Shuyuan Qi, PhD

Assistant Professor in Finance

Chinese Academy of Finance and Development

Central University of Finance and Economics

Beijing, 100081, China

Publication

Lazar, E., Qi, S., 2022. Model risk in the over-the-counter market. European Journal of Operational Research 298, 769–784. doi:10.1016/j.ejor.2021.07.021
Zhang, N., Su, X., & Qi, S., 2023. An empirical investigation of multiperiod tail risk forecasting models. International Review of Financial Analysis, 102498. doi:10.1016/j.irfa.2023.102498
Lazar, E., Qi, S., Tunaru R., 2024. Measures of Model Risk for Continuous-Time Finance Models, Journal of Financial Econometrics, nbae001, doi:10.1093/jjfinec/nbae001
Chen, J., Qi, S., 2024. Limit-Hitting Exciting Effects: Modeling Jump Dependencies in Stock Markets Adhering to Daily Price-Limit Rules, Journal of Banking and Finance. doi: 10.1016/j.jbankfin.2024.107184

Working Papers

Forward-Looking Market Risk Premium and Its Economic Implications, with Dr. Emese Lazar (University of Reading) and Prof. Radu Tunaru (University of Sussex)
Diffusive and Jump Risk Premium in China: The Role of Trading Mechanisms, with Xiaoman Su (HengFeng Bank & Tsinghua University) and Ning Zhang (Xi'an Jiaotong-Liverpool University )

Works in Progress

1. The Cross-Sectional Variation of Forward-Looking Market Risk Premium, with Dr. Emese Lazar (University of Reading) and Prof. Radu Tunaru (University of Sussex)
2. The Local Effect of Carbon Trading: Evidence in China, with Dr. Xiaoman Su (HengFeng Bank & Tsinghua University) and Dr. Ning Zhang (Xi'an Jiaotong-Liverpool University)

Referring

International Review of Financial Analysis; Journal of Asia Business Study; Journal of Infrastructure, Policy and Development

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