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
Click here for the full list of publications.
“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)
“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)
8. "An Adaptive Residual-Based Test for Factor Structure", (with Yufeng Mao), Journal of Business & Economic Statistics, 44 (2), 691-702, 2026
7. “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]
6. “Time-Varying Vector Error-Correction Models: Estimation and Inference”, (with Jiti Gao and Bin Peng), Journal of Econometrics, 251, 106035, 2025 [Matlab Code]
5. “Asymptotics for Time-Varying Vector MA(∞) Process”, (with Jiti Gao and Bin Peng), Econometric Theory, 41 (3), 584-616, 2025 [Matlab Code]
4. “Time-Varying Multivariate Causal Processes”, (with Jiti Gao, Bin Peng and Wei Biao Wu), Journal of Econometrics, 240 (1), 105671, 2024 [Matlab Code]
3. “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]
2. “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]
1. “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
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