Your are here: Home» Faculty» Full-time Professors» H

Faculty

HUANG Zhuo

623 National School of Development

Phone: (86)10-62751424 (Office)

Peking University Email:  zhuohuang@nsd.pku.edu.cn
Beijing 100871, China  


ACADEMIC POSITIONS
2015-present    Associate Professor in Economics, National School of Development
                          at Peking University
2018-present    Fa-Shu Endowed Scholar, National School of Development
                          at Peking University
2016-present    Deputy Director and Senior Research Fellow, Institute of Digital Finance
                          at Peking University
2011-2015         Assistant Professor in Economics, National School of Development
                           at Peking University

RESEARCH INTERESTS
Financial Econometrics,  Derivatives Pricing,
Fintech and Digital Finance,  Big Data Finance
 

EDUCATION
2011    Ph.D. in Economics at Stanford University
            M.A. in Economics at Stanford University
2008    M.S. in Financial Mathematics at Stanford University            
2004    M.A. in Finance at Wuhan University            
2001    B.A. in Finance, B.S. in Mathematics at Wuhan University      
 

TEACHING EXPERIENCE
          Advanced Econometrics (Ph.D. Core Course)
          Intermediate Econometrics (Undergraduate Core Course)
          Financial Econometrics (Graduate)
          Empirical Finance (Undergraduate)
          Derivatives Markets (Undergraduate)
          Corporate Finance (Undergraduate)
          FinTech and Digital Finance in China (Executive MBA)
 

PROFESSIONAL SERVICES
2017-present     Associate Editor, China Economic Quarterly
2018-present     Editorial Board Member, Annals of Economics and Finance    
2019-2024         Elected Representative, Teachers’ Congress of Peking University
2017-present     Member of Teaching Committee, National School of Development, Peking University
2019-present     Secretary General, Open Research Initiative of Digital Finance
2018-present     Major Initiator, Research Alliance on Digital Finance in China
2019-present     Council Member, Chinese Young Finance Scholars Association
2019-present     Core Member, China Forum of Fifty Scholars on Fintech Research and Education
2012-present     Senior Research Fellow, China Center for Energy and Development, Peking University
2012-present     Review Expert, National Natural Science Fund of China
2012-present     Review Expert, National Social Science Fund of China
2018                   Guest Co-editor, China Economics Quarterly Special Issue on Fintech and Digital Finance in China
2013-2015          Council Member, Chinese Society of World Economy
2011                   Guest Co-editor, China Economics Quarterly Special Issue of China Spatial Economics Conference
 

PUBLICATIONS IN PEER-REVIEWED JOURNALS
(Google Scholar Citations: 887)

1. Asymmetric Correlation in Predicting Portfolio Returns (with Nianling Wang, Lijie Zhang, and Yong Li), Forthcoming in International Review of Finance.

2. Does Measurement Error Matter in Volatility Forecasting? Empirical Evidence from the Chinese Stock Market (with Yajing Wang, Fang Liang, and Tianyi Wang), Forthcoming in Economic Modelling.

3. Pricing the CBOE VIX Term Structure and VIX Futures with Realized Volatility (with Chen Tong and Tianyi Wang), Journal of Futures Markets, Volume 39, Issue 1, 2019.

4. The Spillover of Macroeconomic Uncertainty between the U.S. and China (with Chen Tong, Han Qiu, and Yan Shen), Economics Letters, Volume 171, October 2018.

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

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

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

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

9. Exponential GARCH Modeling with Realized Measures of Volatility (with Peter Reinhard Hansen), Journal of Business & Economic Statistics, Volume 34, Issue 2, 2016.

10. 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, Issue 3, 2016.  

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

12. 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, Issue 2, 2016.  

13. 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.

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

15. The Asset Management Industry in China: Its Past Performance and Future Prospects (with Zhiwu Chen and Peng Xiong), Journal of Portfolio Management, Volume 41, Issue 5, 2014.  

16. 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.

