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徐雅华

发布日期:2017-09-26  来源:   点击量:

徐雅华        
助理教授,新西兰奥克兰理工大学金融学博士
邮箱:
yahua.xu08@gmail.com
办公室:学院南路校区学术会堂717

教育背景                                                            
2014.03-2017.07    奥克兰理工大学(新西兰)    金融系金融专业        博士
2009.10-2011.02    约克大学(英国)            数学系金融工程专业    硕士
2005.09-2009.07    中央财经大学    中国经济与管理研究院        经济学数学双学位

研究方向                                                              
资产定价(实证), 衍生品,风险管理, 金融模型,量化分析,期权定价, 金融模型

工作经历                                                            
• 2018.01-2018.07   讲师      中南大学      商学院金融系          
• 2018.08-至今       助理教授   中央财经大学  中国经济与管理研究院  

期刊论文                                                      

·   “Higher Moment Risk Premiums for Crude Oil Market: A Downside and Upside Conditional Decomposition”, J. Da Fonseca and Y. Xu,Energy Economics (2017.09)(ABDC ranking: A*)  

·   “Variance and Skew Risk Premiums for the Volatility Market: The VIX Evidence”, J. Da Fonseca and Y. Xu,Journal of Futures Markets (2019.03)(ABDC ranking: A)  

工作论文                                                            

·     “Bad Volatility is not always Bad: Evidence from Commodity Markets”, Y. Xu, T. Roh and I. Indriawan

·     “Downside Uncertainty Shocks of Oil and Gold Markets”, Y. Xu and V. Cho

·     “Volatility-of-volatility Risk in the Crude Oil market”, Y. Xu and T. Roh

·     “Intraday Momentum: Evidence from the Crude Oil Market”, Z. Wen, Y. Xu and D. Ma

·     “Premium for Heightened Uncertainty: Evidence from the Crude Oil Market”, Y.Xu, V. Cho and Z. Wen

学术报告                    
• “Variance and Skew Risk Premiums for the Volatility Market: The VIX Evidence” is presented at:
 First China Derivatives Markets Conference (2016, China); First PKU-NUS Annual International Conference on Quantitative Finance and Economics (2016, China); 2016 Greater China Area Finance Conference (2016, China); International Conference on Applied Financial Economics (2016, China); Derivative Markets Conference (2016, New Zealand); AUT Finance Seminar (2016, New Zealand); 19th Annual Waikato Management School Student Research Conference (2016, New Zealand)

• “Higher Moment Risk Premiums for Crude Oil Market: A Downside and Upside Conditional Decomposition” is presented at:
 AUT Mathematical Sciences Symposium (2016, New Zealand); Auckland Finance Meeting (2016, New Zealand); New Zealand Finance Colloquium (2017, New Zealand); 1st Australasian Commodity Markets Conference (2017, Australia); 29th Asian Finance Association Annual Meeting (2017, Korea)

• “Bad Volatility is not always Bad: Evidence from Commodity Markets” is presented at:
 2018 International Conference on Energy Finance (2018, China, Best Paper Award); 14th Conference of Asia-Pacific Association of Derivatives (2018, Korea); 2018 Greater China Area Finance Conference (2018, China)

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