CV
Click here for a full version of my CV in PDF.
RESEARCH INTERESTS:
Financial Econometrics, Econometric Theory, Time Series Econometrics
ACADEMIC POSITIONS:
2020/08 - Present : Associate Professor, School of Economics, Fudan University, Shanghai, China
2013/08 - 2020/07 : Assistant Professor, Department of Economics, The Chinese University of Hong Kong, Hong Kong, China
2012/07 - 2013/07 : Postdoctoral Research Fellow, Sim Kee Boon Institute for Financial Economics, Singapore Management University, Singapore
EDUCATION:
Ph.D., Economics, Singapore Management University, 2012
M.A., Economics, Xiamen University, 2008
B.A., Economics, Wuhan University, 2006
B.Sc., Mathematics, Wuhan University, 2006
BOOK CHAPTER:
WANG, XH. “Finite Sample Theory in Continuous-Time Models” Financial Econometrics - Theory and Applications, Chapter 4, Shuping Shi, Xiaohu Wang, Tao Zheng (eds), Cambridge University Press.
JOURNAL PBLICATIONS:
WANG, XH., ZHANG, C., YU, J. “On the Optimal Forecast with the Fractional Brownian Motion” Quantitative Finance, 2024, 24(2), 337-346
WANG, XH., XIAO, WL., YU, J. “Modelling and Forecasting Realized Volatility with the Fractional Ornstein-Uhlenbeck Process” Journal of Econometrics, 2023, 232, 389-415.
WANG, XH., YU, J. “Latent Local-to-Unity Models” Econometric Reviews, 2023, 42(7), 586-611
WANG, XH., XIAO WL., YU, J. “Asymptotic Properties of Least Squares Estimator in Local to Unity Processes with Fractional Gaussian Noises” Advances in Econometrics, 2023, 45A, 73-95
WANG, XH., YU, J. “Bubble Testing under Polynomial Trends” Econometrics Journal, 2023, 26, 25-44.
GAO, X., HU, YC., WANG, HH., WANG, XH. “Brexit and Global Fund Capital Reallocation” Journal of International Money and Finance , 2022, 125, 102639.
JIANG, L., WANG, XH., YU, J. “In-fill Asymptotic Theory for Structural Break Point in Autoregression” Econometric Reviews, 2021, 40, 359-386
PHILLIPS, P.C.B., WANG, XH., ZHANG, YH. “HAR Testing for Spurious Regression in Trend” Econometrics, 2019, 7, 50
JIANG, L., WANG XH., YU, J. “New Distribution Theory for the Estimation of Structural Break Point in Mean” Journal of Econometrics, 2018, 205, 156 – 176
WANG, XH., YU, J. “Double Asymptotics for Explosive Continuous Time Models” Journal of Econometrics, 2016, 193, 35 – 53
WANG, XH., YU, J. “Limit Theory for an Explosive Autoregressive Process” Economics Letters, 2015, 126, 176 – 180
WANG, XH., PHILLIPS, P.C.B., YU, J. “Bias in Estimating Multivariate and Univariate Diffusions” Journal of Econometrics, 2011,161, 228-245
SELECTED WORKING PAPERS:
WANG, XH. “Estimating the Persistency Matrix of Multivariate Diffusion Processes” Revision and Resubmission invited by Econometric Theory
RESEARCH GRANT:
Principal Investigator, "Econometric Analysis of Mildly Explosive Processes: Theory and Applications" General Research Fund, RGC, HKD 221,723, 01/10/2018 - 30/09/2020.
EDITORIAL SERVICE:
Associate Editor, China & World Economy, 2020-2023
REFEREE SERVICES:
Journal of Econometrics, Econometric Theory, Journal of Business and Economic Studies, Econometric Review, Journal of Financial Econometrics, Journal of Forecasting, Oxford Bulletin of Economics and Statistics, Journal of Asian Economics, China and World Economy, China Economic Review, Singapore Economic Review.