| 代表性论文 |
|---|
| Yuan, H., Lu, K., Li, G., Alan T. K. and Zhou, Y.. Heterogeneous autoregressive modeling with flexible cascade structures. Statistica Sinica, 2026, doi:10.5705/ss.202024.0308. |
| 宋馨雨, 邓媛元, 周勇, 苑慧玲*. 多元GARCH-Ito 模型及其在高维波动率矩阵预测中的应用. 中国管理科学, 2026, 34: 33-48. |
| Yuan, H., Lu, K. and Li, G.. Volatility analysis with high-frequency and low-frequency historical data, and options-implied information. Statistica Sinica, 2025, 35: 2305-2323. |
| Yuan, H., Lu, K., Li, G. and Wang, J.. High-frequency-based volatility model with network structure. Journal of Time Series Analysis, 2024, 45: 533-557. |
| Yuan, H., Zhou, Y., Zhang, Z. and Cui, X.. Volatility analysis for the GARCH-Ito model with option data. The Canadian Journal of Statistics, 2024, 52: 237-270. |
| Yuan, H., Sun, Y., Xu, L., Zhou, Y. and Cui, X.. A new volatility model: GQARCH-Ito model. Journal of Time Series Analysis, 2022, 43: 345-370. |
| Song, X., Kim, D., Yuan, H., Cui, X., Lu, Z., Zhou, Y. and Wang, Y.. Volatility analysis with realized GARCH-Ito models. Journal of Econometrics, 2021, 222: 393-410. |
| Yuan, H., Mu, Y. and Zhou, Y.. Leverage effect in high-frequency data with market microstructure. Statistics and Its Interface, 2020, 13: 91-101. |
| 苑慧玲, 徐路, 周勇. 带有市场交易信息和随机微观噪声下的杠杆效应研究. 中国管理科学, 2020, 28: 12-22. |
| 穆燕, 苑慧玲, 周勇. 高频金融数据的积分高维波动率矩阵估计. 中国科学, 2018, 48: 319-344. |
| 科研项目 |
|---|
| 国家自然科学基金青年项目(C类)，2025.01-2027.12，项目负责人 |
| 国家自然科学基金重点项目, 2026.01-2030.12，子课题二负责人 |
| 中国博士后科学基金第74批面上资助项目，已结题，项目负责人 |
| 人才项目 |
|---|
| 上海市海外青年高层次人才计划 |
| 上海市白玉兰人才计划浦江项目A类 |
