Assistant Professor of Economics
Social Sciences Building, 228G.
Email: firstname.lastname@example.org; Phone: (919) 660-1874
Curriculum Vitae (updated on January, 2016)
Ph.D. in Economics, Princeton University, 2011.
Jia’s research focuses on nonparametric and semiparametric 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.
Jia's current interest is on general regression-like methods involving spot covariance matrices and jumps, as well as the evaluation of predictive methods, using high-frequency data.
Jia's research is partially supported by NSF Grants SES-1227448 and SES-1326819.
Generalized Method of Integrated Moments for High-Frequency Data. (with Dacheng Xiu), Econometrica, forthcoming.
Jump regressions (with G. Tauchen and V. Todorov), revised and resubmitted, Econometrica.
Mixed-scale Jump Regressions with Bootstrap Inference (with G. Tauchen, V. Todorov and R. Chen), revised and resubmitted, Journal of Econometrics.
Adaptive Estimation of Continuous-Time Regression Models using High-Frequency Data (with G. Tauchen and V. Todorov), revised and resubmitted, Journal of Econometrics.
Asymptotic Inference for Predictive Accuracy using High Frequency Data (with Andrew Patton), under revision.
Rank Tests at Jump Events (with H. Lin, G. Tauchen, V. Todorov)
Volume, Volatility and Public Announcements (with T. Bollerslev and Y. Xue)