[1] "The Impact of Exchange Rate System Reform on China's Return on Assets", Hua and Sun, European Finance Journal. 20 15, 2 1(4).(SSCI)
[2] "The realized Gas-GARCH model and its application in value-at-risk prediction", in cooperation with Huang Zhuo, China Journal of Management Science, has been published.
[3] "Research on the Relationship between Risk and Return in China Stock Market-A New Perspective Based on Fluctuation Feedback and Apache -NIG Model", in cooperation with Liu Hao and Huang Zhuo, Zhejiang Social Sciences, 20 14, 10.
[4] "Predicting the volatility of Shanghai and Shenzhen 300 Index by using high-frequency data-an empirical study based on realized GARCH model", co-authored with Zhao Xiaojun and Huang Zhuo, World Economic Papers, 20 14, 10.
[5] The volatility and correlation prediction of high-frequency agricultural futures-based on the perspective of realized Copula-DCC model, co-authored with Sophir Hwang and Huang Zhuo, Zhejiang Social Sciences, 2065438+May 2003.
[6] "Forecasting the price fluctuation of agricultural futures with high-frequency data", co-authored with Huang Wen, Huang Zhuo and Marius Matai, Romanian Journal of Economic Forecasting. 20 12(4).(SSCI)
[7] Using high-frequency data to manage the tail risk of Shanghai and Shenzhen 300 Index —— Based on the VaR of GARCH model, in cooperation with Sophir Hwang and Huang Zhuo, CUHK Management Research, Volume 7, 20 12.
[8] "The Relationship between Volatility and Trading Volume in China Stock Market: A Perspective of Volatility Decomposition", co-authored with Huang Zhuo, Economic and Financial Annual Report, 20 12 May. (SSCI)
[9] High-frequency data volatility modeling: GARCH model based on heavy-tailed distribution, cooperation with Huang Zhuo, quantitative economy, technology and economic research, 2065438+May 2002.
[10] Summary of volatility modeling and application based on high-frequency data, in cooperation with Huang Zhuo, Economic Trends, No.3, 20 12.
[1 1] directed tail risk spillover in the international stock market, Zhejiang Social Sciences,No. 10, 20 165438.
[12] "China's macroeconomic stability-an empirical study based on survey data", co-authored with Zhu Jiaxiang and Li Huihui, China Economic News, Volume 4,No. 1 issue, 20 1 1 February.
[13] China commodity futures market volatility forecast: based on the results of RangeGARCH, cooperation with Shen, She Yu and statistics and decision, 201May and August.
working paper
[1] generalized autoregressive scoring model with realized volatility measure, (with zhangxin and Huang Zhuo), working paper 20 14, submitted.
[2] Establishing the volatility model of long-term memory by using the realized volatility measurement (co-authored with Liu Hao and Huang Zhuo), working paper 20 14, submitted.
[3] Realized EGARCH, Volatility Risk Premium and CBOE VIX (with Peter Hansen and Huang Zhuo), working paper 20 14.
[4] "Long-term memory modeling of volatility: a new model based on mixed data regression and realized volatility" (co-authored with Huang Zhuo and Liu Hao) has been submitted.
[5] "Approximate Error of Gram-Charlier Distribution in Modeling High-order Moments of Dynamic Finance", 20 15, (in cooperation with Li Chao and Huang Zhuo), has been submitted.
project
20 14 university of international business and economics 2 1 1 general project (xk201416)
20 14 university of international business and economics talent training (sentimental) project (14YQ05)
20 13 national natural science youth project (7 130 1027)
20 13 youth program of humanities and social sciences of the Ministry of education (13YJC790 146) "
Academic conference papers and conference reports 1, VIX, GARCH Realized and Option Pricing, and Huang Zhu, 20 12 China Financial Engineering Annual Conference and Financial Engineering and Risk Management Forum, Wuhan. "Forecasting the volatility of agricultural futures by using high-frequency data", with Sophir Hwang, Huang Zhuo, 20 12 Annual Meeting of China Quantitative Economy, Urumqi. "Modeling volatility of high-frequency data: realized GARCH model based on heavy-tailed distribution", 20 1 1 9th International Symposium on Risk Management and Financial System Engineering, Wuhan. Won the honor of 20 12 "Forecasting the fluctuation of agricultural products futures by using high-frequency data", and won the third prize of Sophir Hwang Huang Zhuo Annual Meeting and China Excellent Paper on Quantitative Economy. 20 12 outstanding graduates from Beijing. 20 10 Peking university may 4th scholarship. Outstanding volunteers for the 2008 Beijing Olympic and Paralympic Games. Second prize of 2006 North American Interdisciplinary Modeling Competition (ICM2006). Honorary winner of 2005 North American Mathematical Modeling Competition (MCM2005).