Jia li duke

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We develop econometric tools for studying jump dependence of two processes from high-frequency observations on a fixed time interval. In this context, only segments of data around a few outlying observations are informative for the inference. We derive an asymptotically valid test for stability of a linear jump relation over regions of the jump size domain. The test has power against general forms of nonlinearity in the jump dependence as well as temporal instabilities. We further propose an efficient estimator for the linear jump regression model that is formed by optimally weighting the detected jumps with weights based on the diffusive volatility around the jump times. We derive the asymptotic limit of the estimator, a semiparametric lower efficiency bound for the linear jump regression, and show that our estimator attains the latter.

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 Associate Editor, Econometrica Present.

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James L. Meriam Distinguished Professor of Biomedical Engineering. Director, Center for Quantitative Biodesign. University of Wisconsin at Madison, M. Chengdu University of Science and Technology China , My research revolves around ecology and evolution of microbial communities with specific emphases on antibiotic resistance, spatial dynamics, and pattern formation.

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. Altogether Duke Xian annexed 17 states and subjugated 38 others. After the sacrifice, he gave some of the food to the palace for his father, Duke Xian of Jin.

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Research Collection School Of Economics. Such data exhibit a microscopic view of asset price behaviors, but also raise new challenges for econometricians. The proposed method is also robust to measurement error in the observed processes, which is achieved by locally smoothing the high-frequency increments. The latter are the continuous martingale parts of the processes as well as observation noise. Department of Economics, Duke University. PhD admission committee: Publication Journal of the American Statistical Association. Search Enter search terms:. New articles related to this author's research. Unlike classical linear regressions, 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. We propose a semiparametric two-step inference procedure for a finite-dimensional parameter based on moment conditions constructed from high-frequency data. He is currently working on spot variance regressions, volatility occupation times, and forecast evaluation with latent variables. Robust jump regressions. Elsevier - Digital Commons.

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.

Publication Journal of the American Statistical Association. In an empirical application, we use the developed inference techniques to test the temporal stability of market jump betas. Page details. The 7th, 8th, 9th, 10th annual SoFiE meetings. We show that the proposed estimator is consistent and asymptotically mixed Gaussian and propose a consistent estimator for the conditional asymptotic variance. Research Areas Econometrics. Visiting Professor Spring. Verified email at meta. Associate Editor, Econometrica Present. Hack Professor, Princeton University Verified email at princeton. Mailing address: 90 Stemford Road, Singapore, Time: pmpm. The nonparametric volatility estimator is then used to form sample moment functions in the second-step GMM estimation, which requires the correction of a high-order nonlinearity bias from the first step. Merged citations. These infill asymptotic results are based on a novel empirical-process-type theory for general integrated functionals of noisy semimartingale processes.