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Research Interests for Jia Li

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.

Recent 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]

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