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 29,622

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23

CROSSREF CITATIONS

6

Scholarly Papers (8)

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1.

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 803 (47,090)
Citation 4

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

2.

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 377 (120,604)
Citation 13

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

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 European Central Bank (ECB)
Downloads 297 (155,990)
Citation 9

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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 194 (235,980)
Citation 2

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Forecast evaluation, realized variance, volatility, jumps, semimartingale

5.

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 European Central Bank (ECB)
Downloads 183 (248,356)
Citation 2

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

6.

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 179 (253,229)
Citation 2

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

7.

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 71 (486,371)
Citation 4

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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 50 (575,887)
Citation 1

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