Publications of Jia Li
Journal Articles
- Li, J; Liao, Z, Uniform nonparametric inference for time series,
Journal of Econometrics, vol. 219 no. 1
(November, 2020),
pp. 38-51
- 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
- Bollerslev, T; Li, J; Patton, AJ; Quaedvlieg, R, Realized Semicovariances,
Econometrica, vol. 88 no. 4
(July, 2020),
pp. 1515-1551
- Bollerslev, T; Li, J; Chaves, LSS, Generalized Jump Regressions for Local Moments,
Journal of Business & Economic Statistics
(January, 2020)
- Zhang, C; Li, J; Bollerslev, T, Occupation density estimation for noisy high-frequency data,
Journal of Econometrics
(January, 2020)
- Li, J; Liu, Y, EFFICIENT ESTIMATION of INTEGRATED VOLATILITY FUNCTIONALS under GENERAL VOLATILITY DYNAMICS,
Econometric Theory
(January, 2020)
- Zhang, C; Li, J; Todorov, V; Tauchen, G, Variation and efficiency of high-frequency betas,
Journal of Econometrics
(January, 2020)
- Li, J; Todorov, V; Tauchen, G, Jump factor models in large cross-sections,
Quantitative Economics, vol. 10 no. 2
(May, 2019),
pp. 419-456
- Li, J; Todorov, V; Tauchen, G; Lin, H, Rank Tests at Jump Events,
Journal of Business & Economic Statistics, vol. 37 no. 2
(April, 2019),
pp. 312-321, Informa UK Limited
- Li, J; Liu, Y; Xiu, D, Efficient estimation of integrated volatility functionals via multiscale Jackknife,
The Annals of Statistics, vol. 47 no. 1
(February, 2019),
pp. 156-176, Institute of Mathematical Statistics
- Bollerslev, T; Li, J; Xue, Y, Volume, volatility, and public news announcements,
Review of Economic Studies, vol. 85 no. 4
(October, 2018),
pp. 2005-2041, Oxford University Press (OUP)
- Li, J; Xiu, D, Comment on: Limit of Random Measures associated with the increments of a Brownian Semimartingale,
Journal of Financial Econometrics, vol. 16 no. 4
(September, 2018),
pp. 570-582, Oxford University Press (OUP)
- Li, J; Todorov, V; Tauchen, G; Chen, R, Mixed-scale jump regressions with bootstrap inference,
Journal of Econometrics, vol. 201 no. 2
(December, 2017),
pp. 417-432
- Li, J; Todorov, V; Tauchen, G, Adaptive estimation of continuous-time regression models using high-frequency data,
Journal of Econometrics, vol. 200 no. 1
(September, 2017),
pp. 36-47, Elsevier BV
- Li, J; Todorov, V; Tauchen, G, Robust Jump Regressions,
Journal of the American Statistical Association, vol. 112 no. 517
(January, 2017),
pp. 332-341, Informa UK Limited
- Li, J; Todorov, V; Tauchen, G, Jump Regressions,
Econometrica, vol. 85 no. 1
(January, 2017),
pp. 173-195, The Econometric Society
- Li, J; Todorov, V; Tauchen, G, ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION,
Econometric Theory, vol. 32 no. 5
(October, 2016),
pp. 1253-1288, Cambridge University Press (CUP), ISSN 0266-4666
- Li, J; Todorov, V; Tauchen, G, Inference theory for volatility functional dependencies,
Journal of Econometrics, vol. 193 no. 1
(July, 2016),
pp. 17-34, Elsevier BV, ISSN 0304-4076
- Li, J; Xiu, D, Generalized Method of Integrated Moments for High-Frequency Data,
Econometrica, vol. 84 no. 4
(July, 2016),
pp. 1613-1633, The Econometric Society
- Li, J; Patton, AJ, Asymptotic Inference about Predictive Accuracy Using High Frequency Data no. 163
(July, 2013),
pp. 223-240, Elsevier BV
- Li, J, Robust estimation and inference for jumps in noisy high frequency data: A local-to-continuity theory for the pre-averaging method,
Econometrica, vol. 81 no. 4
(July, 2013),
pp. 1673-1693, The Econometric Society, ISSN 0012-9682
- Li, J; Todorov, V; Tauchen, G, Volatility occupation times,
The Annals of Statistics, vol. 41 no. 4
(2013),
pp. 1865-1891, Institute of Mathematical Statistics, ISSN 0090-5364
- Aït-Sahalia, Y; Jacod, J; Li, J, Testing for jumps in noisy high frequency data,
Journal of Econometrics, vol. 168 no. 2
(June, 2012),
pp. 207-222, Elsevier BV, ISSN 0304-4076