Research Interests

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Analysis of High-Frequency Financial Data

Recent Publications

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Published Papers

Li, Z. M., Laeven, R. J. A. and Vellekoop, M. H. Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data, (2019) Journal of Econometrics, accepted

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., Linton, O A ReMeDI for Microstructure Noise, (2019) CWPE1908

Research Activities

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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

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