Jia Li

Duke University

100 Fuqua Drive

Durham, NC 27708-0204

United States

SCHOLARLY PAPERS

8

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SSRN CITATIONS
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Top 38,959

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12

CROSSREF CITATIONS

5

Scholarly Papers (8)

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1.

Generalized Method of Integrated Moments for High-Frequency Data

Chicago Booth Research Paper No. 15-05
Number of pages: 61 Posted: 06 Feb 2015
Jia Li and Dacheng Xiu
Duke University and University of Chicago - Booth School of Business
Downloads 355 (91,875)
Citation 9

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high frequency data, semimartingale, spot volatility, nonlinearity bias, GMM

2.

Measuring China's Stock Market Sentiment

Number of pages: 67 Posted: 25 Apr 2019 Last Revised: 10 May 2019
Jia Li, Yun Chen, Yan Shen, Jingyi Wang and Zhuo Huang
Duke University, Peking University - National School of Development, Peking University - China Center for Economic Research (CCER), Peking University - National School of Development and National School of Development, Peking University
Downloads 218 (153,180)
Citation 1

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disagreement, machine learning, noise trading, sentiment, textual analysis, volatility, volume

3.

Realized Semicovariances

Economic Research Initiatives at Duke (ERID) Working Paper No. 252
Number of pages: 50 Posted: 08 Sep 2017 Last Revised: 31 Jan 2020
Tim Bollerslev, Jia Li, Andrew J. Patton and Rogier Quaedvlieg
Duke University - Finance, Duke University, Duke University - Department of Economics and Erasmus University Rotterdam (EUR) - Department of Business Economics
Downloads 202 (164,411)
Citation 3

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High-frequency data; realized variances; semicovariances; co-jumps; volatility forecasting

4.

Asymptotic Inference about Predictive Accuracy Using High Frequency Data

Economic Research Initiatives at Duke (ERID) Working Paper No. 163
Number of pages: 70 Posted: 07 Jul 2013 Last Revised: 16 Nov 2013
Jia Li and Andrew J. Patton
Duke University and Duke University - Department of Economics
Downloads 177 (185,337)
Citation 1

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Forecast evaluation, realized variance, volatility, jumps, semimartingale

5.

Spot Variance Regressions

Chicago Booth Research Paper No. 13-07
Number of pages: 35 Posted: 12 Feb 2013
Jia Li and Dacheng Xiu
Duke University and University of Chicago - Booth School of Business
Downloads 162 (199,995)
Citation 2

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high frequency data, semimartingale, VIX, spot volatility, bias correction, GMM

6.

Efficient Estimation of Integrated Volatility Functionals via Multiscale Jackknife

Chicago Booth Research Paper No. 17-05
Number of pages: 31 Posted: 28 Mar 2017 Last Revised: 18 Apr 2018
Jia Li, Yunxiao Liu and Dacheng Xiu
Duke University, University of North Carolina (UNC) at Chapel Hill and University of Chicago - Booth School of Business
Downloads 53 (411,102)
Citation 5

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7.

Conditional Superior Predictive Ability

Number of pages: 71 Posted: 06 Mar 2020
Jia Li, Zhipeng Liao and Rogier Quaedvlieg
Duke University, University of California, Los Angeles (UCLA) - Department of Economics and Erasmus University Rotterdam (EUR) - Department of Business Economics
Downloads 51 (418,191)

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conditional moment inequality, forecast evaluation, inflation, intersection bounds, machine learning, volatility

8.

Uniform Nonparametric Series Inference for Dependent Data with an Application to the Search and Matching Model

Economic Research Initiatives at Duke (ERID) Working Paper No. 268
Number of pages: 83 Posted: 12 Jul 2018
Jia Li and Zhipeng Liao
Duke University and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 32 (497,604)
Citation 2

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martingale difference, mixingale, series estimation, specification test, strong approximation, uniform inference, unemployment