Jia li duke

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 jia li duke a few outlying observations are informative for the inference, jia li duke. 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.

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. The population moment conditions take the form of temporally integrated functionals of state-variable processes that include the latent stochastic volatility process of an asset. In the first step, we nonparametrically recover the volatility path from high-frequency asset returns.

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.

Discipline Econometrics Economic Theory.

We develop robust inference methods for studying linear dependence between the jumps of discretely observed processes at high frequency. 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. The latter are the continuous martingale parts of the processes as well as observation noise. By sampling more frequently the role of these components, which are hidden in the observed price, shrinks asymptotically. The robustness of our inference procedure is with respect to outliers, which are of particular importance in the current setting of relatively small number of jump observations. This is achieved by using nonsmooth loss functions like L1 in the estimation. Unlike classical robust methods, the limit of the objective function here remains nonsmooth.

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.

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.

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The system can't perform the operation now. In an empirical application, we use the developed inference techniques to test the temporal stability of market jump betas. Programs Ph. Journal of the American Statistical Association. Econometrics Commons , Economic Theory Commons. Department of Economics, Duke University. Identifier Research Collection School Of Economics. Copyright Owner and License Publisher. Page details.

James L. Meriam Distinguished Professor of Biomedical Engineering.

The proposed method is also robust to measurement error in the observed processes, which is achieved by locally smoothing the high-frequency increments. Tim Bollerslev Duke University Verified email at duke. Yacine Ait-Sahalia Otto A. Econometrics Finance Economics. Search committee for Duke Kunshan director of economics. This is achieved by using nonsmooth loss functions like L1 in the estimation. Location: Building 1, Room , Faculty Lounge. Public access. Econometrics Commons , Economic Theory Commons. The robustness of our inference procedure is with respect to outliers, which are of particular importance in the current setting of relatively small number of jump observations.