Jia Li

Available identifiers

List of research outcomes

Publication	Date of Publication	Type
Optimal nonparametric range-based volatility estimation	2024-02-13	Paper
Permutation‐based tests for discontinuities in event studies	2023-11-16	Paper
A consistent specification test for dynamic quantile models	2022-07-11	Paper
Fixed‐ k inference for volatility	2022-03-24	Paper
Occupation density estimation for noisy high-frequency data	2022-03-16	Paper
Variation and efficiency of high-frequency betas	2022-03-16	Paper
Conditional Superior Predictive Ability	2022-03-16	Paper
Volatility coupling	2021-12-03	Paper
Glivenko-Cantelli theorems for integrated functionals of stochastic processes	2021-11-04	Paper
EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY FUNCTIONALS UNDER GENERAL VOLATILITY DYNAMICS	2021-09-10	Paper
Realized Semicovariances	2021-06-07	Paper
Uniform nonparametric inference for time series	2021-02-09	Paper
Jump factor models in large cross‐sections	2020-01-08	Paper
Efficient estimation of integrated volatility functionals via multiscale jackknife	2019-03-14	Paper
Jump Regressions	2019-01-31	Paper
Generalized Method of Integrated Moments for High-Frequency Data	2019-01-31	Paper
Volume, Volatility, and Public News Announcements	2019-01-23	Paper
Asymptotic inference about predictive accuracy using high frequency data	2018-03-22	Paper
Mixed-scale jump regressions with bootstrap inference	2017-11-07	Paper
Adaptive estimation of continuous-time regression models using high-frequency data	2017-08-21	Paper
Testing for jumps in noisy high frequency data	2017-05-12	Paper
ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION	2017-04-28	Paper
Inference theory for volatility functional dependencies	2016-05-18	Paper
Volatility occupation times	2013-12-11	Paper
Robust Estimation and Inference for Jumps in Noisy High Frequency Data: A Local-to-Continuity Theory for the Pre-Averaging Method	2013-11-26	Paper

Research outcomes over time

Doctoral students

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