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李嘉(教授)查看源代码讨论查看历史

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李嘉
北京大学国家发展研究院

李嘉,普林斯顿大学经济学博士,现为杜克大学经济系副教授。

工作经历

经济系,杜克大学.

· 副教授(长聘) (2017-)

· 助理教授 (2011-2017)

教育背景

经济学博士(2011)普林斯顿大学

经济学硕士(2006)北京大学中国经济研究中心

物理学学士(2003)北京大学物理学院天体物理学系

经济学学士(2003)北京大学中国经济研究中心双学位项目

研究方向

计量经济学金融学

学术成果

论文

[1] Testing for Jumps in Noisy High Frequency Data (Yacine Ait-Sahalia, Jean Jacod and Jia Li), Journal of Econometrics, 168, 207-222, 2012.

[2] Robust Estimation and Inference for Jumps in Noisy High Frequency Data: A Local-to-Continuity Theory for the Pre-Averaging Method (Jia Li). Econometrica, 81, 1673-1693, 2013.

[3] Volatility Occupation Times (Jia Li, Viktor Todorov and George Tauchen), 41, 1865-1891, 2013, Annals of Statistics.

[4] Inference Theory on Volatility Functional Dependencies (Jia Li, Viktor Todorov and George Tauchen), Journal of Econometrics, 193, 17-34, 2016.

[5] Estimating the Volatility Occupation Time via Regularized Laplace Inversion (Jia Li, Viktor Todorov and George Tauchen), forthcoming, Econometric Theory.

[6] Robust Jump Regressions (Jia Li, Viktor Todorov and George Tauchen), forthcoming, Journal of the American Statistical Association, Theory and Method.

[7] Generalized Method of Integrated Moments for High-Frequency Data. 2016 (Jia Li and Dacheng Xiu), Econometrica., 84, 1613-1633, 2016

[8] Jump Regressions (Jia Li, Viktor Todorov and George Tauchen), Econometrica, 85, 173-195, 2017

[9] Mixed-scale Jump Regressions with Bootstrap Inference (Jia Li, Viktor Todorov, George Tauchen and Rui Chen), forthcoming, Journal of Econometrics.

[10] Adaptive Estimation of Continuous-Time Regression Models using High-Frequency Data (Jia Li, Viktor Todorov and George Tauchen), forthcoming, Journal of Econometrics.

[11] Asymptotic Inference for Predictive Accuracy using High Frequency Data (Jia Li and Andrew Patton), forthcoming, Journal of Econometrics.

[12] Rank Tests at Jump Events (Jia Li, Viktor Todorov, George Tauchen and Huidi Lin), forthcoming at Journal of Business and Economic Statistics.

[13] Volume, Volatility and Public Announcements (Tim Bollerslev, Jia Li and Yuan Xue), forthcoming, Review of Economic Studies.

[14] Efficient Estimation of Integrated Volatility Functionals via Multi-scale Jackknife (Jia Li, Y. Liu and D. Xiu), forthcoming, Annals of Statistics.

工作论文

[-] Efficient Estimation of Integrated Volatility Functionals under General Volatility Dynamics (J. Li and Y. Liu) under revision at Econometric Theory.

[-] Jump Factor Models in Large Cross-Sections (J. Li, V. Todorov and G. Tauchen).

[-] Generalized Jump Regressions with an Application to Volume-Volatility Relations. (Tim Bollerslev, Jia Li, and Leonardo Salim Saker Chaves)[1]

参考资料