Xingzhi Yao PH.D.

Assistant Professor in Finance

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 macroeconomics
with 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.


  • PhD , Lancaster University, - 2018
  • MSc , Lancaster University, UK, - 2013


  • Assistant Professor in Finance - XJTLU - 2018 to present
  • Teaching Assistant-Lancaster University Management School-2015-2017


  • Financial econometrics: high-frequency volatility modelling and forecasting
  • Time series econometrics: fractional co-integration; long memory; structural breaks


  • Li, Z., Yao, X. and Izzeldin, M., 2023, On the Right Jump Tail Inferred from the VIX Market. International Review of Financial Analysis, Forthcoming.
  • Li, Z., Izzeldin, M. and Yao, X., 2020, Return predictability of variance differences: A fractionally cointegrated approach. Journal of Futures Markets, pp 1-18.
  • Yao, X., Izzeldin, M. and Li, Z., 2019, A novel cluster HAR-type model for forecasting realized volatility. International Journal of Forecasting, 35, pp 1318-1331.
  • Yao, X., Izzeldin, M. and Li, Z., 2019. Modelling systems with a mixture of I(d) and I(0) variables using the fractionally co-integrated VAR model. Economics Letters, 181, pp160-163.
  • Yao, X. and Izzeldin, M., 2018. Forecasting using alternative measures of model‐free option‐implied volatility. Journal of Futures Markets, 38(2), pp.199-218.


  • 2022 Royal Economic Society Annual Conference (virtual), 2022
  • 15th International Conference on Computational and Financial Econometrics, London (virtual), 2021
  • 4th International Conference on Econometrics and Statistics, Hong Kong (virtual), 2021
  • Conference on Intrinsic Time in Finance, Lake Constance, Germany, 2020
  • 33rd European Economic Association Meeting, Cologne, Germany, 2018
  • 5th Academic International Conference on Law, Economics and Finance, Cambridge, UK, 2018
  • 2nd International Conference on Econometrics and Statistics, Hong Kong, 2018
  • 15th INFINITI International Conference on International Finance, Valencia, Spain, 2017
  • NWDTC Economics Conference, Manchester, UK, 2017
  • 3rd KoLa Workshop on Financial Econometrics, Lancaster, UK, 2017
  • 10th International Conference on Computational and Financial Econometrics, Seville, Spain, 2016
  • 18th Oxmetrics User International Conference, London, UK, 2016
  • World Finance Conference, New York City, US, 2016
  • Financial Econometrics and Empirical Asset Pricing International Conference, Lancaster, UK, 2016
  • 3rd Annual Conference on the International Association for Applied Econometrics, Milan, Italy, 2016
  • 14th INFINITI Conference on International Finance, 2016
  • NWDTC Economics Conference, Lancaster, UK, 2016
  • 9th International Conference on Computational and Financial Econometrics, 2015


  • YAO, XINGZHI 2021, Principal Investigator, Natural Science Foundation of the Jiangsu Higher Education Institutions of China Programme, 2021-2023, 30,000
  • YAO, XINGZHI 2018, Principal Investigator, XJTLU Research Development Fund, 2018-2021, 70,500
  • YAO, XINGZHI 2015, Principal Investigator, Lancaster University Management School (LUMS) conference grant, 2015-2017, 25,000,
  • YAO, XINGZHI 2014, Principal Investigator, Economic and Social Research Council studentship with advanced quantitative methods (AQM) enhanced stipend, 2014-2017, 1,000,000,


  • Econometrics (Year 3 undergraduates Eviews lab session), Lancaster University Management School (LUMS), 2015-2017
  • Market Risk Forecasting and Control (Postgraduates R/Stata lab session), LUMS, 2016-2017
  • Applied Econometrics (Postgraduates Eviews/Stata lab session), LUMS, 2015-2017
  • Principles of Economics (Year 1 undergraduates), LUMS, 2016-2017
  • Quantitative Methods for Economics (Year 1 undergraduates), LUMS, 2014-2016


  • FIN414, Financial Econometrics
  • FIN305 Risk Management for Business
  • MAN 303 Final Year Project
  • ACF104 Foundations of Finance


  • 2019 Talent Program - Jiangsu Province Innovation & Entrepreneurship Doctor
  • 2017/18 Lancaster University Management School Dean's List
Xingzhi Yao