I am an Associate Professor at School of Statistics and Data Science, Shanghai University of Finance and Economics.
I am an Associate Professor at School of Statistics and Data Science, Shanghai University of Finance and Economics.
Time Series and Panel Data Econometrics, Empirical Finance
2019.07 - 2022.09: Ph.D. in Econometrics, Monash Business School, Monash University
Supervisors: Prof. Jiti Gao, Prof. Bin Peng
Thesis: "On Multivariate Time-Varying Dynamic Models", awarded "2022 Vice Chancellor's Commendation Award for Thesis Excellence"
2017.09 - 2019.06: Master in Financial Engineering, School of Finance, Nankai University
2013.09 - 2017.06: Bachelor in Financial Engineering, School of Economics, Huazhong University of Science and Technology
2024.07 - Present: Associate Professor, School of Statistics and Data Science, Shanghai University of Finance and Economics
2022.10 - 2024.06: Assistant Professor, School of Statistics and Data Science, Shanghai University of Finance and Economics
“Factor Models of Matrix-Valued Time Series: Nonstationarity and Cointegration”, under revision (with Degui Li and Qiwei Yao)
“Robust Estimation and Inference for High-Dimensional Panel Data Models”, under revision (with Jiti Gao, Fei Liu and Bin Peng) [Matlab Code]
“Panel Data Estimation and Inference: Homogeneity versus Heterogeneity”, under revision (with Jiti Gao, Fei Liu and Bin Peng)
“Error-Correction Local Projections: Impulse Response Estimation in Cointegrated Systems”
“Extracting Predictability: A Time-Varying Factor-Augmented Approach under Mixed Persistence”, (with Tingting Cheng, Jiti Gao and Xuanbin Yang)
“Connectedness in Motion: A Time-Varying Diebold-Yilmaz Framework in High Dimensions”, (with Shibo Bian and Li Tan)
19. "An Adaptive Residual-Based Test for Factor Structure", (with Yufeng Mao), Journal of Business & Economic Statistics, 44 (2), 691-702, 2026
18. “Generalized Impulse Response Analysis for Time-Varying VAR Models”, (with Li Tan, Shibo Bian and Zhiming Hu), Economic Modelling, 155, 107452, 2026 [Matlab Code]
17. “A Robust Residual-Based Test for Structural Changes in Factor Models”, (with Bin Peng and Liangjun Su), Journal of Econometrics, 251, 106042, 2025 [Matlab Code]
16. “Time-Varying Vector Error-Correction Models: Estimation and Inference”, (with Jiti Gao and Bin Peng), Journal of Econometrics, 251, 106035, 2025 [Matlab Code]
15. “Asymptotics for Time-Varying Vector MA(∞) Process”, (with Jiti Gao and Bin Peng), Econometric Theory, 41 (3), 584-616, 2025 [Matlab Code]
14. “Nonparametric Predictive Regressions for Stock Return Prediction”, (with Tingting Cheng, Jiti Gao and Oliver Linton), Econometric Reviews, 44 (10), 1462-1493, 2025
13. “A System of Time-Varying Models for Predictive Regressions”, (with Deshui Yu), Journal of Empirical Finance, 82, 101622, 2025
12. “Examining Chinese Volume–Volatility Nexus: A Regime-Switching Perspective”, (with Zhenxin Wang, Shaoping Wang and Yingcun Xia), Economic Modelling, 225, 106983, 2025
11. “Time-Varying Multivariate Causal Processes”, (with Jiti Gao, Bin Peng and Wei Biao Wu), Journal of Econometrics, 240 (1), 105671, 2024 [Matlab Code]
10. “Estimation, Inference and Empirical Analysis for Time-Varying VAR Models”, (with Jiti Gao and Bin Peng), Journal of Business & Economic Statistics, 42 (1), 310-321, 2024 [Matlab Code]
9. “Higher-order Expansions and Inference for Panel Data Models”, (with Jiti Gao and Bin Peng), Journal of the American Statistical Association (Theory and Methods), 119, 2760-2771, 2024 [Matlab Code]
8. “Sieve Bootstrap for Fixed-b Phillips–Perron Unit Root Test”, (with Zhenxin Wang and Shaoping Wang), Computational Economics, 64, 3181-3205, 2024
7. “Binary Response Models for Heterogeneous Panel Data with Interactive Fixed Effects”, (with Jiti Gao, Fei Liu and Bin Peng), Journal of Econometrics, 235 (2), 1654-1679, 2023
6. “Joint Dynamics of Stock Returns and Cash Flows: A Time-Varying Present-Value Framework”, (with Deshui Yu), Financial Management, 52(3), 513-541, 2023
5. “De facto Time-Varying Indices-Based Benchmarks for Mutual Fund Returns”, (with Tingting Cheng and Cheng Yan), Journal of Financial Research, 46(2), 469-496, 2023
4. “Factor-Augmented Forecasting Regressions with Threshold Effects”, (with Tingting Cheng), Econometrics Journal, 25 (1), 134-154, 2022 [Matlab Code]
3. “Improved Inference for Fund Alphas using High-Dimensional Cross-Sectional Tests”, (with Tingting Cheng and Cheng Yan), Journal of Empirical Finance, 61, 57-81, 2021
2. “Regime Switching Panel Data Models with Interactive Fixed Effects”, (with Tingting Cheng and Jiti Gao), Economics Letters, 177, 45--51, 2019 [Matlab Code]
1. “A New Regime Switching Model with State-Varying Endogeneity”, (with Tingting Cheng and Jiti Gao), Journal of Management Science and Engineering, 3(4), 214--231, 2018 [Matlab Code]
PI: National Natural Science Foundation of China under project (72673104) 国家自然科学基金面上项目, 2027.01-2030.12.
PI: The Shanghai Chenguang Program 上海市“晨光计划”项目, 2025.12-2027.12
PI: National Natural Science Foundation of China under project (72303142) 国家自然科学基金青年项目, 2024.01-2026.12
PI: Start-up Research Fund, Shanghai University of Finance and Economics, 2023.01-2025.12