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

Li, J., V. Todorov, and G. Tauchen. “Jump factor models in large cross-sections.” Quantitative Economics 10, no. 2 (May 1, 2019): 419–56. https://doi.org/10.3982/QE1060. Full Text

Li, J., V. Todorov, G. Tauchen, and H. Lin. “Rank Tests at Jump Events.” Journal of Business and Economic Statistics 37, no. 2 (April 3, 2019): 312–21. https://doi.org/10.1080/07350015.2017.1328362. Full Text

Li, J., Y. Liu, and D. Xiu. “Efficient estimation of integrated volatility functionals via multiscale Jackknife.” Annals of Statistics 47, no. 1 (February 1, 2019): 156–76. https://doi.org/10.1214/18-AOS1684. Full Text

Bollerslev, T., J. Li, and Y. Xue. “Volume, volatility, and public news announcements.” Review of Economic Studies 85, no. 4 (October 1, 2018): 2005–41. https://doi.org/10.1093/restud/rdy003. Full Text

Li, J., and D. Xiu. “Comment on: Limit of Random Measures associated with the increments of a Brownian Semimartingale.” Journal of Financial Econometrics 16, no. 4 (September 1, 2018): 570–82. https://doi.org/10.1093/jjfinec/nbx034. Full Text

Li, J., V. Todorov, G. Tauchen, and R. Chen. “Mixed-scale jump regressions with bootstrap inference.” Journal of Econometrics 201, no. 2 (December 1, 2017): 417–32. https://doi.org/10.1016/j.jeconom.2017.08.017. Full Text

Li, J., V. Todorov, and G. Tauchen. “Adaptive estimation of continuous-time regression models using high-frequency data.” Journal of Econometrics 200, no. 1 (September 1, 2017): 36–47. https://doi.org/10.1016/j.jeconom.2017.01.010. Full Text

Li, J., V. Todorov, and G. Tauchen. “Robust Jump Regressions.” Journal of the American Statistical Association 112, no. 517 (January 2, 2017): 332–41. https://doi.org/10.1080/01621459.2016.1138866. Full Text Open Access Copy

Li, J., V. Todorov, and G. Tauchen. “Jump Regressions.” Econometrica 85, no. 1 (January 1, 2017): 173–95. https://doi.org/10.3982/ECTA12962. Full Text Open Access Copy

Li, J., V. Todorov, and G. Tauchen. “ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION.” Econometric Theory 32, no. 5 (October 1, 2016): 1253–88. https://doi.org/10.1017/S0266466615000171. 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