Ye Lu's research interests are in econometrics, time series, financial econometrics, and large-dimensional methods. As an econometrician, her research focuses on making methodological contributions with unified principles that apply to challenging empirical problems. With the dramatic increase in data availability and complexity nowadays, her research seeks to develop more appropriate and robust methods for econometric inference in such data-rich environments, where blind use of traditional methods can be spurious or misleading. Her current research consists of three strands: (1) continuous time modelling with high-frequency data, (2) large-dimensional and nonlinear factor models in economics, and (3) econometric modelling with high-frequency event data.
