Teaching
Courses
Teaching at the Wang Yanan Institute for Studies in Economics and the School of Economics, Xiamen University:
Thesis supervised
PhD thesis
洪智武, 2017, 无套利Nelson-Siegel利率期限结构模型的离散时间拓展与宏观金融应用
Zhiwu Hong, 2017, Extended Discrete-time No-arbitrage Nelson-Siegel Interest Rate Term Structure Model and its Application in Macro-finance
岳超云, 2015, 财政政策冲击的识别、货币规则与产能过剩——三篇关于中国宏观经济政策的论文
Chaoyun Yue, 2015, The Identification of Fiscal Policy Shocks, Monetary Policy Rules and Capacity Excess ——Three Essays on China's Macroeconomic Policies
曾耿明, 2013, 基于离散时间的无套利Nelson-Siegel利率期限结构模型与应用
Gengming Zeng, 2013, Discrete-time Affine Aribitrage-free Nelson-Siegel Class of Models and Applications
黄诗城, 2012, 开放经济下的利率期限结构建模与实证
Shicheng Huang, 2012, Interest Rate Term Structure Modeling and Empirical Studies in Open Economy
刘长江, 2011, 基于Wishart自回归过程的多元随机波动模型及其在金融中的应用 （联合导师：林明）
Changjiang Liu, 2011, Multivariate Stochastic Volatility Models Based on Wishart Autoregressive Process with an Application in Finance. (Jointly supervised with Ming Lin)
Master thesis
丑高武, 2017, 中国银行间市场国债收益率曲线估计：基于贝叶斯方法和Nelson-Siegel模型
Gaowu Chou, 2017, The Estimation of Term Structure in Chinese Interbank Treasury Bond Market Based on Bayesian Method and Nelson-Siegel Model
柯巧, 2017, 中国主权信用风险影响因素探究：基于主权CDS息差
Qiao Ke, 2017, A Study on Factors that Influence China's Sovereign Credit Risk Based on Sovereign CDS Spreads
李昂, 2017, 中国含权债的定价研究及定价误差修正：基于二叉树和三叉树模型
Ang Li, 2017, A Study on the Evaluation of Chinese Option-Embedded Bonds and Pricing Errors: Based on Binomial Tree Model and Trinomial Tree Model
石长顺, 2017, 基于Nelson-Siegel模型的中国国债新券溢价度量
Changshun Shi, 2017, Measuring On-the-run Treasury Bond Premium in China Based on Nelson-Siegel Model
孙小军, 2016, 中国普通可转债和可交换债的定价研究：基于二叉树模型
Xiaojun Sun, 2016, A Study on the Evaluation of Chinese Vanilla Convertible Bonds and Exchangable Bonds: Based on Binomial Tree Model
柳韵, 2016, 债务违约事件对中国债券市场收益率曲线的影响
Yun Liu, 2016, The Effects of Bond Defaults on the Yield Curves of China's Bond Market
邵怡晨, 2016, 中国地方债发行利差影响因素探究
Yichen Shao, 2016, A Study on Local Government Bond Issuance Spread in China
杜纬辰, 2016, 基于市场的中国通胀预期与其影响因素分析
Weichen Du, 2016, Analysis on Market-Based Inflation Expectation in China
Rony Jayamanggala, 2015, The Effects of U.S. Quantitative Easing Announcements on Indonesia Government Bond Yields
陈义德, 2015, 美国量化宽松政策对中国国债收益率曲线的影响
Yide Chen, 2015, The Effects of US Quantitative Easing Policies on China's Treasury Yield Curve
张鑫, 2015, 中国银行间与交易所国债市场利差与相对流动性溢价研究
Xin Zhang, 2015, The Yield Spreads between Inter-Bank and Exchange Market and Relative Liquidity Premium Analysis
Zhiwu Hong 2014, Euro-Area Yield Curve Exploration During Crises: An Arbitrage-Free Nelson-Siegel Term Structure Model
(Thesis supervised for the Economics of Globalisation and European Integration Program - EGEI)
丁春辉, 2014, 关于中美国债市场联动性及其原因的实证分析
Chunhui Ding, 2014, Empirical Analysis of Chinese and American Treasury bond Market Co-movement and Mechanism
孙志龙, 2012, 我国银行间、交易所国债市场的期限结构分割与货币政策传导
Zhilong Sun, 2012, Segmentation of China's Interbank and Exchange Government Bond Markets and Monetary Policy Transmission
金孝奇, 2012, 人民币及其他实行管理浮动汇率制的亚洲国家货币篮子的演变——基于人民币汇改后数据的考察
Xiaoqi Jin, 2012, On the Evolvement of Exchange Rate Regime in China and Other Asian Economies with Managed Floating Exchange Rate
曾华夏, 2011, 贸易成本能否导致资产选择本土性偏好？
Huaxia Zeng, 2011, Do Trade Costs Cause Home Bias in Equities?
