紫荆学术论坛第124期--学术报告通知

发布者:经济管理学院发布时间:2019-06-19浏览次数:230

报告题目:国际金融危机前传:新兴市场股市泡沫

报 副教授

人:陈有华青年教授

时    间:2019619星期上午10:00

地    经济管理学院 602会议室

讲座人简介:

颜诚,19874月出生,20086月获北京师范大学经济学学士学位,2015 年毕业于Cass Business School 获金融学博士学位,曾在 Durham University 任助理教授,目前在 University of Essex 任副教授,兼任卡斯商学院新兴市场集团研究员等职务。

研究领域主要包括国际金融,计量经济学和宏观金融等,曾主持 10多个科

研项目,已经在 Journal of Empirical Finance, Journal of International Money and FinanceJournal of Futures Market 等中英文期刊上发表20多篇学术论文,其中SSCI源刊物13篇,主持或参与科研项目20多项。

  

代表性论文:

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 国 股 市 泡 沫 的 三 区 制 特 征 识 别 , with G. Chen, Systems Engineering | Theory & Practice,系统工程理论与实践, 2013, 33 (1): 25-33 (EIIn Chinese).

  

 

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