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Fudan University - School of Management
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Currency risk premia, asset pricing, skewness risk, crash risk, stochastic discount factor.
Deep Tangency Portfolio, Deep Learning, Corporate Bonds, IPCA, RP-PCA
Deep Learning, Bond Return Predictability, Real-Time Macro Data, News Topic Attentions.
Decision Tree, Macro-Finance, Term Structure, Regime Switching, Dynamic Nelson-Siegel Model, Bayesian Estimation JEL Classification: C11, E43, G12
Option Return Predictability, Mispricing, Latent Factor Model, Alpha Portfolio, Projected PCA
State-Space Models, Particle Filters, Parameter Learning, State Filtering, Resample-Move, Markov Chain Monte Carlo, Stochastic Volatility, Credit Risk
Decision Tree, Bayesian Spike-and-Slab, Factor Selection, Heterogeneity, Structural Breaks.
Self-Exciting Jumps, Variance Risk Premia, Extreme Downside Events, Investors' Fear, Stock Return Predictability, Particle Filter.
Business Cycles, Currency Returns, Panel Tree, Regime Shifts, Risk Premia
Bayesian Learning, Bond Return Predictability, Non-overlapping Bond Returns, Parameter Uncertainty, Model Combinations, Real-Time Macroeconomic Information
Self-Excitation, Jump Clustering, Tail Behaviors, Parameter Learning, Sequential Bayes Factor, Excess Volatility, Volatility Forecasting, Option Pricing
Stochastic Discount Factor, Volatility Components, Volatility Risk Premia, Value and Size Effects, Unscented Kalman Filter
Risk-Neutral Semivariances, Implied Variance Asymmetry, Risk-Neutral Skewness, Return Predictability, Informed Trading, Liquidity
Asset Pricing, Bayesian Estimation, Clustering Tree, Factors, Heterogeneity, Panel Data, Sparsity, Spike-and-Slab, Structural Breaks
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Sovereign and bank credit risk; Credit default swaps; Distress risk premia; Bayesian estimation
Sovereign and Bank Credit Risk, Credit Default Swaps, Distress Risk Premia, Bayesian Estimation
Non-linear Gaussian state-space models, Non-linear Kalman filters, Unscented Kalman smoother, Heston stochastic volatility model, Option pricing
Systemic Bank Credit Risk; Credit default swaps; Sovereign Credit Risk; Distress Risk Premia; Bayesian Estimation
systemic bank credit Risk, credit default swaps, distress risk premia, Bayesian estimation
Non-affineness, Self-Exciting Jumps, Optimal Proposal Density, Auxiliary Particle Filter, Common Random Numbers, Sequential Monte Carlo Sampler
The Chinese Stock Market, Mispricing, Arbitrage Portfolio, Projected PCA
Research and Development; Innovation; Information Quality; Return Predictability; Factor Models.
Asset Pricing, Long-Run Risk, Autoregressive Gamma Process, Log-linearization, Projection Methods, Particle Filters, Sequential Monte Carlo Sampler
Hansen-Jagannathan Bound, Stochastic Discount Factor, Bayesian Learning, Factor Timing, Volatility Timing, Factor Momentum
Empirical Characteristic Function, Stochastic Volatility, Infinite Activity Jumps, Volatility Jumps, Continuous GMM
Timing Strategy, Volatility-managed Portfolio (VMP), Chinese Equity Market JEL Classification: G11
treasury market, risk-return trade-off, term structure models, bond risk premium, macro risk
Consumption, equity premium, long run risk, stochastic discount factor, sequential Monte Carlo
Exchange rate movements, Macroeconomic fundamentals, Forward premium anomaly, Stochastic discount factor, Term structure of interest rates, Unscented Kalman filter
Downside variance Premium, Corporate Bond Return Predictability, Equity Options, Probability of Default, Credit Rating Downgrade, Cash Flow Uncertainty
Infinite Activity Levy Processes, Brownian Subordination, Stochastic Volatility, Unscented Kalman Filter, Sequential Monte Carlo
Return-Risk Trade-Off, Volatility Components, Leverage Effects, Bayesian Methods, Asymmetric GARCH
Treasury market, risk-return trade-off, term structure models, bond risk premium, macro risk. JEL Classification: C58, E43, G12
Sequential Monte Carlo, Particle Filters, Approximate Dynamic Programming, Annealing, SMC^2, DSGE, Long-Run Risk
Short-selling Activity, Anomaly Portfolios, Institutional Investors, the Chinese equity market JEL classification: G11
