Jia Li, Professor

Professor Li's research focuses on nonparametric estimation and inference of financial risk factors, such as volatility and jumps, based on high frequency financial data. Such data exhibit a microscopic view of asset price behaviors, but also raise new challenges for econometricians. He is currently working on a project for detecting jumps from the perspective of hedging derivative securities, as well as methods for robust estimation and inference of asset price jumps.

Contact Info:

Office Location:	228G Social Sciences, Box 90097, Durham, NC 27708-0097
Office Phone:	(919) 660-1874
Email Address:
Web Page:	https://sites.google.com/view/jiali/home

Teaching (Spring 2021):

• ECON 957S.01, RSRCH SEM: FINANL ECONOMETRICS Synopsis

  Online ON, M 12:00 PM-01:30 PM

Education:

Ph.D.

Princeton University

2011

Specialties:

Econometrics
Financial Economics
Mathematical and Quantitative Methods

Research Interests:

Professor Li's research focuses on nonparametric estimation and inference of financial risk factors, such as volatility and jumps, based on high frequency financial data. Such data exhibit a microscopic view of asset price behaviors, but also raise new challenges for econometricians. He is currently working on a project for detecting jumps from the perspective of hedging derivative securities, as well as methods for robust estimation and inference of asset price jumps.

Bio

Recent Publications   (More Publications)

1. Li, J; Liao, Z, Uniform nonparametric inference for time series, Journal of Econometrics, vol. 219 no. 1 (November, 2020), pp. 38-51 [doi]  [abs]
2. Li, J; Liao, Z; Gao, M, Uniform nonparametric inference for time series using Stata, Stata Journal, vol. 20 no. 3 (September, 2020), pp. 706-720 [doi]  [abs]
3. Bollerslev, T; Li, J; Patton, AJ; Quaedvlieg, R, Realized Semicovariances, Econometrica, vol. 88 no. 4 (July, 2020), pp. 1515-1551 [doi]  [abs]
4. Bollerslev, T; Li, J; Chaves, LSS, Generalized Jump Regressions for Local Moments, Journal of Business & Economic Statistics (January, 2020) [doi]  [abs]
5. Zhang, C; Li, J; Bollerslev, T, Occupation density estimation for noisy high-frequency data, Journal of Econometrics (January, 2020) [doi]  [abs]

News Story: Astrophysicist Turned Econometrician:New Faculty Member Jia Li