financial Econometrics
Xingzhi Yao (Participant)
Dec 2023Activity: Participating in or organising an event › Participating in an event e.g. a conference, workshop, …
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Journal of Futures Markets (Journal)
Xingzhi Yao (Reviewer)
2023Activity: Peer-review and editorial work of publications › Publication Peer-review
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Economic Modelling (Journal)
Xingzhi Yao (Reviewer)
2023Activity: Peer-review and editorial work of publications › Publication Peer-review