Jia li duke

We develop robust inference methods for studying linear dependence between the jumps of discretely observed processes at high frequency. Unlike classical linear regressions, jia li duke, jump regressions are determined by a small number of jumps occurring over a fixed time interval and the rest of the components of the processes around the jump times.

Date: March 25 th Wed. Time: pmpm. Location: Building 1, Room , Faculty Lounge. Language: English. We propose a semiparametric two-step inference procedure for a finite-dimensional parameter based on moment conditions constructed from high-frequency data.

Jia li duke

Download CV , updated on Nov 24, School of Economics, Singapore Management University. Visiting Professor Spring. Department of Economics, Duke University. Professor January — June Associate Professor with tenure July — December Assistant Professor July — June Department of Economics, Yale University. Econometrics; Financial Economics; Macroeconomics. Fellow, The Society for Financial Econometrics Fellow, Journal of Econometrics. Co-Editor, Econometric Theory

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In the last three decades, technological innovations, like the adoption of algorithmic trading, have paved the way for many changes in the U. By that I mean: What is the risk of an extreme event, or how much information are in prices in the stock market? His specialties are asset pricing and market structure, specifically as they relate to risk sharing and management. As a high school junior, the economist first became interested in the discipline because it merged his interests in quantitative science and political science and provided a vehicle through which he could understand how the world works. He demonstrated that finance interacts uniquely with the world. Many financial regularities can be evaluated immediately in dollars and cents. His passion just infected me. That interaction is also one of the reasons why Weller is always happy to sit down and talk with students about finance, regardless of their interests. Related Articles.

Jia li duke

He was also the ninth ruler of Jin in the Spring and Autumn period and the second duke of Jin. He reigned for 26 years. During his reign, the State of Jin was one of the most powerful and largest states due to his conquests in many small neighboring states. He is also renowned for the slaughter and exile of many royal family members of Jin and for favoring one of his concubines named Li Ji. When he ascended the throne, Duke Xian of Jin and the duke of Guo visited King Hui of Zhou and they were given rewards which resulted to the increase of their popularity throughout the states. This resulted to the increase of the power of the duke and the loss of political power of the clan of the duke since the clan was almost annihilated. To increase the military power of the state, he expanded his army into 2 troops, each having 10, men some say 12, Both women were favored by Duke Xian of Jin.

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Robust jump regressions. Department of Economics, Yale University. In the first step, we nonparametrically recover the volatility path from high-frequency asset returns. No verified email - Homepage. Try again later. Public access. Junior recruiting committee: , , , Research Areas Econometrics. Search Enter search terms:. Google Sites. Search this site.

James L. Meriam Distinguished Professor of Biomedical Engineering.

Publication Journal of the American Statistical Association. Search Enter search terms:. No verified email - Homepage. This is achieved by using nonsmooth loss functions like L1 in the estimation. We develop robust inference methods for studying linear dependence between the jumps of discretely observed processes at high frequency. Asymptotic inference about predictive accuracy using high frequency data J Li, AJ Patton Journal of Econometrics 2 , , Their combined citations are counted only for the first article. Location: Building 1, Room , Faculty Lounge. Learn more Got it. Page details. Department of Economics, Yale University. Adaptive estimation of continuous-time regression models using high-frequency data J Li, V Todorov, G Tauchen Journal of Econometrics 1 , , Associate Professor with tenure July — December See Research.