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Education background

Undergraduate (2007-2011): Lingnan University (HongKong), Bachalor in Accounting (major) and Finance (minor)
Graduate (2011-2012): Lancaster University (UK), Master in Finance
PhD (2012-2017): Lancaster University (UK), PhD in Financial Econometrics

Research areas

Financial econometrics; Asset pricing; High-frequency data; Empirical market microstructure

Papers:
1. Xiaolu Zhao, Ingmar Nolte, and Stephen Taylor (2016). More accurate volatility estimation and forecasts using price durations. Society of Financial Econometrics 2016 Conference Paper. Submitted.
2. Xiaolu Zhao, Ingmar Nolte, Stephen Taylor, and Qi Xu (2017). Duration-based covariance. Econometrics Society 2019 Asian Conference Paper. Submitted.
3. Seok Young Hong, Oliver Linton, and Xiaolu Zhao (2018). First passage time covariance matrix estimators. Cambridge University Working Paper.
4. Oliver Linton and Xiaolu Zhao (2018). Empirical likelihood estimation of value-at-risk and expected shortfall. Cambridge University Working Paper.
5. Oliver Linton, Haihan Tang, and Xiaolu Zhao (2019). Forecasting global equity returns. Cambridge University Working Paper.