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Testing for jumps in noisy high frequency data
Aït-Sahalia, Yacine; Jacod, Jean; Li, Jia - In: Journal of econometrics 168 (2012) 2, pp. 207-222
Persistent link: https://www.econbiz.de/10009612749
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Testing for jumps in noisy high frequency data
Aït-Sahalia, Yacine; Jacod, Jean; Li, Jia - In: Journal of econometrics 168 (2012) 2, pp. 207-223
Persistent link: https://www.econbiz.de/10009969396
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Asymptotic inference about predictive accuracy using high frequency data
Li, Jia; Patton, Andrew J. - In: Journal of econometrics 203 (2018) 2, pp. 223-240
Persistent link: https://www.econbiz.de/10011974659
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Mixed-scale jump regressions with bootstrap inference
Li, Jia; Todorov, Viktor; Tauchen, George Eugene; Chen, Rui - In: Journal of econometrics 201 (2017) 2, pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
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Adaptive estimation of continuous-time regression models using high-frequency data
Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Journal of econometrics 200 (2017) 1, pp. 36-47
Persistent link: https://www.econbiz.de/10011897689
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Inference theory for volatility functional dependencies
Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Journal of econometrics 193 (2016) 1, pp. 17-34
Persistent link: https://www.econbiz.de/10011704756
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Uniform nonparametric inference for time series
Li, Jia; Liao, Zhipeng - In: Journal of econometrics 219 (2020) 1, pp. 38-51
Persistent link: https://www.econbiz.de/10012483186
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Occupation density estimation for noisy high-frequency data
Zhang, Congshan; Li, Jia; Bollerslev, Tim - In: Journal of econometrics 227 (2022) 1, pp. 189-211
Persistent link: https://www.econbiz.de/10013441646
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Variation and efficiency of high-frequency betas
Zhang, Congshan; Li, Jia; Todorov, Viktor; Tauchen, … - In: Journal of econometrics 228 (2022) 1, pp. 156-175
Persistent link: https://www.econbiz.de/10013441735
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Optimal nonparametric range-based volatility estimation
Bollerslev, Tim; Li, Jia; Li, Qiyuan - In: Journal of econometrics 238 (2024) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10015073787