| Testing for jumps in noisy high frequency data Y Aït-Sahalia, J Jacod, J Li Journal of Econometrics 168 (2), 207-222, 2012 | 159 | 2012 |
| Volume, volatility, and public news announcements T Bollerslev, J Li, Y Xue The Review of Economic Studies 85 (4), 2005-2041, 2018 | 149 | 2018 |
| Jump regressions J Li, V Todorov, G Tauchen Econometrica 85 (1), 173-195, 2017 | 110 | 2017 |
| Generalized method of integrated moments for high‐frequency data J Li, D Xiu Econometrica 84 (4), 1613-1633, 2016 | 94* | 2016 |
| Realized semicovariances T Bollerslev, J Li, AJ Patton, R Quaedvlieg Econometrica 88 (4), 1515-1551, 2020 | 81 | 2020 |
| Adaptive estimation of continuous-time regression models using high-frequency data J Li, V Todorov, G Tauchen Journal of Econometrics 200 (1), 36-47, 2017 | 62 | 2017 |
| Conditional superior predictive ability J Li, Z Liao, R Quaedvlieg The Review of Economic Studies 89 (2), 843-875, 2022 | 52 | 2022 |
| Uniform nonparametric inference for time series J Li, Z Liao Journal of Econometrics 219 (1), 38-51, 2020 | 41 | 2020 |
| Robust Estimation and Inference for Jumps in Noisy High Frequency Data: A Local‐to‐Continuity Theory for the Pre‐Averaging Method J Li Econometrica 81 (4), 1673-1693, 2013 | 39 | 2013 |
| Measuring China's stock market sentiment J Li, Y Chen, Y Shen, J Wang, Z Huang Available at SSRN 3377684, 2019 | 36 | 2019 |
| Asymptotic inference about predictive accuracy using high frequency data J Li, AJ Patton Journal of Econometrics 203 (2), 223-240, 2018 | 34 | 2018 |
| Efficient estimation of integrated volatility functionals via multiscale jackknife J Li, Y Liu, D Xiu The Annals of Statistics 47 (1), 156-176, 2019 | 33 | 2019 |
| Volatility occupation times J Li, V Todorov, G Tauchen | 33 | 2013 |
| Inference theory for volatility functional dependencies J Li, V Todorov, G Tauchen Journal of Econometrics 193 (1), 17-34, 2016 | 26 | 2016 |
| Mixed-scale jump regressions with bootstrap inference J Li, V Todorov, G Tauchen, R Chen Journal of Econometrics 201 (2), 417-432, 2017 | 24 | 2017 |
| Fixed‐k inference for volatility T Bollerslev, J Li, Z Liao Quantitative Economics 12 (4), 1053-1084, 2021 | 20 | 2021 |
| Rank tests at jump events J Li, V Todorov, G Tauchen, H Lin Journal of Business & Economic Statistics 37 (2), 312-321, 2019 | 20 | 2019 |
| Robust jump regressions J Li, V Todorov, G Tauchen Journal of the American Statistical Association 112 (517), 332-341, 2017 | 20 | 2017 |
| Reading the candlesticks: An OK estimator for volatility J Li, D Wang, Q Zhang Review of Economics and Statistics 106 (4), 1114-1128, 2024 | 17 | 2024 |
| Jump factor models in large cross‐sections J Li, V Todorov, G Tauchen Quantitative Economics 10 (2), 419-456, 2019 | 15 | 2019 |
George TauchenProfessor of EconomicsZweryfikowany adres z duke.edu
