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Dr. Merrick Li

Postdoctoral Research Associate

Cambridge-INET Institute

Faculty of Economics

University of Cambridge

Research Interests:

Financial Econometrics, Market Microstructure

Working Papers:

  • (Job Market Paper) A ReMeDI for Microstructure Noise, joint with Oliver Linton, revised and resubmitted.

Paper. Supplementary Materials.

  • Robust Estimation of Integrated Volatility.

Paper.

Publication:

  • Li, Z. Merrick, Roger JA Laeven, and Michel H. Vellekoop. "Dependent microstructure noise and integrated volatility estimation from high-frequency data." Journal of Econometrics (2020).

Paper. Supplementary Materials.

Contact:

Faculty of Economics

University of Cambridge

Austin Robinson Building , Sidgwick Avenue

Cambridge, CB3 9DD

United Kingdom

Email: ml882@cam.ac.uk