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Jia Li
Jia Li
Lee Kong Chian Professor of Economics, Singapore Management University
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Title
Cited by
Cited by
Year
Testing for jumps in noisy high frequency data
Y Aït-Sahalia, J Jacod, J Li
Journal of Econometrics 168 (2), 207-222, 2012
1442012
Volume, volatility, and public news announcements
T Bollerslev, J Li, Y Xue
The Review of Economic Studies 85 (4), 2005-2041, 2018
1302018
Jump regressions
J Li, V Todorov, G Tauchen
Econometrica 85 (1), 173-195, 2017
992017
Generalized method of integrated moments for high‐frequency data
J Li, D Xiu
Econometrica 84 (4), 1613-1633, 2016
82*2016
Realized semicovariances
T Bollerslev, J Li, AJ Patton, R Quaedvlieg
Econometrica 88 (4), 1515-1551, 2020
612020
Adaptive estimation of continuous-time regression models using high-frequency data
J Li, V Todorov, G Tauchen
Journal of Econometrics 200 (1), 36-47, 2017
582017
Conditional superior predictive ability
J Li, Z Liao, R Quaedvlieg
The Review of Economic Studies 89 (2), 843-875, 2022
422022
Robust Estimation and Inference for Jumps in Noisy High Frequency Data: A Local‐to‐Continuity Theory for the Pre‐Averaging Method
J Li
Econometrica 81 (4), 1673-1693, 2013
372013
Uniform nonparametric inference for time series
J Li, Z Liao
Journal of Econometrics 219 (1), 38-51, 2020
332020
Asymptotic inference about predictive accuracy using high frequency data
J Li, AJ Patton
Journal of Econometrics 203 (2), 223-240, 2018
322018
Volatility occupation times
J Li, V Todorov, G Tauchen
292013
Efficient estimation of integrated volatility functionals via multiscale jackknife
J Li, Y Liu, D Xiu
The Annals of Statistics 47 (1), 156-176, 2019
282019
Measuring China's stock market sentiment
J Li, Y Chen, Y Shen, J Wang, Z Huang
Available at SSRN 3377684, 2019
222019
Mixed-scale jump regressions with bootstrap inference
J Li, V Todorov, G Tauchen, R Chen
Journal of Econometrics 201 (2), 417-432, 2017
222017
Inference theory for volatility functional dependencies
J Li, V Todorov, G Tauchen
Journal of Econometrics 193 (1), 17-34, 2016
212016
Rank tests at jump events
J Li, V Todorov, G Tauchen, H Lin
Journal of Business & Economic Statistics 37 (2), 312-321, 2019
202019
Robust jump regressions
J Li, V Todorov, G Tauchen
Journal of the American Statistical Association 112 (517), 332-341, 2017
182017
Fixed‐k inference for volatility
T Bollerslev, J Li, Z Liao
Quantitative Economics 12 (4), 1053-1084, 2021
142021
Jump factor models in large cross‐sections
J Li, V Todorov, G Tauchen
Quantitative Economics 10 (2), 419-456, 2019
142019
Reading the candlesticks: An OK estimator for volatility
J Li, D Wang, Q Zhang
Review of Economics and Statistics, 1-45, 2022
92022
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Articles 1–20