严雅毅

姓　　名：严雅毅

职　　称：副教授
研究方向：时间序列分析，面板数据分析，实证资产定价
教授课程：金融随机分析，数理统计                   

E - mail：yanyayi@mail.shufe.edu.cn, yanyayi0812@gmail.com

电话：021-35304767             

局部平稳时间序列，交互效应面板数据模型，高维因子模型，股市收益率预测，基金绩效评估

2019.07-2022.09，Monash University, Monash Business School，计量经济学博士

2017.09-2019.06，南开大学，金融学院，金融工程硕士

2013.09-2017.06，华中科技大学，经济学院，金融工程学士

2024.07-至今    上海财经大学统计与管理学院 副教授

2022.10-2024.06  上海财经大学统计与管理学院 助理教授

Working Papers:

“Robust Estimation and Inference for High-Dimensional Panel Data Models”, R&R at Journal of Econometrics (with Jiti Gao, Fei Liu and Bin Peng)

“An Adaptive Residual-Based Test for Factor Structure”, R&R Journal ofBusiness & Economic Statistics (with Yufeng Mao).

Selected Publications:

12. “A Robust Residual-Based Test for Structural Changes in Factor Models”, (with Bin Peng and Liangjun Su), Journal of Econometrics, 251, 106042, 2025

11. “Time-Varying Vector Error-Correction Models: Estimation and Inference”, (with Jiti Gao and Bin Peng), Journal of Econometrics, 251, 106035, 2025

10. “A System of Time-Varying Models for Predictive Regressions”, (with Deshui Yu), Journal of Empirical Finance, 82, 101622, 2025

9. “Asymptotics for Time-Varying Vector MA(∞) Process”, (with Jiti Gao and Bin Peng), Econometric Theory, 41 (3), 584-616, 2025

8. “Higher-order Expansions and Inference for Panel Data Models”, (with Jiti Gao and Bin Peng), Journal of the American Statistical Association (Theory and Methods), 119,  2760-2771, 2024

7. “Time-Varying Multivariate Causal Processes”, (with Jiti Gao, Bin Peng and Wei Biao Wu), Journal of Econometrics, 240 (1), 105671, 2024

6. “Estimation, Inference and Empirical Analysis for Time-Varying VAR Models”, (with Jiti Gao and Bin Peng), Journal of Business & Economic Statistics, 42 (1), 310-321, 2024

5. “Binary Response Models for Heterogeneous Panel Data with Interactive Fixed Effects”, (with Jiti Gao, Fei Liu and Bin Peng), Journal of Econometrics, 235 (2), 1654-1679, 2023

4. “Joint Dynamics of Stock Returns and Cash Flows: A Time-Varying Present-Value Framework”, (with Deshui Yu), Financial Management, 52 (3), 513-541, 2023

3. “De facto Time-Varying Indices-Based Benchmarks for Mutual Fund Returns”, (with Tingting Cheng and Cheng Yan), Journal of Financial Research, 46 (2), 469-496, 2023

2. “Factor-Augmented Forecasting Regressions with Threshold Effects”, (with Tingting Cheng), The Econometrics Journal, 25 (1), 134-154, 2022

1. “Improved Inference for Fund Alphas Using High-Dimensional Cross-Sectional Tests”, (with Tingting Cheng and Cheng Yan), Journal of Empirical Finance, 61: 57-81, 2021

1.入选上海市领军人才（海外）青年项目（2023）

2.博士论文获“2022 Vice Chancellor’s Commendation Award for Thesis Excellence”