Assistant Professor of Economics
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