Jia Li : Citation Profile

Singapore Management University (50% share)
Duke University (50% share)

4

H index

3

i10 index

97

Citations

RESEARCH PRODUCTION:

2

Articles

5

Papers

RESEARCH ACTIVITY:

   11 years (2013 - 2024). See details.
   Cites by year: 8
   Journals where Jia Li has often published
   Relations with other researchers
   Recent citing documents: 37.    Total self citations: 2 (2.02 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pli1690
   Updated: 2026-07-04    RAS profile: 2025-07-15    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Jia Li.

Is cited by:

LINTON, OLIVER (5)

Bollerslev, Tim (5)

Kroencke, Tim (3)

Schmeling, Maik (3)

Schrimpf, Andreas (3)

Iacone, Fabrizio (3)

Coroneo, Laura (3)

Hansen, Peter (3)

Feunou, Bruno (3)

Neely, Christopher (3)

Fengler, Matthias (2)

Cites to:

Bollerslev, Tim (18)

Andersen, Torben (14)

Diebold, Francis (10)

Hansen, Peter (7)

Tauchen, George (6)

Renault, Eric (5)

bloom, nicholas (5)

Shephard, Neil (5)

Lunde, Asger (5)

Davis, Steven (5)

Baker, Scott (5)

Main data

Where Jia Li has published?

Recent works citing Jia Li (2025 and 2024)

YearTitle of citing document
2025Option Pricing with Time-Varying Volatility Risk Aversion. (2025). Hansen, Peter ; Tong, Chen. In: Papers. RePEc:arx:papers:2204.06943.

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2024A nonparametric test for rough volatility. (2024). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2407.10659.

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2025Cross-sectional Dependence in Idiosyncratic Volatility. (2024). Tewou, Kokouvi ; Kalnina, Ilze. In: Papers. RePEc:arx:papers:2408.13437.

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2025Forecasting U.S. equity market volatility with attention and sentiment to the economy. (2025). Ly, Vstefan ; Halouskov, Martina. In: Papers. RePEc:arx:papers:2503.19767.

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2025Evaluating financial tail risk forecasts: Testing Equal Predictive Ability. (2025). Bauer, Lukas. In: Papers. RePEc:arx:papers:2505.23333.

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2026Overparametrized models with posterior drift. (2025). Coqueret, Guillaume ; Laguerre, Martial. In: Papers. RePEc:arx:papers:2506.23619.

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2025Data Synchronization at High Frequencies. (2025). Kong, Xinbing ; Liu, Cheng ; Wu, Bin. In: Papers. RePEc:arx:papers:2507.12220.

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2026Beyond Returns: A Candlestick-Based Approach to Spot Covariance Estimation. (2025). Simsek, Yasin. In: Papers. RePEc:arx:papers:2510.12911.

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2026A Structural Matrix Autoregressive Model for the Joint Dynamics of Volume, Volatility, and Returns. (2026). Rossi, Eduardo ; Palomba, Giulio ; Bucci, Andrea. In: Papers. RePEc:arx:papers:2606.08141.

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2024Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach. (2024). Zhao, Xueyan ; LINTON, OLIVER ; Hong, S Y. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2449.

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2024Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach. (2024). Zhao, Xueyan ; LINTON, OLIVER ; Hong, S Y. In: Janeway Institute Working Papers. RePEc:cam:camjip:2423.

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2024Oil Market Efficiency, Quantity of Information, and Oil Market Turbulence. (2024). Wadud, Sania ; Gronwald, Marc ; Dogah, Kingsley. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10995.

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2024Optimal nonparametric range-based volatility estimation. (2024). Bollerslev, Tim ; Li, Qiyuan. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002646.

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2024Stock co-jump networks. (2024). Li, Yingying ; Ding, YI ; Zheng, Xinghua ; Liu, Guoli. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s030440762300057x.

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2024An unbounded intensity model for point processes. (2024). Kolokolov, Aleksey ; Christensen, Kim. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624001854.

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2025Cross-sectional dependence in idiosyncratic volatility. (2025). Kalnina, Ilze ; Tewou, Kokouvi. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000570.

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2025Mind your language: Market responses to central bank speeches. (2025). Neely, Christopher ; Yang, Xiye ; Ahrens, Maximilian ; Erdemlioglu, Deniz ; McMahon, Michael. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pc:s0304407624002720.

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2025Taking advantage of biased proxies for forecast evaluation. (2025). Ren, Roberto ; Buccheri, Giuseppe ; Vocalelli, Giorgio. In: Journal of Econometrics. RePEc:eee:econom:v:251:y:2025:i:c:s0304407625001228.

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2026Multi-horizon test for market frictions. (2026). Yang, Xiye ; Li, Merrick Z. In: Journal of Econometrics. RePEc:eee:econom:v:253:y:2026:i:c:s0304407625002246.

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2026Uncovering mild drift in asset prices with intraday high-frequency data. (2026). Shi, Shuping ; Phillips, Peter. In: Journal of Econometrics. RePEc:eee:econom:v:253:y:2026:i:c:s0304407625002301.

