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时间: 2019-06-19来源: 学科办




时    间:2019619星期上午10:00

地    经济管理学院 602会议室


颜诚,19874月出生,20086月获北京师范大学经济学学士学位,2015 年毕业于Cass Business School 获金融学博士学位,曾在 Durham University 任助理教授,目前在 University of Essex 任副教授,兼任卡斯商学院新兴市场集团研究员等职务。

研究领域主要包括国际金融,计量经济学和宏观金融等,曾主持 10多个科

研项目,已经在 Journal of Empirical Finance, Journal of International Money and FinanceJournal of Futures Market 等中英文期刊上发表20多篇学术论文,其中SSCI源刊物13篇,主持或参与科研项目20多项。



1. Biqing Cai, Tingting Cheng, and Cheng Yan, Time-varying skills (versus luck) in U.S. active mutual funds and hedge funds. Journal of Empirical Finance, 2018, 49(12), 81-106.

2. Cheng Yan and Tingting Cheng, In search of the optimal number of fund subgroups. Journal of Empirical Finance, 2019, available online.

3. Tingting Cheng, and Cheng Yan, Evaluating the size of the bootstrap method for fund performance evaluation, Economics Letters, 2017 (156), 36-41.

4. Huazhu Zhang and Cheng Yan, A skeptical appraisal of the bootstrap approach in fund performance evaluation, Financial Markets, Institutions and Instruments (Editor's Choice)}, 2018 (27), 49–86.

5. Phylaktis, A-M, Fuertes and Cheng Yan, On cross-border bank credit and the U.S. subprime crisis transmission to equity markets. Journal of International Money and Finance, 2016 (69), 108-134.

6. Cheng Yan, K. Phylaktis and A-M, Fuertes, Hot money in bank credit flows to emerging markets during the banking globalization era, Journal of International Money and Finance, 2016 (60), 29-52.

7. Cheng Yan and Xichen Wang, The non-persistent relationship between foreign equity flows and emerging stock market returns across quantiles,Journal of International Financial Markets, Institutions, and Money, 2018, (56), 38-54.8. Cheng Yan, Hot money in disaggregated capital flows,(single-authored),European Journal of Finance, 2018, 24(14), 1190-1223.

9. Huazhu Zhang, Cheng Yan*, Modeling fundamental analysis into portfolio selection. Quantitative Finance, 2018, (8), 1315-1326..

10. Bo Zhao, Cheng Yan*, Stewart Hodges, Three one-factor processes for option pricing with a mean-reverting underlying: The case of VIX, Financial Review, 2019 (1), 165-199.

11. C. Cheng, X. Ren and Z. Wang and Cheng Yan, Heterogeneous impacts of renewable energy and environmental patents on CO2 emission- Evidence from the BRIICS. Science of Total Environment (STOTEN, SCI tier 1, impact factor: 5), 2019, 668, 1328-1338.

12. B. Yang, F. Xue, Y. Su and Cheng Yan, Is informational inefficiency priced in stock markets? A comparison between the U.S. and Chinese cases. (slides), Pacific-Basin Finance Journal, 2019, 55 (6), 222-238.

13. Cheng Yan*, Bo Zhao, A general jump-diffusion process to price volatility derivatives. Journal of Futures Markets, 2019, 39(1), 15-37.

14. Cheng Yan*, Huazhu Zhang, Mean-variance versus naive diversification: The role of mispricing, Journal of International Financial Markets,Institutions, and Money (Editor's Choice), 2017 (48), 61-81.

15. Identification of Chinese stock market bubbles: the three-regime-switching modeling approach, 中 国 股 市 泡 沫 的 三 区 制 特 征 识 别 , with G. Chen, Systems Engineering | Theory & Practice,系统工程理论与实践, 2013, 33 (1): 25-33 (EIIn Chinese).