Jia Li
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.
Education
- Ph.D., Princeton University 2011
Li, J., and Z. Liao. “Uniform nonparametric inference for time series.” Journal of Econometrics, January 1, 2020. https://doi.org/10.1016/j.jeconom.2019.09.011. Full Text
Bollerslev, T., J. Li, and L. S. S. Chaves. “Generalized Jump Regressions for Local Moments.” Journal of Business and Economic Statistics, January 1, 2020. https://doi.org/10.1080/07350015.2020.1753526. Full Text
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
Pages
Li, J., and A. J. Patton. “Asymptotic Inference about Predictive Accuracy Using High Frequency Data,” July 6, 2013. Open Access Copy
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