Name: Yan Yayi
Title: Associate Professor
Research Areas: Time Series Analysis, Panel Data Analysis, Empirical Asset Pricing
Courses Taught: Financial Stochastic Analysis, Mathematical Statistics
E - mail：yanyayi@mail.shufe.edu.cn, yanyayi0812@gmail.com
Phone: 021-35304767
Research Project
Serial Number | Project Name | Project Number | Project source | Start and End Time | Project Funding |
1 | Theoretical and Applications of Time-Varying Coefficient Vector Error Correction Model | 72303142 | National Natural Science Foundation of China Youth Project | 2024.01 to 2026.12 | 300,000 yuan |
Research Field
Locally stationary time series, interaction effect panel data model, high-dimensional factor model, stock market return prediction, fund performance evaluation
Education Experience
2019.07-2022.09, Monash University, Monash Business School, PhD in Econometrics
2017.09-2019.06, Nankai University, School of Finance, Master's in Financial Engineering
2013.09-2017.06, Huazhong University of Science and Technology, School of Economics, Bachelor of Financial Engineering
Work Experience
2024.07-Present Shanghai University of Finance and Economics School of Statistics and Management Associate Professor
2022.10-2024.06 Shanghai University of Finance and Economics School of Statistics and Management Assistant Professor
Research Achievements
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
Rewards, Honors
1. Selected for the Shanghai Leading Talent (Overseas) Youth Program (2023)
2. The doctoral dissertation won the “2022 Vice Chancellor’s Commendation Award for Thesis Excellence.”
