| 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:
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)
- Li, J; Liao, Z, Uniform nonparametric inference for time series,
Journal of Econometrics, vol. 219 no. 1
(November, 2020),
pp. 38-51 [doi] [abs]
- 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]
- Bollerslev, T; Li, J; Patton, AJ; Quaedvlieg, R, Realized Semicovariances,
Econometrica, vol. 88 no. 4
(July, 2020),
pp. 1515-1551 [doi] [abs]
- Bollerslev, T; Li, J; Chaves, LSS, Generalized Jump Regressions for Local Moments,
Journal of Business & Economic Statistics
(January, 2020) [doi] [abs]
- 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 |