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Jia Li, Associate Professor

Jia Li

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: send me a message
Web Page:  http://econ.duke.edu/people/li

Teaching (Spring 2019):

  • ECON 707D.001, ECONOMETRICS II Synopsis
    Soc/Psych 126, TuTh 10:05 AM-11:20 AM
  • ECON 707D.01D, ECONOMETRICS II Synopsis
    Social Sciences 107, Th 06:30 PM-07:20 PM
  • ECON 707D.02D, ECONOMETRICS II Synopsis
    Languages 109, Th 06:30 PM-07:20 PM
  • ECON 957S.01, RSRCH SEM: FINANL ECONOMETRICS Synopsis
    Social Sciences 111, M 11:45 AM-01:00 PM
Teaching (Fall 2019):

  • ECON 612.01, TIME SERIES ECONOMETRICS Synopsis
    Social Sciences 311, MW 04:40 PM-05:55 PM
  • ECON 883.05, TOPICS IN ECONOMETRICS Synopsis
    Social Sciences 111, TuTh 08:30 AM-09:45 AM
  • ECON 890.01, SPECIAL TOPICS IN ECONOMICS Synopsis
    LSRC A155, MW 01:25 PM-02:40 PM
    (also cross-listed as ECON 690.02)
  • ECON 957S.01, RSRCH SEM: FINANL ECONOMETRICS Synopsis
    Social Sciences 111, M 11:45 AM-01:00 PM
Education:

Ph.D.Princeton University2011
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; 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 [doi]  [abs]
  2. 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) [doi]
  3. 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) [doi]
  4. 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 [doi]
  5. Li, J; Todorov, V; Tauchen, G; Lin, H, Rank Tests at Jump Events, Journal of Business & Economic Statistics (September, 2017), pp. 1-10, Informa UK Limited [doi]  [abs]

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


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