Jia Li

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

Bollerslev, T, Li, J, and Xue, Y. "Volume, Volatility, and Public News Announcements." The Review of Economic Studies (January 22, 2018). Full Text

Li, J, Todorov, V, Tauchen, G, and Chen, R. "Mixed-scale jump regressions with bootstrap inference." Journal of Econometrics 201, no. 2 (December 2017): 417-432. Full Text

Li, J, and Xiu, D. "Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale*." Journal of Financial Econometrics (November 14, 2017). Full Text

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, Tauchen, G, and Lin, H. "Rank Tests at Jump Events." Journal of Business & Economic Statistics (May 22, 2017): 1-10. 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

Pages

Selected Grants

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