Huang Yirong
Associate professor
贰尘补颈濒:huangyr@mail.sysu.edu.cn
Research Areas:Financial Econometrics, Risk Management, Quantitative Finance, Applied Statistics
- Biography
Summary
Huang Yirong is currently an Associate professor at School of Business, Sun Yat-sen University. He received his PhD in Economics from Xiamen University. He was senior visiting scholar of Stanford University, USA. He currently delivers lectures to undergraduate, Graduate and MBA) on financial investment, intelligent finance, risk management, quantitative finance, financial measurement, applied statistics and other related fields. He has been published more than 50 papers in SCI, SSCI, EI, CSSCI and other important journals, and 2 books. He has hosted over more than 10 scientific research projects supported by the National Social Science Foundation of China, the National Science Foundation of China, the?Humanities and Social Sciences Foundation of Ministry of Education of China, etc.
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Research Areas
Financial Econometrics, Risk Management, Quantitative Finance, Applied Statistics
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Educational Background
Doctor of Philosophy, Economics (Statistics), Xiamen University, Xiamen, PRC 2004
Master of Economics (Statistics), Jiangxi University of Finance & Economics, Nanchang, PRC 2001
Bachelor of Mathematics, Jiangxi Normal University, Nanchang, PRC 1998
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Professional Experiences
Assistant Professor, Sun Yat-sen University, PRC 2004 to 2006
Associate Professor, Sun Yat-sen University, PRC 2007 to present
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- Publications
Wan, Z.L., Li, H.Y., Luo, Y., Huang, Y.R.( Corresponding author), 2022, A novel Bayesian approach to estimate long memory parameter, Journal of Statistical Computation and Simulation, 92(5), 1078–1091. https://doi.org/10.1080/00949655.2021.1985496 (SSCI)
Yu, X.L., Huang, Y.R.(Corresponding author), Xiao, K.T., 2021, Global economic policy uncertainty and stock volatility: evidence from emerging economies, Journal of Applied Economics, 24(1), 416–440. (SSCI)
Yu, X.L., Huang, Y.R. (Corresponding author), 2021. The impact of economic policy uncertainty on stock volatility: Evidence from GARCH–MIDAS approach. Physica A: Statistical Mechanics and its Applications 570, 125794. (SCI)
Ding, L., Luo, Y., Lin, Y., Huang, Y.R. (Corresponding author), 2021. Revisiting the relations between Hurst exponent and fractional differencing parameter for long memory. Physica A: Statistical Mechanics and its Applications 566, 125603. (SCI)
Huang, Y.R. (Corresponding author), Bai, Y.X., 2021. Is it “Intentional Herding” or “Spurious Herding”? The Influence of Network Contagion Degree on the Pricing Efficiency of Capital Market. Chinese Journal of Management Science, 29(9), 12-24. 10.16381/j.cnki.issn 1003-207x.2019.1155 (CSSCI)
Wang R.T., Li, W.Q., Huang, Y.R. (Corresponding author), 2019. Trade Friction, Intraday Jump and Stock Index Volatility——Evidence from High-Frequency Data on Chinese Stock Indices. Studies of International Finance, 12, 63-73. 10.16475/j. cnki.1006-1029.2019.12.007 (CSSCI)
Luo, Y., Huang, Y.R. (Corresponding author), 2019. Long memory or structural break? Empirical evidences from index volatility in stock market. China Finance Review International 9, 324–337. (ESCI)
Luo, Y., Huang, Y.R. (Corresponding author), 2018. A new combined approach on Hurst exponent estimate and its applications in realized volatility. Physica A: Statistical Mechanics and its Applications 492, 1364-1372. https://doi.org/10.1016/j.physa.2017.11. 063. (SCI).
Zhang, Q.S., Xing, H.Y., Liu, F.C., Huang, Y.R. (Corresponding author), 2014. An enhanced grey relational analysis method for interval-valued intuitionistic fuzzy multiattribute decision making. Journal of Intelligent & Fuzzy Systems 26, 317-326. (SCI)
Ding, L., Huang, Y.R.(Corresponding author), Pu, X.L. 2014. Volatility Linkage across Global Equity Markets, Global Finance Journal 25(2): 71-89, doi: 10.1016/j.gfj.2014.06.002. (SSCI).
Zhang, Q., Huang, Y.R.(Corresponding author), 2012. Intuitionistic fuzzy automata based on complete residuated lattice-valued logic. IJMPT 45(1/2/3/4), 108-118. (SCI)
Huang, Y.R. 2018. Financial Quantitative Analysis with MATLAB. Tsinghua University Press, Beijing.
Huang, Y.R. 2006. Fractal Structure in China Stock Market: Theoretical and Empirical Research. Sun Yat-Sen University Press, Guangzhou.
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- Current Research
Hybrid Forecasting Model of Financial Volatility based on Deep Learning and Big Data. The?Humanities and Social Sciences Youth Foundation of Ministry of Education of China. 2023.1-2025.12. PI: Yirong Huang.
Financial risk measuring based on Deep Learning and ESG News. National Science Foundation of Guangdong. 2022.1-2024.12. PI: Yirong Huang.
Detection of Real and Spurious Long Memory in Time Series and its Applications in Volatility Forecast. National Social Science Foundation of China., 2015.6-2020.12. PI: Yirong Huang.
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- Teaching
Financial Econometrics (Graduate), Risk Management (Graduate and Undergraduate), Quantitative Finance (Graduate and Undergraduate), Data, Model and Decision (MBA), Financial Markets, Instruments, and Institutions (MBA), Finance and Investment (Graduate), Project Risk Management (MPM), Statistics in Business and Economics (Undergraduate).