Welcome to my personal website. I am an Assistant Professor at School of Statistics and Management, Shanghai University of Finance and Economics.

Contact Information:

Email:  yanyayi0812@gmail.com, yanyayi@mail.shufe.edu.cn

Research Interests:

Time Series Analysis, Panel Data Econometrics, Empirical Asset Pricing

Education:

2019.07 - 2022.09: Ph.D. in Econometrics, Monash University

Supervisors: Prof. Jiti Gao, Assoc. 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, Nankai University

2013.09 - 2017.06: Bachelor in Financial Engineering, Huazhong University of Science and Technology

Academic Position:

2022.10 - Present: Assistant Professor, School of Statistics and Management, Shanghai University of Finance and Economics

Working Papers:

Publications:

12. “Higher-order Expansions and Inference for Panel Data Models”,  (with Jiti Gao and Bin Peng), Journal of the American Statistical Association, Theory and Methods (2024+)Available online [Matlab Code]

11. “Asymptotics for Time-Varying Vector MA(∞) Process”, (with Jiti Gao and Bin Peng), Econometric Theory (2024+), Available online [Matlab Code]

10. “Sieve Bootstrap for Fixed‑b Phillips–Perron Unit Root Test”, (with Zhenxin Wang and Shaoping Wang), Computational Economics (2024+), Available online

9. “Time-Varying Multivariate Causal Processes”, (with Jiti Gao, Bin Peng and Wei Biao Wu), Journal of Econometrics, 240 (1), 105671, 2024 [Matlab Code]

8. “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]

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), The 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]

Research Grants:

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.