人物介紹,學術成就,學術成果,
人物介紹
理論與資產定價，信用風險，期權定價，金融經濟學，對沖基金。
學術成就
- Sanford R. Robertson Professorship, University of Michigan, 2007-2008.
- NTT Research Fellowship, University of Michigan, 2006-2007.
- Nomination for Ph.D. Teaching Excellence Award, University of Michigan, 2006.
- Q-Group Research Grant, 2004.
- Best Student Paper Award, Eastern Finance Association, 1997.
- Trefftz Award for the Best Student Paper, Western Finance Association, 1996.
- Sterling Prize Fellowship, Yale University, 1991-1993.
- Yale University Fellowships, 1991-1996.
學術成果
- Return Dynamics with Lévy Jumps: Evidence from Stock and Option Prices (with M. Wells and L. Yu),Mathematical Financeforthcoming.
- Investing in Talents: Manager Characteristics and Hedge Fund Performances (with R. Zhao and X. Zhang),Journal of Financial and Quantitative Analysisforthcoming.
- Short Rate Dynamics and Regime Shifts (with Y. Xu),International Review of Financeforthcoming.
- Evaluating Asset Pricing Models Using the Second Hansen-Jagannathan Distance (with Y. Xu and X. Zhang),Journal of Financial Economicsforthcoming.
- Nonparametric Estimation of State-Price Densities Implicit in Interest Rate Cap Prices (with F. Zhao),Review of Financial Studiesforthcoming.
- Reduced-Form Valuation of Callable Corporate Bonds: Theory and Evidence (with R. Jarrow, S. Liu, and C. Wu),Journal of Financial Economicsforthcoming.
- Are Liquidity and Information Risks Priced in the Treasury Bond Market? (with Y. He, J. Wang, and C. Wu),Journal of Financeforthcoming.
- A Tale of Two Yield Curves: Modeling the Joint Term Structure of Dollar and Euro Interest Rates (with A. Egorov and D. Ng)Journal of Econometricsforthcoming.
- A Bayesian Analysis of Return Dynamics with Lévy Jumps (with M. Wells and L. Yu),Review of Financial Studies21, 2345-2378, 2008.
- Can the Random Walk Model be Beaten in Out-of-Sample Density Forecasts: Evidence from Intraday Foreign Exchange Rates (with Y. Hong and F. Zhao),Journal of Econometrics141, 736-776, 2007.
- Interest Rate Caps "Smile" Too! But Can the LIBOR Market Models Capture Smile? (with R. Jarrow and F. Zhao),Journal of Finance62, 345-382, 2007.
- Validating Forecasts of the Joint Probability Density of Bond Yields: Can Affine Models Beat Random Walk? (with A. Egorov and Y. Hong),Journal of Econometrics135, 255-284, 2006.
- Unspanned Stochastic Volatility: Evidence from Hedging Interest Rate Derivatives (with F. Zhao),Journal of Finance61, 341-378, 2006.
- Is Investor Misreaction Economically Significant? Evidence from Short- and Long-Term S&P 500 Index Options (with C. Cao and F. Yu),Journal of Futures Markets25, 717-752, 2005.
- Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates (with Y. Hong),Review of Financial Studies18, 37-84, 2005.
- Out-of-Sample Performance of Discrete-Time Spot Interest Rate Models (with Y. Hong and F. Zhao),Journal of Business and Economic Statistics22, 457-473, 2004.
- Regulation FD and Earnings Information: Market, Analyst, and Corporate Responses (with W. Bailey, C. Mao, and R. Zhong),Journal of Finance58, 2489-2516, 2003.
- Maximum Likelihood Estimation of Time-Inhomogeneous Diffusions (with A. Egorov and Y. Xu),Journal of Econometrics114, 107-139, 2003.
- Corporate Use of Interest Rate Swaps: Theory and Evidence (with C. Mao),Journal of Banking and Finance27, 1511-1538, 2003.
- Survival Bias and the Equity Premium Puzzle (with Y. Xu),Journal of Finance57, 1981-1996, 2002.
- Pricing of Swaps with Default Risk,Review of Derivatives Research2, 231-250, 1998.
Working Papers
- Hedge Fund Performance Evaluation: A Stochastic Discount Factor Approach (with W. Bailey and X. Zhang).
- Estimating Liquidity Premium of Corporate Bonds Using the Spread Information in On- and Off-the-Run Treasury Bonds (with J. Shi and C. Wu).
