Jia Li, Professor

Please note: Jia has left the "Economics" group at Duke University; some info here might not be up to date.

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
Email Address:
Web Page:	https://sites.google.com/view/jiali/home

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; 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; Todorov, V; Tauchen, G, Variation and efficiency of high-frequency betas, Journal of Econometrics (January, 2020) [doi]  [abs]

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