个人简介
一、教育经历
1.2005-2011经济学博士,美国纽约大学,经济系
2.2001-2004经济学硕士,武汉大学,经济与管理学院
3.1997-2001经济学学士和数学学士,武汉大学,经济与管理学院
二、工作经历
1.2018年12月至今百人计划研究员(文科A-I类)、副教授,浙江大学经济学院
2.2017年7月-2018年11月常任副教授(终身教职),上海财经大学经济学院
3.2014年7月-2017年7月副教授,上海财经大学经济学院
4.2014年1月-2014年6月助理教授,上海财经大学经济学院
5.2011年8月-2014年1月助理教授,上海财经大学统计与管理学院
教学与课程
2012,2013,2017,2018年,金融计量经济学(博士生课程),上海财经大学
2018年,金融计量经济学(硕士生课程),上海财经大学
2012,2013,2014年,金融时间序列(硕士生课程),上海财经大学
2015,2016,2017年,高级计量经济学(硕士生课程),上海财经大学
2015,2016,2017,2018年,宏观经济学(本科生课程),上海财经大学
2012,2013年,高级计量经济学(博士生课程),上海财经大学
2011年,时间序列分析(博士生课程),上海财经大学
2010年,应用统计学(本科生课程),美国纽约大学
2006-2010年,宏观经济学助教(习题课),美国纽约大学
2001-2005年,随机过程、概率统计、时间序列(本科生课程),武汉大学
二、科研项目
1.部分参数识别模型的贝叶斯统计推断,国家自然科学基金面上项目71973122,52万元,2020/01-2023/12,主持。
2.高频环境下连续时间模型的计量检验及其在金融市场分析中的应用,国家自然科学基金青年科学基金项目71501120,17.4万元,2016/01-2018/12,参与。
3.统计估计与决策优化在库存和定价管理中的集成研究,国家自然科学基金面上项目71471107,58万元,2015/01-2018/12,参与。
4.高维数据的变量选择及在金融和生物中的应用,2013年度上海浦江团队项目13PJC048,30万(10万),2013/09-2015/08,项目主持人之一。
学术交流(讲座报告)
2019 Shandong Conference of Econometrics,Shandong University,July 9,2019
School of Economics,Huazhong University of Science and Technology,May 26,2019
School of Economics,Zhejiang University,June 9,2018
School of Finance,Central University of Finance and Economics,May 29,2018
School of Banking and Finance,University of International Business and Economics,May 28,2018
School of Economics,Huazhong University of Science and Technology,June 27,2017
2017 Shanghai Econometrics Workshop,June 16-17,2017
2017 China Meeting of the Econometric Society,June 9-11,2017
School of Economics and Management,Beihang University,May 9,2017
The 3rd Shandong Econometrics Conference,Center for Economic Research,Shandong University,June 17-18,2016
2016 Symposium on Financial Engineering and Risk Management(FERM 2016,Guangzhou),June 12-13,2016
Institute of Statistics and Big Data,Renmin University of China,May 16,2016
2016 International Symposium on Econometric Theory and Applications(SETA 2016,Hamilton,New Zealand),February 17-19,2016
Wang Yanan Institute for Studies in Economics(WISE),Xiamen University,December 22,2015
Southwestern University of Finance and Economics,December 18,2015
2015 International Symposium on Econometric Theory and Applications(SETA 2015,Tokyo),May 30-31,2015
2014 Shanghai Econometrics Workshop,June 29-30,2014
2014 International Symposium on Econometric Theory and Applications(SETA 2014,Taipei),May 29-30,2014
Self-normalized Asymptotic Theory in Probability,Statistics and Econometrics,Institute for Mathematical Sciences,National University of Singapore,May 14-23,2014
Guanghua School of Management,Peking University,December 4,2012
Wang Yanan Institute for Studies in Economics(WISE),Xiamen University,May 17,2012
Oxford-Man Institute Symposium on Modelling Multivariate Dependence and Extremes in Finance,University of Oxford,November 6-7,2008
International Symposium on Financial Engineering and Risk Management(FERM 08),Shanghai,China,June 8-10,2008
NYU Econometrics Student Workshop,October,2008
10th Econometric Game,University of Amsterdam,April 7-9,2009
荣誉奖励
2013,上海市浦江人才
2005-2011,MacCracken Fellowship,NYU
2006-2007,Summer Fellowships,Department of Economics,NYU
2001-2004,Graduate Student Fellowships,Wuhan University
97,98,2000,Distinguished Undergraduate Scholarships(Top 5%in the class),Wuhan University
研究领域
金融计量经济学,时间序列分析,计量理论,半参数估计
金融计量经济学,时间序列分析,计量理论,半参数估计
近期论文
查看导师新发文章
(温馨提示:请注意重名现象,建议点开原文通过作者单位确认)
Efficient Estimation of Copula-based Semiparametric Markov Models',(joint with Xiaohong Chen and Wei Biao Wu),Annals of Statistics,37(6B),4214-4253,2009.
'Uniform Inference in Predictive Regression Models',(joint with Rohit S.Deo and Willa W.Chen),Journal of Business&Economic Statistics,31(4),525-533,2013.
'Estimation of Extreme Value-at-risk:an EVT Approach for Quantile GARCH Model',(joint with Xingdong Feng and Zhuo Huang),Economics Letters,124(3),378-381,2014.
'Is There a Structural Change in the Persistence of WTI-Brent Oil Price Spreads in the Post-2010 Period',(joint with Zhuo Huang and Wei Chen),Economic Modelling,50,64-71,2015.
'Forecasting Cointegrated Nonstationary Time Series with Time-varying Variance',(通讯作者,joint with Yundong Tu),Journal of Econometrics,196,83-98,2017.
'Semiparametric Identification of the Bid-Ask Spread in Extended Roll Models',(通讯作者,joint with Xiaohong Chen and Oliver Linton),Journal of Econometrics,200,312-325,2017.
'Semiparametric Estimation of the Bid-Ask Spread in Extended Roll Models',(通讯作者,joint with Xiaohong Chen,Oliver Linton,and Stefan Schneeberger),Journal of Econometrics,208,160-178,2019.
'Balanced Predictive Regressions',(通讯作者,joint with Yu Ren and Yundong Tu),Journal of Empirical Finance,54,118-142,2019.
二、工作论文:
1.'On Estimation of Multivariate Semiparametric GARCH Filtered Copula Models',joint with Xiaohong Chen and Zhuo Huang,revision requested by Journal of Econometrics.
2.'Bootstrap in Copula-based Semiparametric Markov Models',joint with Xiaohong Chen.
.'Goodness of fit test for copula functions based on martingale transformation',joint with Qiang Chen and Yuting Gong.
学术兼职
期刊匿名审稿
Journal of Econometrics
Review of Economics and Statistics
Journal of Business and Economic Statistics
Journal of Financial Econometrics
Journal of Machine Learning Research
Journal of the Royal Statistical Society