Projects per year
Personal profile
Personal profile
Dr. Yi (Sherry) Luo is an Assistant Professor of Accounting and joined XJTLU in 2022. Prior to the work at XJTLU, she was a teaching assistant at Lancaster University. She has rich teaching experience in Econometrics, Quantitative Methods in Economics and Statistics. She also contributed in several professional training programmes like Machine Learning in Economics initiated by Timberlake. Her main research interests lie in: earnings management, machine learning in Finance and Accounting, high-frequency volatility modeling and tail risk modeling.
Research interests
Earnings management
Machine Learning in Accounting and Finance
High-frequency financial volatility modeling
Tail risk modeling
Experience
Assistant Professor of Accounting in XJTLU, 2022 to present
Teaching assistant of Economics in Lancaster University, 2018 to 2022
Teaching
ACC 207: Econometrics in Accounting and Finance
ACC 103: Introduction of Financial Accounting
ACC 411: Integrated Case Study
ECON 103: Quantitative Methods in Economics (Undergraduate)
ECON 212: Introduction to Econometrics (Undergraduate)
ECON 403: Applied Econometrics (Graduate)
ECON 413: Market Risk Forecasting and Control (Graduate)
ECON 420: Postgraduate Dissertation: Time Series Session (Graduate)
Education/Academic qualification
PhD in Economics, Lancaster University, 2022
MicroMaster in Statistics and Data Science, Massachusetts Institute of Technology, 2020
MSc in Money, Banking and Finance, Lancaster University, 2017
Person Types
- Staff
Collaborations and top research areas from the last five years
Projects
- 1 Active
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Bank Loan Loss Provision Estimates: A Hybrid Data-driven Approach
1/07/23 → 30/06/26
Project: Internal Research Project
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Bankruptcy Forecasting – Market Information with Ensemble Model
Luo, Y., 23 Feb 2024, (Submitted) In: British Accounting Review.Research output: Contribution to journal › Article › peer-review
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When MIDAS Meets LASSO: The Power of Low-frequency Variables in Forecasting Value-at-Risk and Expected Shortfall
Luo, Y., Xue, X. & Izzeldin, M., 23 Jul 2024, (Accepted/In press) In: Journal of Financial Econometrics.Research output: Contribution to journal › Article › peer-review
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Forecasting Realized Volatility: A Hybrid Model Integrating BiLSTM with HAR-type Models
Luo, Y., 15 Aug 2023, (Submitted).Research output: Contribution to conference › Paper › peer-review
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When MIDAS Meets LASSO: The Wisdom of Low-frequency Variables in Forecasting Value-at-Risk and Expected Shortfall
Xiaohan Xue & Marwan Izzeldin, 19 Jan 2023, (Submitted) In: Journal of Financial Econometrics.Research output: Contribution to journal › Article › peer-review
Activities
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When MIDAS Meets LASSO: The Power of Low-frequency Variables in Forecasting Value-at-Risk and Expected Shortfall
Yi Luo (Invited speaker)
17 Jul 2024 → 19 Jul 2024Activity: Talk or presentation › Presentation at conference/workshop/seminar
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The Effect of Digital Transactions on Investment Efficiency
Lili Jiu (Supervisor), Jiexiang Huang (Co-supervisor), Yi Luo (Co-supervisor) & Oupin Tang (Co-supervisor)
24 Jun 2024 → 25 Aug 2024Activity: Supervision › Completed SURF Project
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When MIDAS Meets LASSO: The Power of Low-frequency Variables in Forecasting Value-at-Risk and Expected Shortfall
Yi Luo (Speaker)
12 Jun 2024 → 14 Jun 2024Activity: Talk or presentation › Presentation at conference/workshop/seminar
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Forecasting Realized Volatility: A Hybrid Model Integrating BiLSTM with HAR-type Models
Yi Luo (Speaker)
7 Jun 2024 → 9 Jun 2024Activity: Talk or presentation › Presentation at conference/workshop/seminar
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The 2nd International Cardiff Fintech Conference
Yi Luo (Speaker)
10 Nov 2023Activity: Talk or presentation › Presentation at conference/workshop/seminar