Zhuo Huang


 date:2016-2-2 12:10:00          

 

Current Position


Associate Professor in Economics, Fa-Shu Endowed Scholar

National School of Development

Peking University

 

Research Interests 

Applied Econometrics

Financial Econometrics

Empirical Finance
Energy and Commodity Markets
Fintech and Internet Finance



Education

2011  Ph.D. and M.A. in Economics, Stanford University

2008  M.S. in Financial Mathematics, Stanford University

2004  M.A. in Finance, Wuhan University

2001  B.A. in Finance and B.S. in Mathematics, Wuhan University


 

Academic Positions

Associate Professor in
Economics, National School of Development, Peking University

Fa-Shu Endowed Scholar, National School of Development, Peking University

Associate Editor,  China Economics Quarterly


Editorial Board Member, Annals of Economics and Finance


Deputy Director and Senior Research Fellow, Institute of Digital Finance, Peking University

Senior Research Fellow, China Center for Energy and Development, Peking University

Senior Research Fellow, Environment for Development (EfD)

 

Teaching

Advanced Econometrics (graduate)
Financial Econometrics (graduate)
Empirical Finance (undergraduate)
Derivatives Markets (undergraduate)
Corporate Finance (undergraduate)
Econometrics (undergraduate)

Fintech and Internet Finance (Doctor of Professional Studies)
Introduction to Financial Research (Doctor of Professional Studies)

Recent Working Papers

Volatility During the Financial Crisis Through the Lens of High Frequency Data: A Realized GARCH Approach (with Denisa Banulescu, Peter Reinhard  Hansen and Marius Matei), submitted.
    presented  on the Econometric Society 2015 World Congress in Montréal, Canada
    presented on the Eighth Annual SoFiE Conference in CREATES at Aarhus University, 2015   
    presented  on the Tenth Annual SoFiE Conference in New York, 2017
 

The Predictive Power of Macroeconomic Uncertainty for Commodity Futures Volatility (with Fang Liang and Chen Tong), submitted.

Have We Explained the Accrual Anomaly? An Evaluation Based on the Decomposition Method (with Dawei Lin and Zhimin Qiu), submitted.

The Spillover of Macroeconomic Uncertainty between the U.S. and China (with Chen Tong, Han Qiu and Yan Shen), submitted.

Evaluating the Accrual Anomaly in the Chinese Stock Market with the Decomposition Method (with Dawei Lin and Zhimin Qiu), submitted.

Does Aggregate Economic Uncertainty Predict the Volatility of Financial Assets? (Chen Tong and Cong Zhang), working paper.

Pricing the CBOE VIX with Realized GARCH: the Role of Variance Risk Premium (with Peter Reinhard Hansen and Tianyi Wang), working paper 2017.
    presented on the Eighth Annual SoFiE Conference in CREATES at Aarhus University, 2015 
    presented on the conference New Developments in Measuring and Forecasting Financial Volatility at Duke University,  September 2016.


Selected Published Papers

VIX Term Structure and VIX Futures Pricing with Realized Volatility (with Chen Tong and Tianyi Wang), Journal of Futures Markets, Forthcoming.

Stock Liquidity and Firm Value: Evidence from China (with Lijie Zhang, Yong Li and Xinhan Chen),  Applied Economics Letters, Volume 25, Issue 1, 2018.

 Pricing the CBOE VIX Futures with the Heston-Nandi GARCH Model (with Tianyi Wang, Yiwen Shen and Yueting Jiang), Journal of Futures Markets, Vol 37, Issue 7, 2017.

The Impact of Privatization on TFP: A Quasi-Experiment in China” (with Zhi Luo, Xiaohua Wang and Tianyi Wang),  Annals of Economics and Finance,Volume 18, Issue 1, 2017.

“Option Pricing with the Realized GARCH Model:An Analytical Approximation Approach” (with Tianyi Wang and Peter Hansen), Journal of Futures Markets, Volume 37, Issue 4, 2017. 

Exponential GARCH Modeling with Realized Measures of Volatility,” (with Peter Reinhard Hansen), Journal of Business & Economic Statistics, Volume 34, Issue 2, 2016. 
 
“China’s Personal Credit Reporting System in the Internet Finance Era: Challenges and Opportunities” with Yang Lei and Shihan Shen, China Economic Journal, Volume 9. No. 3, 2016. 

“Revisiting the Risk-return Relation: Decomposition of Risk Premium and Volatility Feedback Effects” (with Liu Hao, Shihan Shen and Tianyi Wang), China Economic Journal, Volume 9. No. 2, 2016.

Modeling the Long Memory Volatility Using Realized Measures of Volatility, (with Hao Liu and Tianyi Wang), Economic Modelling, Volume 52, January 2016.

Is There a Structural Change in the Persistence of WTI-Brent Oil Spreads in Post-2010?  (with Wei Chen and Yanpng Yi), Economic Modelling, Volume 50,  November 2015.

