王馨徽

职位:助理教授

研究方向:理论与应用计量经济学、实证金融学、经济学预测

最高学历:南加州大学经济学博士

办公电话:0755-2603 1960

办公室:汇丰大楼629

Email:cindywang@phbs.pku.edu.cn

Back to list

简介

研究领域:

理论与应用计量经济学、实证金融学、经济学预测

 

教育背景:

南加州大学经济系博士,美国,2008年8月

南加州大学数学金融系硕士(课程完成),美国,2005年8月

暨南国际大学经济系硕士台湾,1999年6月,

淡江大学数学与统计学系学士,台湾,1998年6月

科研

已发表论文:
Cindy S.H. Wang * Cheng Hsiao and Hao Hsiang Yang:---Market  integration, systemic risk and diagnostic tests in large mixed panel, forthcoming, 2021,  Econometric  Reviews (SSCI) .
 
Yi Chi Chen and Cindy S.H. Wang—A fresh look at risk-return tradeoff, conditionally accepted for publication, 2021, Pacific Basin Finance Journal (SSCI).
 
Cindy S.H. Wang and Shui Ki Wan: ― A simple forecast of VARMA models subject to breaks,  Advanced in Econometrics(SJR impact factor, 1.394; ranked at 115, closer to Econometric Reviews at 108 with impact factor 1.514), Chapter 4, Vol 41, 2020.
 
Cindy, S.H. Wang* , Shui Ki Wan and Donald D.H. Lien: A comprehensive study to out-of-sample premium prediction , outstanding best research paper award, Journal of Financial Studies (TSSCI, best finance journal in Taiwan),  forthcoming , 2021.   
Cheng Few Lee, Cindy S.H. Wang* and Andrew Y.M. Xie,:---Exchange Rate Risk in the U.S. stock market:-- A Pooled Panel Data Regression Approach,  SFM-JFS  Award  by the 25th  Conference on the Theories and Practices of Securities and Financial Markets ;  Journal of Financial Study (TSSCI, best finance journal in Taiwan)(listed on SSRN’s Top 10 downloaded list ), forthcoming2021.
 
Cindy S.H. Wang and Christian Hafner: ― A Simple Solution to Spurious Regression Problems, Studies in Nonlinear Dynamic and Econometric(SSCI)s, 2018, 1-14.  
 
Cindy S.H. Wang, Luc Bauwens and Cheng Hsiao: ― Forecasting the long memory processes with structural breaks ‖, Journal of Econometrics(SSCI), 2013, 117, 171-184..
 
 Shui ki Wan, Cindy S. H. Wang and Chi Keung Woo: ― Aggregate or Disaggregate? Evidence from Hong Kong Total Tourist Arrival Forecast s, Annals of Tourism Research (SSCI , 5-year impact factor: 3.356, A level ) , 2013 , 42, 434-438.
 
Cindy S.H. Wang and Chrysovalantis Vasilakis: ― Recursive structural break tests for structural change of long memory ARFIMA processes with unknown break points, Economics Letters (SSCI), 2013, Vol. 118 (2), 389-392.
 
Cindy Shin-Huei Wang* and Cheng Hsiao: ― The Real Time Monitoring Tests for Realized Volatilities, Journal of Time Series Econometrics, 2013, Vol. 5(1), 1-24. (Leading article)
(SJR impact factor 0.938; LSE New Journal with the great editorial board).
 
Shui Ki Wan, Shin-Huei Wang* and Yi Meng Xie: ― The time-varying approach to reexamining the Chinese RMB, Empirical Economics Letters, 2013, Vol 12 , Number 4.
 
Cindy S.H. Wang and Christian Hafner: ― Estimating Autocorrelations in the Presence of Deterministic Trends, Journal of Time Series Econometrics, 2011, Vol 3, issue 2, Article 4.
(SJR impact factor 0.938; LSE New Journal with the great editorial board).
 
Shin-Huei Wang* and Cheng Hsiao: ― The role of China in the Asian Monetary Integration, The Chinese Economy(Thomson Reuters: ESCI), 2010, No 6, 24-33.
 
图书章节:
Cindy S.H. Wang* and Y.M. Xie ― Structural change and monitoring tests , The Handbook of Econometrics and Statistics , Chapter 31,  Springer, 2015.
 
Shin-Huei Wang* and Cheng Hsiao: ― Mean variance portfolio allocation Encyclopedia of Finance, edited by Cheng Few Lee, Kluwer, 2006, Chapter 19, 457-469.
 
Shin-Huie Wang: ― Jump diffusion model , Encyclopedia of Finance, edited by Cheng Few Lee, Kluwer, 2006, Chapter 43, 676-688.