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Tenure-track faculty
普通文章Tenure-track faculty member——Xiaoneng Zhu
普通文章Tenure-track faculty member——TAK-YUEN WONG
普通文章[图文]Tenure-track faculty member——Qi Sun
普通文章Tenure-track faculty member——Jianing Zhang
普通文章Tenure-track faculty member——Yen-Teik Lee
普通文章Tenure-track faculty member——Chim M. Lau
普通文章Tenure-track faculty member——Cheng, Jiang
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上海国际金融中心研究院
现代金融研究中心
小企业融资研究中心
金融科学实验中心

Tenure-track faculty member——Xiaoneng Zhu
发布时间:2015-1-22 来源:本站原创  


朱小能: 南洋理工大学经济学博士, 奥胡斯大学经济学硕士。其主要研究方向为资产定价、固定收益证券、宏观经济与金融市场、以及证券投资。曾在多个国际期刊上发表多篇学术论文,包括Review of Finance, Journal of Banking and Finance, Journal of Empirical Finance, Journal of Financial Econometrics等。朱博士是Economic Journal, Journal of Banking and Finance, Journal of Applied Econometrics, Journal of Futures Markets等国际期刊匿名审稿人,并应邀多次参与国际会议的组织工作。

 工作论文

1.  What Drives the International Bond Risk Premia and Other Asset Returns? (with Guofu Zhou)

2. An Arbitrage-Free Nelson-Siegel Model with Unspanned Stochastic Volatility for the Pricing of Interest Rate Derivatives. (with Rui Chen, Ke Du) 。

3. Information Quality, Heterogeneous Beliefs and Asset Pricing. (with Zhenjiang Qin, and Jie Zhu).

4. Regime Shifts in Term Structure Modeling: An Asset Allocation Perspective. (with Rui Chen and Ke Du)
 
5 Multi-Factor Volatility and Stock Returns. (with Zhongzhi Lawrance He, Jie Zhu).

6. Ambiguity and Bond Pricing (with Ting Wu)

发表论文

17. Regime Shifts, Macro Factors, and the Term Structure of Interest Rates. Journal of Macroeconomics, forthcoming. (with Shahidur Rahman)

16. Tug-of-War: Time-Varying Predictability of Stock Returns and Dividend Growth. Review of Finance, forthcoming.

15. Out-of-sample Bond Risk Premium Predictions: A Global Common Factor. Journal of International Money and Finance, 2015, 51, 155-173.

14. European Business Cycles and Stock Return Predictability. Finance Research Letters, forthcoming. (with Yanjian  Zhu).

13. Capital Gains and Trading.  Journal of International Financial Markets, Institutions & Money, 2014, 32, 167-183. (with Xiaoyan Lei, Yuegang Zhou).

12. Predicting Stock Returns: A Regime-Switching Combination Approach and Economic Links. Journal of Banking and Finance, 2013, 37, 4120-4133. (with Jie Zhu)    November

11. Perpetual Learning and Stock Return Predictability. Economics Letters, 2013, 121, 19-22.   October

10. Peso Problems and Term Structure Anomalies of Repo Rates. Review of Finance,  2014, 18, 1183-1215.
 
9. Intraday Asymmetric Liquidity and Asymmetric Volatility in FTSE-100 Futures Market.  Journal of Empirical Finance 2014, 25, 134-148. (with Ju Xiang)

8. Capital gains, Illiquidity, and Stock Returns. Pacific-Basin Finance Journal, 2013, 25, 273-293. (With Xiaoyan Lei, and Yuegang Zhou)

7. Yield Factors, the Expectations Hypothesis and Regime Shifts. Annals of Economics and Finance, 2014, 15-2, 415-434. (with Rui Cao, and Shahidur Rahman)

6. The Reaction of International Stock Markets to Federal Reserve Policy. Financial Markets and Portfolio Management, 27, 2013, 1-27. (With Jing Wang)

5. A Regime-Switching Nelson-Siegel Term Structure Model and Interest Rate Forecasts. Journal of Financial Econometrics, 2013, 11(3), 522-555. (with Ju Xiang)

4. Credit Spread Changes and Monetary Policy Surprises: The Evidence from the Fed Funds Futures Market.  Journal of Futures Markets, 2013, 33, 103-128.

3. Impact of the Share Structure Reform on the Role of Operating Related Party Transactions in China. Emerging Markets Finance and Trade 2012, 48, 73-94. (with Yanjian Zhu)

2. A Note on the Predictability of Excess Bond Returns and Regime Shifts. Finance Research Letters 2011, 8, 101-109.

1. Revisiting the Expectations Hypothesis: Regime Shifts and the Japanese Term Structure. Journal of Economics and Business 2011, 63, 237-249.

 

科研基金

1. 国家自然科学基金面上项目
“基于多重预期与不确定性的货币政策和金融市场非线性关系研究”;

2.教育部人文社会科学研究青年项目
“利率期限结构与宏观经济变量的动态相依性——机制转换模型及实证”;

3.上海市浦江人才计划(社会科学类)课题
“基于利率期限结构的通胀风险及风险溢价研究”;

4. 教育部培育课题
“金融市场与货币政策关系研究”;

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