Time Series, Financial Econometrics, Econometric Theory
(Ph.D., New York University, 2011)
222, School of Economics
111 Wuchuan Rd
Personal Web Page:
01/2014-present Assistant Professor, School of Economics, SUFE
08/2011-01/2014 Assistant Professor, School of Statistics and Management, SUFE
2005 - 2011 Doctor of Philosophy in Economics, New York University, USA
2001 - 2004 Master of Arts in Economics, Wuhan University, China
1997 - 2001 B.A. in Economics and B.S. in Mathematics, Wuhan University, China
- "Efficient Estimation of Copula-based Semiparametric Markov Models," with Xiaohong Chen
andWei BiaoWu , Annals of Statistics, Volume 37, Number 6B, pages 4214-4253, 2009.
- "Uniform Inference in Predictive Regression Models," with Rohit S. Deo and Willa W. Chen, Journal of Business & Economic Statistics, Volume 31, No. 4, pages 525-533, 2013.
- "Estimation of extreme value-at-risk: An EVT approach for quantile GARCH model," with Xingdong Feng and Zhuo Huang, Economics Letters, 124 (2014) 378–381.
- "Bootstrap in Copula-based Semiparametric Markov Models," with Xiaohong Chen.
- "Predicting Asset Returns with Persistent Financial indicators: A Refinement on Predictive Regression Model," with Ren Yu and Yundong Tu .
- "Averaging Estimators for Nonstationary Vector Autoregressive Models," with Yundong Tu .
- "Testing Predictability in the Presence of Multiple Nearly-integrated Predictors " .
- "Estimation of Extreme VaR for quantile GARCH Model: An EVT Approach," with Xingdong
Feng and Zhuo Huang.
- "Bayesian Inference of Structural Breaks in Time-Varying Volatility Models," with Wei Liao.
- 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
The Review of Economics and Statistics
Journal of Econometrics
Journal of Business and Economic Statistics
Journal of Financial Econometrics