Personal Data
E-mail: xiaohuipk@163.com
Current Employment: Professor& Associate Dean, School of Finance, Central University of Finance and Economics
Address: School of Finance, Central University of Finance and Economics, 39 South College Road, Haidian District, Beijing, P.R.C
P.C. 100081
Educational Background
Shandong Normal University 9/1998-7/2002
Major: BSc in Applied Mathematics
School of Mathematical Sciences, Peking University 9/2002-7/2004
Major: MSc in Applied Mathematics
School of Mathematical Sciences, Peking University 9/2004-7/2007
Major: PHD in statistics
Employment History
School of Finance, Central University of Finance and Economics
Lecturer 7/2007-9/2009
Associate Professor 10/2009-9/2014
Professor 10/2014-2016
Professor, Deputy Secretary of Party Committees 2016-2019
Professor, Associate Dean from 2019
The London School of Economics and Political Science
visiting scholar 8/2015-8/2016
Teaching Courses
Financial Engineering, Financial Numerical Computing, Financial Derivatives, Applied Stochastic Processes, Empirical Finance and Statistics Software Application, Empirical Finance
Teaching Projects
“Double First-Class” Excellent postgraduate textbook compilation project of CUFE 2019
Undergraduate Teaching Reform and Innovation Project of Beijing Higher Education 2019
Annual Online Open Course Construction Project of CUFE 2018
Excellent Experimental Project of CUFE 2017
Postgraduate Quality Course Construction Project of CUFE 2016
Economics and Management School-level Typical Experimental Project of CUFE 2016
Research Interests
Statistical inference of financial time series, Systematic financial risk measurement, Financial Engineering and Risk Management
Research Projects
Modeling of High-dimensional Financial Time Series Based on Linear and Nonlinear Models: Theory and Application (NSFC) from 2017
Statistical Inference and Application of High-dimensional Linear and Nonlinear Time Series (National Statistical Scientific Research Project) 2016-2019
Research on Price Evolution and Risk Measurement of High-dimensional Complex Financial System (NSFC) 2015-2018
Modeling and Application of Nonlinear Time Series with Heavy Tail Noise (National Bureau of Statistics) 2013-2014
Statistical Inference and Application of Heavy-tail Threshold Non-linear Time Series (NSFC) 2011
Research on the Impact and Countermeasures of European Sovereign Debt Crisis (NSFC, Emergency Project) 2011
Identification, Measurement and Management of Systemic Financial Risks in China (2010 Young Research and Innovation Team of CUFE) 2010-2014
Honors & Awards
First Prize of excellent paper of China financial engineering annual conference 2017
Yongjin Teacher Academic Award of CUFE 2014
First Prize of excellent paper of China financial engineering annual conference 2014
New Century Excellent Talents 2013
Young Talents of Beijing 2013
Zhong Jiaqing Excellent Paper Award 2013
Best Paper Award of Xiamen University Econometrics Summer Forum 2012
Excellent volunteer teachers team 2011
Publications
[1] (Monograph) Research on Volatility Modeling Based on GARCH Models: Estimation and Test, China Financial & Economic Publishing House, 2017, in Chinese.
[2] (Monograph) Statistical inference of financial time series with thick tail noise, China Financial & Economic Publishing House, 2012, in Chinese.
[3] (Translation) Analysis of Financial Time Series (2 Ed, 3 Ed), China Machine Press, in Chinese.
[4] Wang H, Pan J Z. A scalar dynamic conditional correlation model: Structure and estimation. Science China Mathematics, 2018, 61: 1881–1906.
[5] Wang H, Pan J. Restricted normal mixture QMLE for non-stationary TGARCH (1, 1) models, Science China Mathematics, 2014, 57(7):1341-1360.
[6] Wang H, Pan J. Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH (1,1) models, Statistics & Probability Letters, 2014, 91(3):117–123.
[7] Wang H. Asymptotic Theory of Univariate GARCH Estimation: Stationary and Nonstationary Case, Advances in Mathematics, 2013, 2(2):62–71.
[8] Linton O, Pan J, Wang H. Estimation for a nonstationary semi-strong GARCH (1,1) model with heavy-tailed errors Econometric Theory, 2010, 26(1):1-28.
[9] Pan J, Wang H, Tong H. Estimation and tests for power-transformed and threshold GARCH models, Journal of Econometrics, 2008, 142(1):352-378.
[10] Pan J, Wang H and Yao Q. Weighted least absolute deviations estimation for ARMA models with infinite variance, Econometric Theory, 23, 2007, 852-879.
Selected Publications in Chinese
[1] Wang H. Estimation and test of TGARCH model with thick tail noise: a unified framework, SCIENCE CHINA Mathematics, 2016, 46(6):831, in Chinese.
[2] Wang H, Li S. Research on Systematic Risk Contagion Measurement of Real Estate Industry and Banking Industry in China Based on Internal Perspective, Studies of International Finance, 2015, 000(009):76-85, in Chinese.
[3] Wang H, Zhou J, Zhou H. Study on the Transmission Mechanism of PPI and CPI Classification Index in China, Public Finance Research, 2013(11):48-53, in Chinese.
[4] Wang H, Zhou H. Long-term Equilibrium, Price Inversion and the Impact of Owned House Prices: Research on the Transmission Mechanism of China's PPI and Revised CPI, Nankai Economic Studies, 2013, 000(006):122-133, in Chinese.
[5] Wang H, Sun L. Research on the Asymmetric Effect of Hedging of Agricultural Products Futures in China, Statistical Research, 2012(07):70-76, in Chinese.
[6] Wang H. Research on of the Measurements on Financial Systemic Risk after Subprime Crisis：A Review, Economic Perspectives, 2011(11):121-125, in Chinese.
[7] Wang H. and Xie Y. Research on Optimal Hedge Ratios in Chinese Commodity Futures Market: Empirical evidence based on Asymmetric and Double Asymmetric DCC-GARCH model, The Journal of World Economy 2011, 000(012):120-139, in Chinese.
[8] Wang H. European Sovereign Debt Crisis: Causes, effects and Inspiration, Public Finance Research, 2010(05):77-79, in Chinese.
[9] Wang H. On Pricing of Collateralized Debt Obligations in Chinese Market，The Journal of World Economy, 2009(10):73-82, in Chinese.