The Spirit of Capitalism and the Equity Premium,” (with Qin Wang, Yiheng Zou and Yu Ren), Annals of Economics and Finance, Vol. 16, Issue 2, November 2015

The Asset Management Industry in China: Its Past Performance and Future Prospects, (with Zhiwu Chen and Peng Xiong), Journal of Portfolio Management, Volume 41, No. 2, 2014.

Estimation of Extreme Value-at-Risk: An EVT Approach for Quantile GARCH Model”, (with Yanping Yi and Xingdong Feng), Economics Letters, Volume 124, Issue 3, 2014.

Oil Price Drivers and Movements: The Challenge for Future Research, (with Huntington, Hillard, Al-Fattah, Saud M., Gucwa, Michael and Nouri, Ali), Alternative Investment Analyst Review, Vol. 2, Issue 4, 2014.

Realized GARCH: A Joint Model of Returns and Realized Measures of Volatility (with Peter Hansen and Howard Shek), Journal of Applied Econometrics, 2012.
    Winner of the Richard Stone Best Paper Prize, awarded for the best paper with substantive econometric application that has been published in two years of 2012 and 2013.
    Winner of the 2nd Prize of the Seventh Chinese Colleges and Universities Outstanding Research Achievements for the years of 2011-2013.
    Selected as the Thomson Reuters ESI Top 1% Highly Cited Paper.


The Relationship between Volatility and Trading Volume in the Chinese Stock Market: A Volatility Decomposition Perspective (with Tianyi Wang), Annals of Economics and Finance, Volume 13, Issue 1, 2012.

Ownership Restructuring, Marketization and Wealth Inequality in Urban China: 1995 and 2002 (with Xiaobin He), China & World Economy, Vol. 20, No. 5, 2012.



Books

“Fintech in China: Twelve Lectures on Digital Finance”, (co-edited with Haiming Wang, Yan Shen and Xuanli Xie), China Renmin University Press (2017).

 “China Practice of Degital Inclusive Finance” (member of the Research Group), China Renmin University Press (2017). 

“Twelve Lectures on Internet Finance”, (co-edited with Yiping Huang, Haiming Wang and Yan Shen), China Renmin University Press (2016).


Honors, Fellowships, and Awards

2018-present    Fa-Shu Endowed Scholar at National School of Development, Peking University     

2017  ICBC Outstanding Scholar in Economics,  Peking University

2016 Teaching Excellence Award, Peking University

2015 The Second Prize of the Seventh Chinese Colleges and Universities Outstanding Research Achievements for the years of 2011-2013.

2015 Outstanding Paper Award of the 13th Annual Conference in Financial Engineering and Risk Management in China.

2014 “Richard Stone Best Paper Prize” at Journal of Applied Econometrics for the years of 2012 and 2013

2013 Excellent Graduate Director Award at Peking University

2013 Fengqi Cao Award for Research Excellence in Finance at Peking University

2012 The Second Prize in 2012 Contest of Young Teachers at Peking University

2012 The Best Paper Third Prize at the 2012 Annual Conference on Quantitative Economics in China

2007-2009  Larry Yung Fellowship, Freeman Spogli Institute at Stanford University


2006-2007  Best PhD Candidacy Paper Award, Department of Economics at Stanford University

2004-2006  PhD Fellowship,Department of Economics at Stanford University

2003-2004  Fureng Dong Fellowship, Wuhan University


Research Grants

2018        P.I of Research Grant from Institute of Digital Finance at Peking University

Robo-Advisors in China: Business Model, Technology and Risk

2017        P.I of Research Grant from Institute of Digital Finance at Peking University

The Role of Digital Finance in the Real Economic Development in China

2017-2020     P.I of Chinese Natural Science Foundation (No. 71671004)

A New Option Pricing Model based on High Frequency Data

2015-2016      P.I. of Research Grant from China Finance 40 Forum (CF40)

China’s Credit Reporting System in the Internet Finance Era

2013-2015      P.I of Chinese Natural Science Foundation Youth Fund (No.71201001)
Modeling Volatility and Correlation with Realized GARCH Model

2013-2015  P.I. of Youth Fund, Ministry of Education in China (No. 12YJC790073)
The Impact of Financial Speculation on Global Crude Oil Prices

2011  Tongshan Research Fund at Peking University

2009      Graduate Research Opportunity (GRO) Fund, Stanford University

2008   Schwartz Research Grant, Stanford University


Referee Services
 


Journal of Econometrics
Journal of Applied Econometrics
Journal of Business & Economic Statistics
Journal of Financial Econometrics
Econometric Review
Journal of International Financial Markets, Institutions & Money
Journal of Multinational Financial Management
International Review of Finance
International Journal of Finance and Economics
European Financial Management          
Economics Letters                   
Economic Modelling
Energy Economics
Energy Policy                          
Japanese Economic Review                         
Applied Economics
Empirical Economics

 
 
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