skip to content
 

Research Interests


Analysis of High-Frequency Financial Data

Recent Publications


Published Papers

Li, Z. M., Laeven, R. J. A. and Vellekoop, M. H. Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data, (2020) Journal of Econometrics

Cambridge Working Papers in Economics

Li, Z. M., Laeven, R. J. A. and Vellekoop, M. H. Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data, (2019) CWPE1952
Merrick Li, Z. and Linton, O. A ReMeDI for Microstructure Noise, (2019) CWPE1908

Research Activities


Workshop on Financial Econometrics
Cambridge-INET is sponsoring a one day workshop on Financial Econometrics on 18th December 2019 from 9.30am to 5.30pm, in the Meade Room, Faculty of Economics.
Event Date - Wednesday 18th December 2019

Keynes Fund Sponsored Projects


Li, M. and Linton, O., New Statistical Inference Methods of High-frequency Liquidity and Volatility (JHUL)


Dr Merrick Li













Cambridge-INET Postdoctoral Research Fellow


Cambridge-INET Research Theme:
Empirical Analysis of Financial Markets

Personal Site:
https://sites.google.com/view/merri

Contact Details
Email: ml882@cam.ac.uk
Room: 88
College: Fitzwilliam College