Research Interests:

Financial Econometrics, Market Microstructure

Working Papers:

• Estimation of Asset Pricing Errors and Their Empirical Properties.

Paper. 

Publication:

• Li, Z. Merrick, and Oliver Linton (2024). "Robust Estimation of Integrated and Spot Volatility". Forthcoming, Journal of Econometrics.

Supplementary Materials.  

• Li, Z. Merrick, and Oliver Linton (2022). "A ReMeDI for Microstructure Noise." Econometrica, 90, 367-389.

Supplementary Materials.  Matlab Code. R Code (developed by Emil Sjoerup).

• Li, Z. Merrick, Roger JA Laeven, and Michel H. Vellekoop (2020). "Dependent microstructure noise and integrated volatility estimation from high-frequency data." Journal of Econometrics, 215, 536–558.

Supplementary Materials.