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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 (Fall 2018):

  • ECON 690.01, SELECTED TOPICS IN ECONOMICS Synopsis
    Social Sciences 113, MW 01:25 PM-02:40 PM
  • ECON 883.05, TOPICS IN ECONOMETRICS Synopsis
    Social Sciences 113, MW 10:05 AM-11:20 AM
  • ECON 890.01, SPECIAL TOPICS IN ECONOMICS Synopsis
    Social Sciences 113, MW 01:25 PM-02:40 PM
  • ECON 957S.01, RSRCH SEM: FINANL ECONOMETRICS Synopsis
    Social Sciences 111, M 11:45 AM-01:00 PM
Teaching (Spring 2019):

  • ECON 707D.001, ECONOMETRICS II Synopsis
    Old Chem 003, 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
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. Bollerslev, T; Li, J; Xue, Y, Volume, Volatility, and Public News Announcements, Review of Economic Studies (January, 2018) [doi]
  2. 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]
  3. Li, J; Xiu, D, Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale*, Journal of Financial Econometrics (November, 2017) [doi]
  4. 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 [doi]
  5. Li, J; Todorov, V; Tauchen, G; Lin, H, Rank Tests at Jump Events, Journal of Business & Economic Statistics (May, 2017), pp. 1-10 [doi]

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


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