FULL-TIME TEACHERS

专职教师/师资力量/首页

中国金融研究中心  潘志远   副教授  硕士生导师

联系方式:panzhiyuan@icfs.swufe.edu.cn

潘志远,副教授,硕士生导师,金融学博士


2015年毕业于上海交通大学安泰经济与管理学院,2016年(破格)晋升副教授。兼任金融安全协同创新中心专职研究员。


研究兴趣为金融计量和金融衍生品定价。目前已在Journal of Econometrics, Journal of Empirical Finance, Journal of Forecasting, Energy Economics, Economics Letters 等SSCI 检索的期刊发表(待刊)论文多篇。主持国家自然科学基金青年项目一项。







  • 本科:金融工程

    硕士研究生:中级金融计量分析、Matlab 在金融中的运用

    博士研究生:高级金融计量分析、资产定价


  • Publications:

    1. "Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model." Journal of Empirical Finance 43 (2017): 130-142. (with Wang, Y.,  Wu, C., and Yin, L.).

    2. "Time-varying parameter realized volatility models." Journal of Forecasting 36 (2017): 566-580. (with Wang, Y., and Wu, C.).

    3. "A nonparametric approach to test for predictability." Economics Letters 148 (2016): 10-16. (with Wang, Y., and Wu, C.).

    4. "The relationships between petroleum and stock returns: An asymmetric dynamic equi-correlation approach." Energy Economics 56 (2016): 453-463. (with Wang, Y., and Liu, L.).

    5. "A model-free test for contagion between crude oil and stock markets." Economics Letters 130 (2015): 1-4. (with Zheng, X., and Gong, Y.).

    6. "Asymptotically distribution-free tests for the volatility function of a diffusion." Journal of Econometrics 184.1 (2015): 124-144. (with Cheng, Q., and Zheng, X.).

    7. "Hedging crude oil using refined product: A regime switching asymmetric DCC approach." Energy Economics 46 (2014): 472-484. (with Wang, Y., and Yang, L.).

    8. "Modelling tail dependence between energy market and stock markets in the BRIC countries." Applied Economics Letters 21.11 (2014): 789-794.

    9. "Testing asymmetric correlations in stock returns via empirical likelihood method." China Finance Review International 4.1 (2014): 42-57. (with Zheng, X., and Chen, Q.).

    10. "Multifractal detrending moving average analysis on the US Dollar exchange rates." Physica A: Statistical Mechanics and its Applications 390.20 (2011): 3512-3523. (with Wang, Y., and Wu, C.).

    11. "中国股市跳跃行为与股指期货定价表现的实证分析." 投资研究 6 (2013): 013. (与 陈强和郑旭).

    12. "Copula 方法中的边缘分布设定需要计量检验吗?基于CVaR框架的资产组合视角". 系统科学与数学 37 (2017): 537-552. (与 孙显超).


    Conferences:

    1. The 1st International Conference on Econometrics and Statistics (EcoSta 2017),  Hong Kong University of Science and Technology, Hong Kong 15-17 June 2017.




  • 1. 国家自然科学基金青年项目(主持),“国际金融危机背景下的金融资产配置管理:基于泛函系数方法的研究”(71601161), 2016年。



  • 为以下期刊的匿名审稿人:

    1. Applied Economics Letters

    2. International Review of Economics & Finance

    3. Emerging Markets Finance and Trade

    4. Applied Economics