上海财经大学经济学院
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易艳萍
最后学位:美国纽约大学经济学博士
岗位职称:常任副教授
研究领域:时间序列,金融计量,计量理论
教学课程:金融时间序列,金融计量,时间序列分析,计量经济学
办公室:经济学院楼222
电 话:(+86)21-65902962
Emailyi.yanping@mail.shufe.edu.cn

个人主页
通讯地址:上海市国定路777号 上海财经大学经济学院
邮 编:200433

教师简介
07/2014-present Associate Professor, School of Economics, SUFE
01/2014-06/2014 Assistant Professor, School of Economics, SUFE
08/2011-01/2014 Assistant Professor, School of Statistics and Management, SUFE
2005 - 2011 Doctor of Philosophy in Economics, New York University, USA
2001 - 2004 Master of Arts in Economics, Wuhan University, China
1997 - 2001 B.A. in Economics and B.S. in Mathematics , Wuhan University, China


发表论文
  1. "Efficient Estimation of Copula-based Semiparametric Markov Models," (joint with Xiaohong Chen and Wei Biao Wu), Annals of Statistics, Volume 37, No. 6B, 4214-4253, 2009.
  2. "Uniform Inference in Predictive Regression Models," (joint with Rohit S. Deo and Willa W. Chen), Journal of Business & Economic Statistics, Volume 31, No. 4, 525-533, 2013.
  3. "Estimation of extreme value-at-risk: An EVT approach for quantile GARCH model," (joint with Xingdong Feng and Zhuo Huang), Economics Letters, 124, 378–381, 2014.
  4. "Is There a Structural Change in the Persistence of WTI-Brent Oil Price Spreads in the Post-2010 Period", (joint with Zhuo Huang and Wei Chen), Economic Modelling, 50, 64-71, 2015.
  5. "Forecasting Cointegrated Nonstationary Time Series with Time-varying Variance", (corresponding author, joint with Yundong Tu), Journal of Econometrics, 196, 83-98, 2017.
  6. "Semiparametric Identification of the Bid-Ask Spread in Extended Roll Models", (corresponding author, joint with Xiaohong Chen and Oliver Linton), Journal of Econometrics, forthcoming.
工作论文
Working Papers
  1. "Semiparametric Estimation of the Bid-Ask Spread in Extended Roll Models", with Xiaohong Chen, Oliver Linton and Stefan Schneeberger, submitted.
  2. "Balanced Predictive Regressions", with Yu Ren and Yundong Tu.
  3. "Estimation of Multivariate Semiparametric GARCH Filtered Copula Models", with Xiaohong Chen.
Work in Progress
  1. "Bootstrap in Copula-based Semiparametric Markov Models", with Xiaohong Chen.
  2. "Goodness of fit test for copula functions based on martingale transformation", with Qiang Chen and Yuting Gong.

荣誉奖励
2005 - 2011 MacCracken Fellowship, NYU
2006 - 2007 Summer Fellowships, Department of Economics, NYU
2001 - 2004 Graduate Student Fellowships,Wuhan University
97, 98, 2000 Distinguished Undergraduate Scholarships (Top 5% in the class), Wuhan University


科研课题
2013年度上海浦江团队项目“高维数据的变量选择及在金融和生物中的应用”,编号:13PJC048,2013- 9-1至2015-8-31,项目负责人。

期刊审稿
The Review of Economics and Statistics, Journal of Econometrics, Journal of Business and Economic Statistics, Journal of Financial Econometrics, the Journal of the Royal Statistical Society
上海财经大学经济学院