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.
Office Location: | 228G Social Sciences, Box 90097, Durham, NC 27708-0097 |
Email Address: | |
Web Page: | https://sites.google.com/view/jiali/home |
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