张敏涛, 2011, 中国国债超额收益率实证研究
Mintao Zhang, 2011, Government Bond Risk Premia in China
陈伟, 2010, 使用贝叶斯模型平均方法(BMA)对中国通货膨胀建模并预测
Wei Chen, 2010, Modeling and Forecasting Inflation in China: A Bayesian Model Averaging Approach
郭丰波, 2010, 中国银行间债券市场利率期限结构实证研究
Fengbo Guo, 2010, An Empirical Study of Term Structure of Interest Rates in China’s Inter-bank Bond Market
李凯峰, 2010, 中国企业债券信用利差研究——基于银行间债券市场的B样条联合估计模型
Kaifeng Li, 2010, Corporate bond credit spread--Based on B-spline joint estimation model of inter-bank market
刘守卫, 2010, 知情交易率的测度与股票波动率
Shouwei Liu, 2010, Estimates of the Probability of Informed Trading and Stock Volatility
宋智铖, 2010, 基于远期合约的外汇风险管理：多阶段随机规划应用探究
Zhicheng Song, 2010, Exchange Rate Risk Management Using Forwards:An Application of Multi-Stage Stochastic Programming
王舒宣, 2010, 信用评级变化对股票价格的影响：以中国股票市场为例
Shuxuan Wang, 2010, The Impact ofCredit Rating Changes on Stock Price: Evidence from the Chinese Stock Market
尹莹, 2010, 有偏t分布在金融资产波动率与相关性研究中的应用 （联合导师：Sung Yong Park)
Ying Yin, 2010, The Application of the Skewed t Distribution in The Research of the Volatility and Correlation of Financial Assets. (Jointly supervised with Sung Yong Park)
Teaching at the Wang Yanan Institute for Studies in Economics and the School of Economics, Xiamen University:
- Advanced Macroeconomics II (Graduate, spring 2009 - 2017)
- Undergraduate Thesis Writing (Double Degree, spring 2017)
- Financial Economics (Undergraduate, International Master, fall 2010 - 2014)
- Topics on Macro Finance II (Graduate, spring 2010 - 2012)
- Fixed Income Analysis (Graduate, spring 2009)
- Macro Finance Reading Group (Graduate, 2008/09, 2009/10)
Thesis supervised
PhD thesis
洪智武, 2017, 无套利Nelson-Siegel利率期限结构模型的离散时间拓展与宏观金融应用
Zhiwu Hong, 2017, Extended Discrete-time No-arbitrage Nelson-Siegel Interest Rate Term Structure Model and its Application in Macro-finance
岳超云, 2015, 财政政策冲击的识别、货币规则与产能过剩——三篇关于中国宏观经济政策的论文
Chaoyun Yue, 2015, The Identification of Fiscal Policy Shocks, Monetary Policy Rules and Capacity Excess ——Three Essays on China's Macroeconomic Policies
曾耿明, 2013, 基于离散时间的无套利Nelson-Siegel利率期限结构模型与应用
Gengming Zeng, 2013, Discrete-time Affine Aribitrage-free Nelson-Siegel Class of Models and Applications
黄诗城, 2012, 开放经济下的利率期限结构建模与实证
Shicheng Huang, 2012, Interest Rate Term Structure Modeling and Empirical Studies in Open Economy
刘长江, 2011, 基于Wishart自回归过程的多元随机波动模型及其在金融中的应用 （联合导师：林明）
Changjiang Liu, 2011, Multivariate Stochastic Volatility Models Based on Wishart Autoregressive Process with an Application in Finance. (Jointly supervised with Ming Lin)
Master thesis
丑高武, 2017, 中国银行间市场国债收益率曲线估计：基于贝叶斯方法和Nelson-Siegel模型
Gaowu Chou, 2017, The Estimation of Term Structure in Chinese Interbank Treasury Bond Market Based on Bayesian Method and Nelson-Siegel Model
柯巧, 2017, 中国主权信用风险影响因素探究：基于主权CDS息差
Qiao Ke, 2017, A Study on Factors that Influence China's Sovereign Credit Risk Based on Sovereign CDS Spreads
李昂, 2017, 中国含权债的定价研究及定价误差修正：基于二叉树和三叉树模型
Ang Li, 2017, A Study on the Evaluation of Chinese Option-Embedded Bonds and Pricing Errors: Based on Binomial Tree Model and Trinomial Tree Model
