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I will be joining the School of Economics at Shanghai University of Finance and Economics as an Assistant Professor. I obtained my PhD in the School of Economics, Xiamen University.
I will be joining the School of Economics at Shanghai University of Finance and Economics as an Assistant Professor. I obtained my PhD in the School of Economics, Xiamen University.
My research primarily focuses on structural change detection and high-dimensional portfolio management.
My research primarily focuses on structural change detection and high-dimensional portfolio management.
My work has been published in leading econometrics and statistics journals, including Journal of Econometrics, Econometric Theory, Statistica Sinica, and Journal of Time Series Analysis.
My work has been published in leading econometrics and statistics journals, including Journal of Econometrics, Econometric Theory, Statistica Sinica, and Journal of Time Series Analysis.
My main research interests are:
Bubble detection and inference
Structural change testing
High dimensional econometrics
Portfolio allocation
Research Interest Summary:
Structural Change Tests: I focus on hypothesis testing for structural changes, particularly on developing robust methods. I have developed a structural change test for detecting instantaneous causality in the presence of time-varying volatility. Additionally, I have proposed several robust tests for detecting structural changes in volatility in both univariate and multivariate contexts. My Ph.D. thesis further explores quantile-based methods for bubble identification, aimed at improving real-time monitoring.
Portfolio Allocation: My second area of interest is portfolio allocation, particularly in high-dimensional financial settings. This research involves factor model-based approaches and high-dimensional covariance matrix estimation. I have studied a time-varying minimum variance portfolio based on a time-varying coefficient factor model, a robust minimum variance portfolio using robust weighted PCA, and applied uncertainty learning to mean-variance portfolios. These studies are all conducted within high-dimensional frameworks. Moreover, I explore the use of real-time bubble detection signals to enhance investment returns.
I am open to all forms of academic communication and collaboration!
Contact me
Contact me
Email : wrkworld[at]163[dot]com
Current Address:No.422 Siming South Road, Xiamen University, Xiamen, 361005, China.
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