People

Dr Yuqian Zhao

Lecturer
EBS - Finance
Dr Yuqian Zhao
  • Email

  • Telephone

    +44 (0) 1206 873086

  • Location

    EBS.3.126H, Colchester Campus

  • Academic support hours

    Wednesday 9:00 - 10:00 Thursday 9:00 - 11:00

Profile

Biography

I joined EBS in September 2019. Prior to this appointment, I was a Post-doctoral fellow in the Department of Statistics and Actuarial Science at University of Waterloo, Canada. My research interests lie in the areas of Financial Econometrics and Quantitative Finance.

Qualifications

  • PhD in Economics University of Birmingham, (2017)

Appointments

Other academic

  • Post-Doctoral Fellow, University of Waterloo (1/12/2017 - 31/8/2019)

Research and professional activities

Research interests

Financial Econometrics

Quantitative Finance

Intra-day Curve Data Analysis

Structural Break

Teaching and supervision

Current teaching responsibilities

  • Quantitative Foundations of Finance (BE312)

  • Data Analytics in Finance (BE367)

  • Finance Research Techniques Using Matlab (BE368)

  • Student Success Tutorial (BE917)

Publications

Journal articles (7)

Rice, G., Wirjanto, T. and Zhao, Y., (2020). Forecasting Value at Risk via Intra-day Return Curves. International Journal of Forecasting. 36 (3), 1023-1038

Rice, G., Wirjanto, T. and Zhao, Y., (2020). Tests for conditional heteroscedasticity of functional data. Journal of Time Series Analysis. 41 (6), 733-758

Ji, Q., Zhang, D. and Zhao, Y., (2020). Searching for safe-haven assets during the COVID-19 pandemic. International Review of Financial Analysis. 71, 101526-101526

Cao, R., Horváth, L., Liu, Z. and Zhao, Y., (2019). A study of data-driven momentum and disposition effects in the Chinese stock market by functional data analysis. Review of Quantitative Finance and Accounting. 54 (1), 335-358

Barassi, M., Horváth, L. and Zhao, Y., (2018). Change‐Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models. Journal of Business and Economic Statistics. 38 (2), 340-349

Barassi, M. and Zhao, Y., (2018). Combination Forecasting of Energy Demand in the UK. The Energy Journal. 39 (01)

Barassi, MR., Spagnolo, N. and Zhao, Y., (2018). Fractional Integration Versus Structural Change: Testing the Convergence of CO2 Emissions. Environmental and Resource Economics. 71 (4), 923-968

Contact

y.zhao@essex.ac.uk
+44 (0) 1206 873086

Location:

EBS.3.126H, Colchester Campus

Academic support hours:

Wednesday 9:00 - 10:00 Thursday 9:00 - 11:00