| 323 National School of Development Peking University Beijing 100871, China |
Phone: (86)10-62751424 (Office) |
ACADEMIC POSITIONS
2020-present Assistant Dean and Associate Professor in Economics (with tenure),
National School of Development at Peking University
2018-present Fa-Shu Endowed Scholar,
National School of Development at Peking University
2022-present Deputy Dean,
Institute for Computing and Digital Economy at Peking University
2016-present Deputy Director and Senior Research Fellow,
Institute of Digital Finance at Peking University
2015-2020 Associate Professor in Economics,
National School of Development 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)
Financial Economics (Undergraduate)
Financial Econometrics (Undergraduate)
FinTech and Digital Finance in China (Executive MBA)
PROFESSIONAL SERVICES
2017-present Associate Editor, China Economic Quarterly
2020-present Co-Editor, China Economic Quarterly International
2019-present Area Editor, China Finance Review International
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
2019-2020 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: 1700)
Efficient Estimation of Multivariate Semi-nonparametric GARCH Filtered Copula Models (with Xiaohong Chen and Yanping Yi), Journal of Econometrics, Volume 222, Issue 1, Part B, May 2021.
Realized GARCH, CBOE VIX and Volatility Risk Premium (with Peter Reinhard Hansen, Chen Tong and Tianyi Wang), Forthcoming at Journal of Financial Econometrics.
Good Volatility, Bad Volatility and VIX Futures Pricing: Evidence from the Decomposition of VIX (with Chen Tong), Forthcoming at Journal of Derivatives.
Option Pricing with State Dependent Pricing Kernel (with Chen Tong and Peter Reinhard Hansen), Journal of Futures Markets, Volume 42, Issue 8, 2022.
Have existing theories explained the accrual anomaly? An Evaluation Based on the Decomposition Method (with Zhian Hu, Dawei Lin and Zhimin Qiu), Forthcoming at Accounting and Finance.
Innovative Development and Regulation of Digital Financial Platforms in China (Li Zhu), China Economic Journal, Volume 15, Issue 2, 2022.
Do the Realized Higher Moments Have Information Content? VaR Forecasting Based on the Realized GARCH-RSRK Model (with Tianyi Wang, Hong Yan and Fang Liang), Economic Modelling, Volume 109, April 2022.
Do VIX futures contribute to the valuation of VIX options? (with Chen Tong and Tianyi Wang), Journal of Futures Markets, Volume 42, Issue 9, 2022.
Overcoming the Middle-Income Trap: International Experiences and China's Choice (with Pingping Wang, Xun Wang and Baoqun Fan), China Economic Journal, Volume 4, 2021.
Pricing VIX Options with Realized Volatility (with Chen Tong), Journal of Futures Markets, Volume 41, Issue 8, 2021.
The Predictive Power of Macroeconomic Uncertainty for Commodity Futures Volatility (with Fang Liang and Chen Tong), International Review of Finance, Volume 21, Issue 3, 2021.
Heterogeneous Beliefs and the Beta Anomaly in the Chinese A-share Stock Market (with Shu Chen and Zhimin Qiu), Forthcoming at Emerging Markets Finance and Trade.
Modeling Dynamic Higher Moments of Crude Oil Futures (with Fang Liang, Tianyi Wang, and Chao Li), Finance Research Letters, Volume 39, March 2021.
Evaluating the Accrual Anomaly in the Chinese Stock Market with the Decomposition Method (with Dawei Lin and Zhimin Qiu), China Economic Journal, Volume 13, Issue 3, 2020.
Asymmetric Correlation in Predicting Portfolio Returns (with Nianling Wang, Lijie Zhang and Yong Li), International Review of Finance, 2021, Volume 21, Issue 1, Pages 97-120.
Which Model for Option Valuation in China? Empirical Evidence from SSE 50 ETF Options (with Chen Tong and Tianyi Wang), Applied Economics, 2020, Volume 52, Number 17, 1866–1880.
Does Measurement Error Matter in Volatility Forecasting? Empirical Evidence from the Chinese Stock Market(with Yajing Wang, Fang Liang and Tianyi Wang), Economic Modelling. Volume 87, May 2020, Pages 148-157.
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.
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.
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 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.
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.
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.
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, Issue 3, 2016.
Modeling the Long Memory Volatility Using Realized Measures of Volatility (with Hao Liu and Tianyi Wang), Economic Modelling, Volume 52, January 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, Issue 2, 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, Volume 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, Issue 5, 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 Hillard Huntington, Saud M. Al-Fattah, Michael Gucwa, and Ali Nouri), Alternative Investment Analyst Review, Volume 2, Issue 4, 2014.
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: 471
Ownership Restructuring, Marketization and Wealth Inequality in Urban China: 1995 and 2002 (with Xiaobin He), China & World Economy, Volume 20, Issue 5, 2012.
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.
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)
Fintech, Macroeconomic uncertainty and Bank Risk-taking (with Fang Liang and Pu Zhao), China Economic Quarterly (经济学季刊), Issue 6 2022.
Digital Economy and High Quality Development: Mechanism and Evidence (with Sanxi Li), China Economic Quarterly (经济学季刊), Issue 5, 2022.
Forecasting Macroeconomic Variables in China: Combining Forecasts of Experts and Econometric Models (with Fang Liang and Shihan Shen), Journal of Financial Research (金融研究), Issue 7, 2021.
Textual Data Analysis in Economics and Finance: A Literature Review (with Yun Chen and Yan Shen), China Economic Quarterly (经济学季刊), 2019, Vol. 18(4).
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).
Development of Digital Finance in China: The Present and the Future (with Yiping Huang), China Economic Quarterly (经济学季刊), 2018(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).
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).
Realized GAS-GARCH Model and Value-at-Risk Prediction (with Tianyi Wang), Journal of Management Science (管理科学学报), 2015(5).
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).
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).
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).
Spatial Economics in China (with Qi Liang), China Economic Quarterly (经济学季刊), 2012(3).
Is Carton Tax Trade Protectionism? International Economic Review (国际经济评论), 2011(5).
Frontiers in Corporate Governance Theory: A Literature Survey (with Wei Yao and Lei Guo), Economic Research Journal (经济研究), 2003(5).
BOOKS (IN CHINESE)
The Digital Financial Revolution in China, edited by David Dollar and Yiping Huang, Brookings Press, 2022. (Zhuo Huang is a member of the Research Group and wrote one chapter)
Platform Economy: Innovation , Governance and Prosperity, edited by Yiping Huang, CITIC Press, 2022. (Zhuo Huang is a memeber of the Research Group and wrote one chapter)
Development of China's Personal Credit Reporting System in the Internet Finance Era, by Zhuo Huang, China Social Science Press 2018.
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.
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.
Fintech in China: Twelve Lectures on Digital Finance, edited by Zhuo Huang, Haiming Wang, Yan Shen, and Xuanli Xie, China Renmin University Press 2017.
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.
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
2020 Outstanding Teaching Award (only six award recipents each year), 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