石长顺, 2017, 基于Nelson-Siegel模型的中国国债新券溢价度量
Changshun Shi, 2017, Measuring On-the-run Treasury Bond Premium in China Based on Nelson-Siegel Model
孙小军, 2016, 中国普通可转债和可交换债的定价研究：基于二叉树模型
Xiaojun Sun, 2016, A Study on the Evaluation of Chinese Vanilla Convertible Bonds and Exchangable Bonds: Based on Binomial Tree Model
柳韵, 2016, 债务违约事件对中国债券市场收益率曲线的影响
Yun Liu, 2016, The Effects of Bond Defaults on the Yield Curves of China's Bond Market
邵怡晨, 2016, 中国地方债发行利差影响因素探究
Yichen Shao, 2016, A Study on Local Government Bond Issuance Spread in China
杜纬辰, 2016, 基于市场的中国通胀预期与其影响因素分析
Weichen Du, 2016, Analysis on Market-Based Inflation Expectation in China
Rony Jayamanggala, 2015, The Effects of U.S. Quantitative Easing Announcements on Indonesia Government Bond Yields
陈义德, 2015, 美国量化宽松政策对中国国债收益率曲线的影响
Yide Chen, 2015, The Effects of US Quantitative Easing Policies on China's Treasury Yield Curve
张鑫, 2015, 中国银行间与交易所国债市场利差与相对流动性溢价研究
Xin Zhang, 2015, The Yield Spreads between Inter-Bank and Exchange Market and Relative Liquidity Premium Analysis
Zhiwu Hong 2014, Euro-Area Yield Curve Exploration During Crises: An Arbitrage-Free Nelson-Siegel Term Structure Model
(Thesis supervised for the Economics of Globalisation and European Integration Program - EGEI)
丁春辉, 2014, 关于中美国债市场联动性及其原因的实证分析
Chunhui Ding, 2014, Empirical Analysis of Chinese and American Treasury bond Market Co-movement and Mechanism
孙志龙, 2012, 我国银行间、交易所国债市场的期限结构分割与货币政策传导
Zhilong Sun, 2012, Segmentation of China's Interbank and Exchange Government Bond Markets and Monetary Policy Transmission
金孝奇, 2012, 人民币及其他实行管理浮动汇率制的亚洲国家货币篮子的演变——基于人民币汇改后数据的考察
Xiaoqi Jin, 2012, On the Evolvement of Exchange Rate Regime in China and Other Asian Economies with Managed Floating Exchange Rate
曾华夏, 2011, 贸易成本能否导致资产选择本土性偏好？
Huaxia Zeng, 2011, Do Trade Costs Cause Home Bias in Equities?
张敏涛, 2011, 中国国债超额收益率实证研究
Mintao Zhang, 2011, Government Bond Risk Premia in China
陈伟, 2010, 使用贝叶斯模型平均方法(BMA)对中国通货膨胀建模并预测
Wei Chen, 2010, Modeling and Forecasting Inflation in China: A Bayesian Model Averaging Approach
郭丰波, 2010, 中国银行间债券市场利率期限结构实证研究
Fengbo Guo, 2010, An Empirical Study of Term Structure of Interest Rates in China’s Inter-bank Bond Market
李凯峰, 2010, 中国企业债券信用利差研究——基于银行间债券市场的B样条联合估计模型
Kaifeng Li, 2010, Corporate bond credit spread--Based on B-spline joint estimation model of inter-bank market
刘守卫, 2010, 知情交易率的测度与股票波动率
Shouwei Liu, 2010, Estimates of the Probability of Informed Trading and Stock Volatility
宋智铖, 2010, 基于远期合约的外汇风险管理：多阶段随机规划应用探究
Zhicheng Song, 2010, Exchange Rate Risk Management Using Forwards:An Application of Multi-Stage Stochastic Programming
王舒宣, 2010, 信用评级变化对股票价格的影响：以中国股票市场为例
Shuxuan Wang, 2010, The Impact ofCredit Rating Changes on Stock Price: Evidence from the Chinese Stock Market
尹莹, 2010, 有偏t分布在金融资产波动率与相关性研究中的应用 （联合导师：Sung Yong Park)
Ying Yin, 2010, The Application of the Skewed t Distribution in The Research of the Volatility and Correlation of Financial Assets. (Jointly supervised with Sung Yong Park)
