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任 宇个人简介

被阅览数：次  发布时间:2012/04/01 10:32:15



任宇

Yu Ren

Associate Professor
The Wang Yanan Institute for Studies in Economics (WISE)    
Xiamen University
Fujian, China, 361005
Phone:   86-592-218-6025
Fax:      86-592-218-7708
Email:    renxmu@gmail.com

 
Research interests:
 
Financial Econometrics,   Financial Economics,  Applied Econometrics, Econometric Theory
 
 
Education:
 
Ph.D. in Economics, Queens University, Canada 2008;
M.A. in Economics, University of Guelph, Canada 2003;
B.A. in Economics & B.Sc. in Mathematics, Wuhan University, P.R.China, 2001

 
PUBLICATIONS:
 
1.Improvement in Finite-Sample Properties of GMM-Based Wald Tests  (with Q. Chen) Computational Statistics (forthcoming)
2.Nonparametric Estimation and Testing of Stochastic Discount Factor (with  Y.  Fang and Y. Yuan).  Finance Research      Letters 2011, 8, 196-205.
3.Exploring the relationship between vehicle safety and fuel eciency in automotive design (with C.  Chen). Transportation Research Part D, 2010, 15, 112-116.
4.Improvement in Finite Sample Properties of the Hansen-Jagannathan Distance Test (with  K.  Shimotsu). Journal of Empirical Finance, 2009, 16, 483-506.
5.Airline Strategic Alliances (with C. Chen). Transportation Journal, 2007, 46, 21-36.

WORKING PAPERS:

1.House Price Bubbles in China (with C. Xiong and Y. Yuan)  in submission

2.Explaining Residential Investment over the Business Cycle: The Importance of Information and Collateral Constraints (with Y. Yuan)  in submission

3.Time-Varying Betas in CAPM (with Y. Fang and Z. He) in submission

4.Nonparametric Estimation of State-Price Densities in Interest Rate Options (with Y. Yuan) in submission

5.A New Estimation on Time-varying Betas in Conditional CAPM (with Z. Cai)  in submission

6.Human Capital, Durable Goods and Asset Returns (with Y. Yuan and Y. Zhang) in submission

7.The Welfare Effects of Social Insurance in a Production Economy with Limited Enforcement (with Y. Yuan) (2007)

8.Nonparametric Pricing Kernels (with Z. Cai and L. Sun) (2010)

9.A Direct Bootstrap Test on the Conditional CAPM (with Z. Cai and X. Li)  (2010)

Working in Progress:

Portfolio and Instrument Selections (with Z. Cai and Z. Peng)

Why China House Prices Increase Rapidly? (with Y.Yuan and G. Zhu)

CCAPM with Liquidity Shocks (with Q. Wang and Y. Yuan

Conference Presentation:
 
May 2010, Canadian Economic Association Meeting, Quebec City, Canada
April 2010, International Symposium on Econometric Theory and Applications, Singapore.
Oct. 2007, Midwest Econometrics Group Meeting, St. Louis, U.S.A.
Sept. 2007, Canadian Econometric Study Group Meeting, Montreal, Canada
Jun. 2007, International Symposium on Financial Engineering and Risk Management, Beijing, P.R.China
Oct. 2006, Canadian Econometric Study Group Meeting, Niagara Falls, Canada
May 2006, Canadian Economic Association Meeting, Montreal, Canada
 

Teaching:

Mathematical Economics  (undergraduate level and graduate level)
Time Series  (graduate level)

Referee：

Journal of Financial Econometrics, China Finance Review
 

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