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.
Office Location: | 228G Social Sciences, Box 90097, Durham, NC 27708-0097 |
Office Phone: | (919) 660-1874 |
Email Address: | ![]() ![]() |
Web Page: | https://sites.google.com/view/jiali/home |
Teaching (Spring 2021):
Ph.D. | Princeton University | 2011 |
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.
News Story: Astrophysicist Turned Econometrician:New Faculty Member Jia Li