[1] Testing for Jumps in Noisy High Frequency Data (Yacine Ait-Sahalia, Jean Jacod and Jia Li), Journal of Econometrics, 168, 207-222, 2012.
[2] Robust Estimation and Inference for Jumps in Noisy High Frequency Data: A Local-to-Continuity Theory for the Pre-Averaging Method (Jia Li). Econometrica, 81, 1673-1693, 2013.
[3] Volatility Occupation Times (Jia Li, Viktor Todorov and George Tauchen), 41, 1865-1891, 2013, Annals of Statistics.
[4] Inference Theory on Volatility Functional Dependencies (Jia Li, Viktor Todorov and George Tauchen), Journal of Econometrics, 193, 17-34, 2016.
[5] Estimating the Volatility Occupation Time via Regularized Laplace Inversion (Jia Li, Viktor Todorov and George Tauchen), forthcoming, Econometric Theory.
[6] Robust Jump Regressions (Jia Li, Viktor Todorov and George Tauchen), forthcoming, Journal of the American Statistical Association, Theory and Method.
[7] Generalized Method of Integrated Moments for High-Frequency Data. 2016 (Jia Li and Dacheng Xiu), Econometrica., 84, 1613-1633, 2016
[8] Jump Regressions (Jia Li, Viktor Todorov and George Tauchen), Econometrica, 85, 173-195, 2017
[9] Mixed-scale Jump Regressions with Bootstrap Inference (Jia Li, Viktor Todorov, George Tauchen and Rui Chen), forthcoming, Journal of Econometrics.
[10] Adaptive Estimation of Continuous-Time Regression Models using High-Frequency Data (Jia Li, Viktor Todorov and George Tauchen), forthcoming, Journal of Econometrics.
[11] Asymptotic Inference for Predictive Accuracy using High Frequency Data (Jia Li and Andrew Patton), forthcoming, Journal of Econometrics.
[12] Rank Tests at Jump Events (Jia Li, Viktor Todorov, George Tauchen and Huidi Lin), forthcoming at Journal of Business and Economic Statistics.
[13] Volume, Volatility and Public Announcements (Tim Bollerslev, Jia Li and Yuan Xue), forthcoming, Review of Economic Studies.
[14] Efficient Estimation of Integrated Volatility Functionals via Multi-scale Jackknife (Jia Li, Y. Liu and D. Xiu), forthcoming, Annals of Statistics.

工作论文

[-] Efficient Estimation of Integrated Volatility Functionals under General Volatility Dynamics (J. Li and Y. Liu) under revision at Econometric Theory.
[-] Jump Factor Models in Large Cross-Sections (J. Li, V. Todorov and G. Tauchen).
[-] Generalized Jump Regressions with an Application to Volume-Volatility Relations. (Tim Bollerslev, Jia Li, and Leonardo Salim Saker Chaves)