Jia Li

Associate Professor of Economics

External Address: 
228G Social Sciences, Box 90097, Durham, NC 27708-0097
Internal Office Address: 
Box 90097, Durham, NC 27708

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.

Education

  • Ph.D., Princeton University 2011

Li, J, Todorov, V, and Tauchen, G. "Adaptive estimation of continuous-time regression models using high-frequency data." Journal of Econometrics 200, no. 1 (September 2017): 36-47. Full Text

Li, J, Todorov, V, and Tauchen, G. "Robust Jump Regressions." Journal of the American Statistical Association 112, no. 517 (January 2, 2017): 332-341. Full Text Open Access Copy

Li, J, Todorov, V, and Tauchen, G. "Jump Regressions." Econometrica 85, no. 1 (2017): 173-195. Full Text Open Access Copy

Li, J, Todorov, V, and Tauchen, G. "ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION." Econometric Theory 32, no. 05 (October 2016): 1253-1288. Full Text

Li, J, Todorov, V, and Tauchen, G. "Inference theory for volatility functional dependencies." Journal of Econometrics 193, no. 1 (July 2016): 17-34. Full Text

Li, J, and Xiu, D. "Generalized Method of Integrated Moments for High-Frequency Data." Econometrica 84, no. 4 (2016): 1613-1633. Full Text

Li, J, Todorov, V, and Tauchen, G. "Volatility occupation times." Annals of Statistics 41, no. 4 (2013): 1865-1891. Full Text

Aït-Sahalia, Y, Jacod, J, and Li, J. "Testing for jumps in noisy high frequency data." Journal of Econometrics 168, no. 2 (2012): 207-222. Full Text

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