23 citations · 27 across the 2 of their papers we have counts for
2 papers
econ.EM2020★ 4 cited
Permutation-based tests for discontinuities in event studies
Federico A. Bugni, Jia Li, Qiyuan Li
We propose using a permutation test to detect discontinuities in an underlying economic model at a known cutoff point. Relative to the existing literature, we show that this test i…
math.ST2013★ 23 cited
Volatility occupation times
Jia Li, Viktor Todorov, George Tauchen
We propose nonparametric estimators of the occupation measure and the occupation density of the diffusion coefficient (stochastic volatility) of a discretely observed Itô semimarti…