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

18. Realized GARCH: A Joint Model of Returns and Realized Measures of Volatility (with Peter Reinhard Hansen and Howard Shek), Journal of Applied Econometrics, Vol. 27, No. 6, 2012.
      Richard Stone Best Paper Prize for the years of 2012 and 2013
      The 2nd Prize of the Seventh Chinese Colleges and Universities Outstanding Research Achievements for the years 2011-2013
      Thomson Reuters ESI Top 1% Highly Cited Paper in 2017
      Google Scholar Citations: 404

19. Ownership Restructuring, Marketization and Wealth Inequality in Urban China: 1995 and 2002 (with Xiaobin He), China & World Economy, Volume 20, Issue 5, 2012.

20. 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, May 2012.

21. Price Volatility Forecast for Agricultural Commodity Futures with High Frequency Data (with Wen Huang, Marius Matei, and Tianyi Wang), Romanian Journal of Economic Forecasting, Issue 4, 2012.
 

MAJOR PUBLICATIONS IN PEER-REVIEWED CHINESE-LANGUAGE JOURNALS  
(Here I only list publications in top Chinese journals)
1.    Textual Data Analysis in Economics and Finance: A Literature Review (with Yun Chen and Yan Shen), China Economic Quarterly (经济学季刊),  Forthcoming.
2.    Measuring China’s Financial Uncertainty: A Big Data Approach (with Han Qiu, Yan Shen, and Chen Tong), Financial Research (金融研究), 2018(11).  
3.    Development of Digital Finance in China: The Present and the Future (with Yiping Huang), China Economic Quarterly (经济学季刊), 2018(4).
4.    Approximation Error in GCE Expansion in Dynamic Higher Moments Modeling: An Analysis Based on Value-at-Risk Prediction (with Chao Li and Tianyi Wang), Journal of Applied Statistics and Management (数理统计与管理), 2017(5).  
5.    Modeling Dynamic Higher Moments: Comparative Study Based on Generalized-t and Gram-Charlier Expansion Distributions (with Chao Li), Chinese Journal of Management Science (中国管理科学), 2015 (10).   
6.    Realized GAS-GARCH Model and Value-at-Risk Prediction (with Tianyi Wang), Journal of Management Science (管理科学学报), 2015(5).   
7.    Reform of Energy Regime: Efficient Market and Pro-active Government (with Jintao Xu and Zhuo Huang), International Economic Review (国际经济评论 ), 2014(4).
8.    Modeling High Frequency Data: Realized GARCH Model Based on Fat-tail Distribution (with Tianyi Wang), The Journal of Quantitative and Technical Economics (数量经济技术经济研究), 2012(5).
9.    Volatility Modeling Based on High Frequency Data and Applications in Finance: A Review (with Tianyi Wang),  Economic Perspectives (经济学动态), 2012(3).
10.    Spatial Economics in China (with Qi Liang), China Economic Quarterly (经济学季刊), 2012(3).
11.    Is Carton Tax Trade Protectionism? International Economic Review (国际经济评论 ), 2011(5).
12.    Frontiers in Corporate Governance Theory: A Literature Survey (with Wei Yao and Lei Guo),  Economic Research Journal (经济研究), 2003(5).
 

