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.
- Ph.D., Princeton University 2011
Parametric and nonparametric regressions on spot volatility awarded by National Science Foundation (Principal Investigator). 2013 to 2017
Estimation and Inference Methods for Continuous-Time Models awarded by National Science Foundation (Principal Investigator). 2012 to 2013