赵阳
助理教授
Tel: 010-6228 8200
Email: yangzhao@cufe.edu.cn
Office: Acadmy Hall 808 (学术会堂808）
Homepage: https://sites.google.com/site/yangzhaoshomepage/
Last updated: October 7, 2018
Introduction
英国格拉斯哥大学亚当斯密商学院数量金融学博士，主要研究领域包括：风险管理，量化投资，以及资产定价实证等。在Journal of Empirical Finance，Journal of Futures Markets，Quantitative Finance，International Journal of Finance and Economics，Economic Modelling等国际期刊发表SSCI论文多篇，研究被AEA，FMA，RES，IFABS，ICFOD等多个国际会议接收，主持国家自然科学基金（青年项目）一项，参与国家自然科学基金（面上项目）一项。
Publication
[1] Relation between higher order comoments and dependence structure of equity portfolio, with M. Cerrato, J. Crosby and M. Kim, Journal of Empirical Finance, 2017, 40, 101–120. (SSCI)
[2] The joint credit risk of UK global-systemically important banks, with M. Cerrato, J. Crosby and M. Kim, Journal of Futures Markets, 2017, 37(10), 964–988. (SSCI)
[3] Neural network copula portfolio optimization for exchange traded funds, with G. Sermpinis and C. Stasinakis, Y. Shi, Quantitative Finance, 2018, 18(5), 761-775. (SSCI)
[4] Does the introduction of index futures stabilize stock markets? Further evidence from emerging markets, with A. Kutan, Y. Shi and M. Wei, International Review of Economics & Finance, 2018, 57, 183-197. (SSCI)
[5] Revisiting Fama-French factors’ predictability with Bayesian modelling and copula-based portfolio optimization, with C. Stasinakis, G. Sermpinis and F. Fernandes,International Journal of Finance and Economics, 2019, 24(4), 1443-1463. (SSCI)
[6] The term structure of option-implied volatility and future realized volatility, with Y. Shi, Y. Xu and H. Zhang, Emerging Markets Finance and Trade, 2019, 55(13), 2997-3022. (SSCI)
[7] The heterogeneous volume-volatility relations in the exchange-traded fund markets: Evidence from China, with L. Xu, H. Gao and Y. Shi, Economic Modelling, forthcoming. (SSCI)
Working Papers
[1] The dependence structure between equity and foreign exchange rates and tail risk forecasts of foreign investments, with M. Kim and J. Yang. (under review by Quantitative Finance)
[2] Volatility-of-volatility risk in the crude oil market, with Y. Xu and T. Roh. (under review by Journal of Banking and Finance)
[3] Corporate social responsibility and firm survival, with C. Stasinakis, G. Sermpinis and F. Fernandes.
[4] Modeling the interrelationship between insurers and other financial institutions, with X. Zhang, C. Yan and M. Kim.
[5] Information-based trading and information propagation: Evidence from the exchange traded fund market, with L. Xu, L. Xu and J. Zhao. (International Review of Financial Analysis, R&R)
[6] The design of dynamic and nonlinear models in cash flow prediction, with Y. Shi, S. Shi and Y. Pang. (under review by British Accounting Review)
[7] Are passive ETFs informationally active? Evidence from the primary market, with L. Xu, X. Zhang and J. Zhao.
[8] A key driver for the mixed relation between collateral and loan risk premium: Evidence from China, X. Zhang, Y. Zhao, Y. Zhang, and E. Scheffel.
[9] Environmental challenges and sustainable economic development in China: The role of renewable energy across provinces, with S. Paramati and Y. Shi. (Economic Modelling, R&R)
[10] Does capital account liberalization spur growth? New tests using the two-step 2SLS instrumental variable approach, with Q. Gou, Y. Peng and J. Yang.
Work in Progress
[1] Systemic risk measurement and stock market predictability: Evidence from China, with L. Xu, Y. Xu and X. Zhang.
[2] Do emerging markets become more important? Evidence of the financial spillbacks from China to G7 countries, Y. Fang and Z. Jin.
[3] Institutional bidding and IPO auctions, with J. Cao, M. Kim and Y. Shi
[4] Capital requirements for the insurance companies, with X. Zhang and L. Xu.
Grant
[1] 2019年-2021年，国家自然科学基金青年项目，《基于GAS模型的系统性金融风险测度及其在宏观经济预测中的应用研究》（**），主持人
[2] 2020年-2023年，国家自然科学基金面上项目，《金融周期视角下中国银行业系统性风险防范与化解》（**），参与
[3] 2019年-2022年，中央财经大学青年科研创新团队项目，《中国金融部门系统性风险与金融稳定政策》，参与
Refereeing
International Review of Financial Analysis,Quantitative Finance,Annals of Operational Research,International Journal of Finance & Economics,Accounting and Finance,Finance Research Letters,North American Journal of Economics and Finance,Emerging Markets Finance and Trade,Journal of Forecasting,Journal of Commodity Markets
Last updated: November 25, 2019