WORKING PAPAERS
1.    On Estimation of Multivariate Semiparametric GARCH Filtered Copula Models (with Xiaohong Chen and Yanping Yi), Revise & Resubmit at Journal of Econometrics.
2.    The Effects of Macroeconomic Uncertainty on Financial Volatility: A Comprehensive Investigation (with Chen Tong, Tianyi Wang, and Cong Zhang), Revise & Resubmit at Journal of Banking & Finance.
3.    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), Reject & Resubmit at Journal of Banking & Finance.
4.    The Predictive Power of Macroeconomic Uncertainty for Commodity Futures Volatility (with Fang Liang and Chen Tong), Revise & Resubmit at International Review of Finance.
5.    Heterogeneous Beliefs and the Beta Anomaly in the Chinese A-share Stock Market (with Shu Chen and Zhimin Qiu), Revise & Resubmit at Emerging Markets Finance and Trade.
6.    Have We Solved the Accrual Anomaly? An Evaluation Study Based on a Decomposition Approach (with Dawei Lin and Zhimin Qiu), submitted.
7.    Which Model for Option Valuation in China? Empirical Evidence from SSE 50 ETF Options (with Chen Tong and Tianyi Wang), Revise & Resubmit at Applied Economics.
8.    Evaluating the Accrual Anomaly in the Chinese Stock Market with the Decomposition Method (with Dawei Lin and Zhimin Qiu), submitted.
9.    Modeling Dynamic Higher Moments of Crude Oil Futures (with Fang Liang, Tianyi Wang, and Chao Li), submitted.
10.    Volatility Spillover along the Forward Curve: Empirical Evidence from the Realized Volatility of Crude Oil Futures (with Fang Liang, Chen Tong, and Xiaoyong Cui), submitted.
11.    Do Realized Higher Moments Have Information Content?  VaR Forecasting Based on the Realized GARCH-RSRK Model (with Tianyi Wang and Hong Yan), submitted.
12.    Pricing the CBOE VIX with Realized GARCH: The Role of Volatility Risk Premium (with Peter R. Hansen and Tianyi Wang), working paper 2019.
13.    Measuring China’s Stock Market Sentiment (with Jia Li, Yun Chen, Yan Shen, and Jingyi Wang), working paper 2019.

BOOKS (IN CHINESE)
1.    Development of China’s Personal Credit Reporting System in the Internet Finance Era, by Zhuo Huang, China Social Science Press 2018.
2.    Digital Finance: Enhancing the Real Economy, by Zhuo Huang and the Research Group at Peking University (Zhuo Huang is the P.I. of the Research Group), China Renmin University Press 2018.
3.    Technology Empowerment: The Business Practice of Digital Finance in China, by Xuanli Xie and the Research Group at Peking University (Zhuo Huang is a member of the Research Group), China Renmin University Press 2018.
4.    Fintech in China: Twelve Lectures on Digital Finance, edited by Zhuo Huang, Haiming Wang, Yan Shen, and Xuanli Xie, China Renmin University Press 2017.
5.    China’s Practice of Digital Financial Inclusion, The Research Group at Peking University (Zhuo Huang is a member of the Research Group), China Renmin University Press 2017.  
6.    Twelve Lectures on Internet Finance, edited by Yiping Huang, Haiming Wang, Yan Shen and Zhuo Huang, China Renmin University Press 2016.
 

HONORS & AWARDS
2018-present       Fa-Shu Endowed Scholar at the National School of Development, Peking University      
2019                     Outstanding Contribution Award at the Institute of Digital Finance, Peking University
2018                     Excellent Paper Award at the 10th Annual Conference of the Chinese Society of Decision Making
2017                     ICBC Outstanding Scholar in Economics, Peking University
2016                     Teaching Excellence Award at Peking University
2015                     Second Prize in the Seventh Chinese Colleges and Universities Outstanding Research Achievements
                             for the years 2011-2013
2015                     Excellent Paper Award at the 13th Annual Conference in Financial Engineering and Risk Management in China
2014                     The Richard Stone Best Paper Prize at Journal of Applied Econometrics for the years 2012 and 2013  
2013                     Excellent Graduate Class Adviser Award at Peking University
2013                     Fengqi Cao Award for Research Excellence in Finance at Peking University
2012                     Second Prize in 2012 Teaching Contest for Young Teachers at Peking University
2012                     Best Paper, Third Prize, at the 2012 Annual Conference on Quantitative Economics in China
2007-2009            Larry Yung Fellowship at Stanford University
2006-2007            Best Ph.D. Candidacy Paper Award, Department of Economics at Stanford University
2004-2006            Graduate Fellowship, Department of Economics at Stanford University
2003-2004            Fureng Dong Economics Research Award at Wuhan 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