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 EconometricsCambridge 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) CWPE1952Merrick 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)