Articles with public access mandates - Jia LiLearn more
Available somewhere: 21
Volume, volatility, and public news announcements
T Bollerslev, J Li, Y Xue
The Review of Economic Studies 85 (4), 2005-2041, 2018
Mandates: US National Science Foundation, Danish National Research Foundation
Jump regressions
J Li, V Todorov, G Tauchen
Econometrica 85 (1), 173-195, 2017
Mandates: US National Science Foundation
Generalized method of integrated moments for high‐frequency data
J Li, D Xiu
Econometrica 84 (4), 1613-1633, 2016
Mandates: US National Science Foundation
Realized semicovariances
T Bollerslev, J Li, AJ Patton, R Quaedvlieg
Econometrica 88 (4), 1515-1551, 2020
Mandates: Australian Research Council, Netherlands Organisation for Scientific Research
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
Mandates: US National Science Foundation
Conditional superior predictive ability
J Li, Z Liao, R Quaedvlieg
The Review of Economic Studies 89 (2), 843-875, 2022
Mandates: US National Science Foundation, Netherlands Organisation for Scientific Research
Uniform nonparametric inference for time series
J Li, Z Liao
Journal of Econometrics 219 (1), 38-51, 2020
Mandates: US National Science Foundation
Asymptotic inference about predictive accuracy using high frequency data
J Li, AJ Patton
Journal of Econometrics 203 (2), 223-240, 2018
Mandates: US National Science Foundation
Efficient estimation of integrated volatility functionals via multiscale jackknife
J Li, Y Liu, D Xiu
The Annals of Statistics 47 (1), 156-176, 2019
Mandates: US National Science Foundation
Inference theory for volatility functional dependencies
J Li, V Todorov, G Tauchen
Journal of Econometrics 193 (1), 17-34, 2016
Mandates: US National Science Foundation
Mixed-scale jump regressions with bootstrap inference
J Li, V Todorov, G Tauchen, R Chen
Journal of Econometrics 201 (2), 417-432, 2017
Mandates: US National Science Foundation
Rank tests at jump events
J Li, V Todorov, G Tauchen, H Lin
Journal of Business & Economic Statistics 37 (2), 312-321, 2019
Mandates: US National Science Foundation
Robust jump regressions
J Li, V Todorov, G Tauchen
Journal of the American Statistical Association 112 (517), 332-341, 2017
Mandates: US National Science Foundation
Fixed‐k inference for volatility
T Bollerslev, J Li, Z Liao
Quantitative Economics 12 (4), 1053-1084, 2021
Mandates: US National Science Foundation
Jump factor models in large cross‐sections
J Li, V Todorov, G Tauchen
Quantitative Economics 10 (2), 419-456, 2019
Mandates: US National Science Foundation
Efficient estimation of integrated volatility functionals under general volatility dynamics
J Li, Y Liu
Econometric Theory 37 (4), 664-707, 2021
Mandates: US National Science Foundation
Estimating the volatility occupation time via regularized Laplace inversion
J Li, V Todorov, G Tauchen
Econometric Theory 32 (5), 1253-1288, 2016
Mandates: US National Science Foundation
Weak identification of long memory with implications for inference
J Li, PCB Phillips, S Shi, J Yu
Available at SSRN 4140818, 2022
Mandates: US National Science Foundation, Australian Research Council
Variation and efficiency of high-frequency betas
C Zhang, J Li, V Todorov, G Tauchen
Journal of Econometrics 228 (1), 156-175, 2022
Mandates: US National Science Foundation
Weak Identification of Long Memory with Implications for Inference
PCB Phillips
Mandates: US National Science Foundation, Australian Research Council
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