National School of Development
Energy and Commodities Market
2008 M.S. in Financial Mathematics, Stanford University
2004 M.A. in Finance, Wuhan University
2001 B.A. in Finance and B.S. in Mathematics, Wuhan University
2015-present Associate Professor in Economics, National School of Development, Peking University
2016-present Deputy Director and Senior Research Fellow, Institute of Digital Finance, Peking University
2016-present Senior Research Fellow, Pangoal Institution
2012-present Senior Research Fellow, China Center for Energy and Development, Peking University
2012-present Senior Research Fellow, Environment for Development (EfD)
2011-2015 Assistant Professor in Economics, National School of Development, Peking University
Advanced Econometrics (graduate)
Financial Econometrics (graduate)
Empirical Finance (undergraduate)
Derivatives Markets (undergraduate)
Corporate Finance (undergraduate)
Recent Working Papers
Volatility During the Financial Crisis Through the Lens of High Frequency Data: A Realized GARCH Approach (with Denisa Banulescu, Peter Hansen and Marius Matei), working paper.
Realized EGARCH, Volatility Risk Premium and CBOE VIX (with Peter Reinhard Hansen and Tianyi Wang), working paper.
Selected Published Papers
“Pricing VIX Futures with the Heston-Nandi GARCH Model” (with Tianyi Wang, Yiwen Shen and Yueting Jiang), Forthcoming at Journal of Futures Markets.
“Stock Liquidity and Firm Value: Evidence from China” (with Lijie Zhang, Yong Li and Xinhan Chen), Forthcoming at Applied Economics Letters.
“The Impact of Privatization on TFP: A Quasi-Experiment in China” (with Zhi Luo, Xiaohua Wang and Tianyi Wang), Forthcoming at Annals of Economics and Finance.
“Option Pricing with the Realized GARCH Model：An Analytical Approximation Approach” (with Tianyi Wang and Peter Hansen), Journal of Futures Markets, Volume 37, Issue 4, 2017.
Exponential GARCH Modeling with Realized Measures of Volatility,” (with Peter Reinhard Hansen), Journal of Business & Economic Statistics, Volume 34, Issue 2, 2016.
“China’s Personal Credit Reporting System in the Internet Finance Era: Challenges and Opportunities” with Yang Lei and Shihan Shen, China Economic Journal, Volume 9. No. 3, 2016.
“Revisiting the Risk-return Relation: Decomposition of Risk Premium and Volatility Feedback Effects” (with Liu Hao, Shihan Shen and Tianyi Wang), China Economic Journal, Volume 9. No. 2, 2016.
Modeling the Long Memory Volatility Using Realized Measures of Volatility, (with Hao Liu and Tianyi Wang), Economic Modelling, Volume 52, January 2016.
Is There a Structural Change in the Persistence of WTI-Brent Oil Spreads in Post-2010? (with Wei Chen and Yanpng Yi), Economic Modelling, Volume 50, November 2015.
The Spirit of Capitalism and the Equity Premium,” (with Qin Wang, Yiheng Zou and Yu Ren), Annals of Economics and Finance, Vol. 16, Issue 2, November 2015
The Asset Management Industry in China: Its Past Performance and Future Prospects, (with Zhiwu Chen and Peng Xiong), Journal of Portfolio Management, Volume 41, No. 2, 2014.
Estimation of Extreme Value-at-Risk: An EVT Approach for Quantile GARCH Model”, (with Yanping Yi and Xingdong Feng), Economics Letters, Volume 124, Issue 3, 2014.
Oil Price Drivers and Movements: The Challenge for Future Research, (with Huntington, Hillard, Al-Fattah, Saud M., Gucwa, Michael and Nouri, Ali), Alternative Investment Analyst Review, Vol. 2, Issue 4, 2014.
Realized GARCH: A Joint Model of Returns and Realized Measures of Volatility (with Peter Hansen and Howard Shek), Journal of Applied Econometrics, 2012.
Winner of the Richard Stone Best Paper Prize, awarded for the best paper with substantive econometric application that has been published in two years of 2012 and 2013.
Winner of the 2nd Prize of the Seventh Chinese Colleges and Universities Outstanding Research Achievements for the years of 2011-2013.
The Relationship between Volatility and Trading Volume in the Chinese Stock Market: A Volatility Decomposition Perspective (with Tianyi Wang), Annals of Economics and Finance, Volume 13, Issue 1, 2012.
Ownership Restructuring, Marketization and Wealth Inequality in Urban China: 1995 and 2002 (with Xiaobin He), China & World Economy, Vol. 20, No. 5, 2012.
“Twelve Lectures on Internet Finance”, (with Yiping Huang, Haiming Wang and Yanshen), China Renmin University Press (2016).
Honors, Fellowships, and Awards
2016 Teaching Excellence Award, Peking University
2015 The Second Prize of the Seventh Chinese Colleges and Universities Outstanding Research Achievements for the years of 2011-2013.
2015 Outstanding Paper Award of the 13th Annual Conference in Financial Engineering and Risk Management in China.
2014 “Richard Stone Best Paper Prize” at Journal of Applied Econometrics for the years of 2012 and 2013
2013 Excellent Graduate Director Award at Peking University
2013 Fengqi Cao Award for Research Excellence in Finance at Peking University
2012 The Second Prize in 2012 Contest of Young Teachers at Peking University
2012 The Best Paper Third Prize at the 2012 Annual Conference on Quantitative Economics in China
2007-2009 Larry Yung Fellowship, Freeman Spogli Institute at Stanford University
2006-2007 Best PhD Candidacy Paper Award, Department of Economics at Stanford University
2004-2006 PhD Fellowship，Department of Economics at Stanford University
2003-2004 Fureng Dong Fellowship, Wuhan University
2017-2020 P.I of Chinese Natural Science Foundation (No. 71671004)
A New Option Pricing Model based on High Frequency Data
2015-2016 P.I. of Research Grant from China Finance 40 Forum (CF40)
China’s Credit Reporting System in the Internet Finance Era
2013-2015 P.I of Chinese Natural Science Foundation Youth Fund (No.71201001)
Modeling Volatility and Correlation with Realized GARCH Model
2013-2015 P.I. of Youth Fund, Ministry of Education in China (No. 12YJC790073)
The Impact of Financial Speculation on Global Crude Oil Prices
2011 Tongshan Research Fund at Peking University
2009 Graduate Research Opportunity (GRO) Fund, Stanford University
2008 Schwartz Research Grant, Stanford University