Appointments:
Assistant Professor (tenure track), ShanghaiTech University 2016 - 2024
Associate Professor (tenured), ShanghaiTech University 2024 - Now
Education:
PhD, Economics, University of Toronto 2011 - 2016
MA, Economics, University of Toronto 2010 - 2011
BA Honors, Economics with Distinction, Queen’s University 2006 - 2010
Research Interests: Financial Econometrics, Bayesian Econometrics, Bayesian Time Series
Publications:
"An Infinite Markov Hidden Markov Model with Stochastic Volatility",
Journal of Forecasting (2024), 43, 2187-2211. (with Chenxing Li and John Maheu).
"Infinite Markov Pooling of Predictive Distribution", (Online Appendix)
Journal of Econometrics (2022), 228, 302-321, (with Xin Jin and John Maheu).
"Does the Choice of Realized Covariance Measures Empirically Matter? A Bayesian Density Prediction Approach",
Econometrics (2021), 9, (with Xin Jin and Jia Liu)
"Oil Price Shocks and Economic Growth: The Volatility Link", (Supplementary Materials)
International Journal of Forecasting (2020), 36, 570-587, (with John Maheu and Yong Song).
"Stock Returns and Real Growth: A Bayesian Nonparametric Approach" , (Online Appendix)
Journal of Empirical Finance (2019), 53, 53-69.
"Bayesian Parametric and Semiparametric Factor Models for large Realized Covariance Matrices",
Journal of Applied Econometrics (2019), 34, 641-660, (with Xin Jin and John Maheu).
"An Infinite Hidden Markov Model for Short-term Interest Rates",
Journal of Empirical Finance (2016), 38, 202-220, (with John Maheu).
Lifetime Research Funding:
NSFC Young Scientists Fund 2022-2024
ShanghaiTech University Start-up Fund 2016 - Now
Seminars and Conference:
2023: Big Data and Econometric Theory and Applications (Changsha, China), NSFC Young Scientists Fund Workshop (Changsha, China), China Bayesian Econometrics Meeting (Shanghai, China), TinySoft Financial Engineering and Quantitative Investing Annual Meeting (Shenzheng, China)
2022 “China Bayesian Econometrics Meeting” (Online).
2021：International Bayesian Analysis (Online), NBER-NSF Seminar on Bayesian Inference in Econometrics and Statistics (Online), China Meeting of the Econometrics Society (Online), Australasia Meeting of the Econometrics Society (Online), Hunan University, International Conference on Computational and Financial Econometrics (Online).
2020: NBER-NSF Seminar on Bayesian Inference in Econometrics and Statistics (Online), Tongji University, Shanghai University of Financial and Economics.
2019：NBER-NSF Seminar on Bayesian Inference in Econometrics and Statistics (Providence, USA), Canadian Econometrics Study Group (Montreal, Canada), International Conference on Computational and Financial Econometrics (London, UK)
2018: ShanghaiTech (Shanghai), 12th Annual RECA Bayesian Workshop (Rimini, Italy), Hunan University (Changsha, China), European Seminar on Bayesian Econometrics of Poster Session (New Orleans, USA).
2017: NBER-NSF Seminar on Bayesian Inference in Econometrics and Statistics (St.Louis, USA), RECA Bayesian Econometrics Workshop (Melbourne, Australia), Canadian Econometrics Study Group(Toronto), ShanghaiTech Unviersity (Shanghai, China).
2016: NBER-NSF Seminar on Bayesian Inference in Econometrics and Statistics (Boston, USA), ShanghaiTech (Shanghai, China), ECUST (Shanghai, China), 浙江工商大学(Hangzhou, China).
2015: NBER-NSF Seminar on Bayesian Inference in Econometrics and Statistics (St.Louis, USA), RECA Rimini Bayesian Econometrics Workshop (Rimini, Italy), Canadian Econometrics Study Group Poster (Guelph, Canada), Melbourne Bayesian Econometrics Workshop (Melbourne, Australia), Canadain Economics Association Annual Conference (Toronto, Canada), University of Toronto (2015), Annual Meeting of Midwest Econometrics Group (St.Louis, USA), International Conference on Computational and Financial Econometrics (London, UK)
2014: University of Toronto (Toronto), Annual Doctoral Workshop in Applied Econometrics (Toronto)
Teaching:
Principle of Economics, Quantitative Investing, Principle of Business Statistics, Risk Management (Financial Econometrics Approach), Introductory Macroeconomics, International Finance, Introduction to Financial Accounting, Design Thinking
Awards:
Eexcellence Teacher Award, ShanghaiTech University 2021
Graduate Student Fellowship, University of Toronto 2011-2015
Dean’s Honors List, Queen’s University 2006-2009
