紫荊學術論壇第124期--學術報告通知

發布者:經濟管理學院發布時間:2019-06-19瀏覽次數:960

報告題目:國際金融危機前傳:新興市場股市泡沫

報 副教授

人:陳有華青年教授

時    間:2019619星期上午10:00

地    經濟管理學院 602會議室

講座人簡介:

顏誠,19874月出生,20086月獲北京師范大學經濟學學士學位,2015 年畢業于Cass Business School 獲金融學博士學位,曾在 Durham University 任助理教授,目前在 University of Essex 任副教授,兼任卡斯商學院新興市場集團研究員等職務。

研究領域主要包括國際金融,計量經濟學和宏觀金融等,曾主持 10多個科

研項目,已經在 Journal of Empirical Finance, Journal of International Money and FinanceJournal of Futures Market 等中英文期刊上發表20多篇學術論文,其中SSCI源刊物13篇,主持或參與科研項目20多項。

  

代表性論文:

1. Biqing Cai, Tingting Cheng, and Cheng Yan, Time-varying skills (versus luck) in

U.S. active mutual funds and hedge funds. Journal of Empirical Finance, 2018,

49(12), 81-106.

2. Cheng Yan and Tingting Cheng, In search of the optimal number of fund

subgroups. Journal of Empirical Finance, 2019, available online.

3. Tingting Cheng, and Cheng Yan, Evaluating the size of the bootstrap method for

fund performance evaluation, Economics Letters, 2017 (156), 36-41.

4. Huazhu Zhang and Cheng Yan, A skeptical appraisal of the bootstrap approach in

fund performance evaluation, Financial Markets, Institutions and Instruments

(Editor's Choice)}, 2018 (27), 49–86.

5. Phylaktis, A-M, Fuertes and Cheng Yan, On cross-border bank credit and the U.S.

subprime crisis transmission to equity markets. Journal of International Money

and Finance, 2016 (69), 108-134.

6. Cheng Yan, K. Phylaktis and A-M, Fuertes, Hot money in bank credit flows to

emerging markets during the banking globalization era, Journal of International

Money and Finance, 2016 (60), 29-52.

7. Cheng Yan and Xichen Wang, The non-persistent relationship between foreign

equity flows and emerging stock market returns across quantiles,Journal of

International Financial Markets, Institutions, and Money, 2018, (56), 38-54.8. Cheng Yan, Hot money in disaggregated capital

flows,(single-authored),European Journal of Finance, 2018, 24(14),

1190-1223.

9. Huazhu Zhang, Cheng Yan*, Modeling fundamental analysis into portfolio

selection. Quantitative Finance, 2018, (8), 1315-1326..

10. Bo Zhao, Cheng Yan*, Stewart Hodges, Three one-factor processes for option

pricing with a mean-reverting underlying: The case of VIX, Financial Review,

2019 (1), 165-199.

11. C. Cheng, X. Ren and Z. Wang and Cheng Yan, Heterogeneous impacts of

renewable energy and environmental patents on CO2 emission- Evidence from the

BRIICS. Science of Total Environment (STOTEN, SCI tier 1, impact factor: 5),

2019, 668, 1328-1338.

12. B. Yang, F. Xue, Y. Su and Cheng Yan, Is informational inefficiency priced in

stock markets? A comparison between the U.S. and Chinese cases. (slides),

Pacific-Basin Finance Journal, 2019, 55 (6), 222-238.

13. Cheng Yan*, Bo Zhao, A general jump-diffusion process to price volatility

derivatives. Journal of Futures Markets, 2019, 39(1), 15-37.

14. Cheng Yan*, Huazhu Zhang, Mean-variance versus naive diversification: The

role of mispricing, Journal of International Financial Markets,Institutions, and

Money (Editor's Choice), 2017 (48), 61-81.

15. Identification of Chinese stock market bubbles: the three-regime-switching

modeling approach, 中 國 股 市 泡 沫 的 三 區 制 特 征 識 別 , with G. Chen, Systems Engineering | Theory & Practice,系統工程理論與實踐, 2013, 33 (1): 25-33 (EIIn Chinese).

  

 

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