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2026Robust estimation of integrated and spot volatility. (2026). LINTON, OLIVER. In: Journal of Econometrics. RePEc:eee:econom:v:254:y:2026:i:pa:s0304407623003305.

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2026BUMVU estimators. (2026). Ren, Roberto ; Zoi, Patrick ; Kolokolov, Aleksey. In: Journal of Econometrics. RePEc:eee:econom:v:254:y:2026:i:pa:s0304407624002938.

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2025Which corporate leaders matter to financial markets?. (2025). Philipps, Collin S ; Ratliff, David J. In: International Review of Financial Analysis. RePEc:eee:finana:v:97:y:2025:i:c:s1057521924007129.

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2026The impact of investor attention to the federal reserve on jumps in China’s stock market. (2026). Chu, Xiaojun ; Zhou, Haigang. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:106:y:2026:i:c:s1042443125001337.

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2024Survey density forecast comparison in small samples. (2024). Iacone, Fabrizio ; Coroneo, Laura ; Profumo, Fabio. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1486-1504.

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2025Signal in the noise: Trump tweets and the currency market. (2025). Filippou, Ilias ; Gozluklu, Arie E ; Nguyen, My T ; Viswanath-Natraj, Ganesh. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:156:y:2025:i:c:s0261560625000786.

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2024Mind Your Language: Market Responses to Central Bank Speeches. (2024). Yang, Xiye ; Neely, Christopher ; McMahon, Michael ; Ahrens, Maximilian ; Erdemlioglu, Deniz. In: Working Papers. RePEc:fip:fedlwp:96270.

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2025Fed-Driven Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications. (2025). Yang, Xiye ; Neely, Christopher ; Erdemlioglu, Deniz. In: Working Papers. RePEc:fip:fedlwp:96490.

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2024Public Information as a Source of Disagreement. (2024). Xefteris, Dimitrios ; Macé, Antonin ; Pi, Shaoting ; Bouton, Laurent ; Mace, Antonin ; Llorente-Saguer, Aniol ; Meirowitz, Adam. In: PSE Working Papers. RePEc:hal:psewpa:halshs-04075483.

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2025Volume-driven time-of-day effects in intraday volatility models. (2025). Batista, Igor Ferreira ; Virbickait, Audron ; Nguyen, Hoang ; Lopes, Hedibert Freitas. In: Working Papers. RePEc:hhs:oruesi:2025_014.

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2024The Dynamic Informativeness of Scheduled News. (2024). Crego, Julio A ; Gider, Jasmin. In: Management Science. RePEc:inm:ormnsc:v:70:y:2024:i:10:p:6724-6739.

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2026Price jumps in the FX markets using the quantile frequency VAR connectedness framework. (2026). Apostolakis, George ; Gkillas, Konstantinos ; Floros, Christos. In: Journal of Asset Management. RePEc:pal:assmgt:v:27:y:2026:i:2:d:10.1057_s41260-026-00457-z.

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2025News-based investor disagreement and stock returns. (2025). Luan, Zeyao ; Li, Sophia Zhengzi. In: Review of Accounting Studies. RePEc:spr:reaccs:v:30:y:2025:i:3:d:10.1007_s11142-025-09897-1.

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2024The dynamic informativeness of scheduled news. (2024). Crego, Julio ; Gider, Jasmin. In: Other publications TiSEM. RePEc:tiu:tiutis:d4538ed2-3aeb-4259-b1f1-2d1f80a4eca5.

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2024Proxy-identification of a structural MGARCH model for asset returns. (2024). Polivka, Jeannine ; Fengler, Matthias. In: Economics Working Paper Series. RePEc:usg:econwp:2021:03.

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2024News sentiment and international equity markets during BREXIT period: A textual and connectedness analysis. (2024). Duc, Toan Luu ; Wang, Mei ; Koch, Alexander. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:1:p:5-34.

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2026VIX Option Pricing With Detected Jumps. (2026). Guo, Zhiyu ; Tong, Chen ; Huang, Zhuo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:46:y:2026:i:1:p:138-156.

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Works by Jia Li:

YearTitleTypeCited
2016Volume, Volatility and Public News Announcements In: CREATES Research Papers.
[Full Text][Citation analysis]		paper58
2024Optimal Inference for Spot Regressions In: American Economic Review.
[Full Text][Citation analysis]		article5
2022Permutation-based tests for discontinuities in event studies In: Papers.
[Full Text][Citation analysis]		paper0
2021Uniform nonparametric inference in time series via Stata In: Economics Virtual Symposium 2021.
[Full Text][Citation analysis]		paper0
2022Weak Identification of Long Memory with Implications for Inference In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper1
2013Asymptotic Inference about Predictive Accuracy Using High Frequency Data In: Working Papers.
[Full Text][Citation analysis]		paper15
2013Robust Estimation and Inference for Jumps in Noisy High Frequency Data: A Local‐to‐Continuity Theory for the Pre‐Averaging Method In: Econometrica.
[Full Text][Citation analysis]		article18

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