童晨
童晨
  • 邮箱: tongchen@pku.edu.cn
2016-2021,金融学博士在读,北京大学国家发展研究院(导师:黄卓,沈艳)
2019-2020,访问学者,美国杜克大学经济系(导师:李嘉,Peter Reinhard Hansen)
2012-2016,理学学士,北京大学化学与分子工程学院
2013-2016,经济学双学位,北京大学国家发展研究院,
[1] The Predictive Power of Macroeconomic Uncertainty for Commodity Futures Volatility (with Zhuo Huang and Fang Liang), International Review of Finance, forthcoming. http://dx.doi.org/10.1111/irfi.12310.
[2] Which Model for Option Valuation in China? Empirical Evidence from SSE 50 ETF Options (with Zhuo Huang and Tianyi Wang), Applied Economics, 52, 1866-1880, 2020.
[3] VIX Term Structure and VIX Futures Pricing with Realized Volatility (with Zhuo Huang and Tianyi Wang), Journal of Futures Markets, 39, 72-93, 2019.
[4] The Spillover of Macroeconomic Uncertainty between the U.S. and China (with Zhuo Huang, Yan Shen and Han Qiu), Economics Letters, 171, 123-127, 2018.
[5] 测量中国的金融不确定性:基于大数据的方法(与黄卓、沈艳、邱晗合著),《金融研究》, 2018年第11期。
[6] 最低工资、流动人口失业与犯罪(与张丹丹、李力行合著),《经济学(季刊)》,2018第3期。
[7] 经济不确定性对金融市场的影响:一个文献综述(与黄卓、梁方合著),《金融科学》,2017第2期。
[1] Option Pricing with Time-Varying Volatility Risk Aversion (with Peter Reinhard Hansen), working paper 2020. https://sites.google.com/site/peterreinhardhansen/research-papers
[2] Option Pricing with the Realized GARCH Model: The Role of Time-Varying Risk Aversion
(with Peter Reinhard Hansen and Zhuo Huang), working paper 2020.
[3] The Effects of Economic Uncertainty on Financial Volatility: A Comprehensive Investigation (with Zhuo Huang, Tianyi Wang and Cong Zhang), working paper 2020.
[4] Volatility Spillover along the Forward Curve: Empirical Evidence from the Realized Volatility of Crude Oil Futures (with Zhuo Huang, Fang Liang and Xiaoyong Cui), working paper 2020.
2019-2022:国家自然科学基金面上项目“基于已实现测度和隐含信息期限结构的衍生品定价研究”(项目号71871060,负责人:王天一),课题参与人。
2017-2020:国家自然科学基金面上项目“基于高频金融数据的期权定价新模型:理论和实证研究”(项目号71671004,负责人:黄卓),课题参与人。
2020:计量编程与数据分析(本科),讲授MATLAB编程和应用
2018:高级计量经济学II(研究生专业课),优秀助教
2016:中级计量经济学(本科),优秀助教
学术期刊审稿人:Journal of Econometrics,Journal of Financial Econometrics,Journal of Futures Markets,《经济学(季刊)》
2020-2021 北京大学博士研究生校长奖学金(研究生最高荣誉)
2019-2020 北京大学博士研究生校长奖学金(研究生最高荣誉)
2018-2019 北京大学博士研究生校长奖学金(研究生最高荣誉)
2018-2019 北京大学学术创新奖
2017-2018 北京大学学术创新奖
2016-2017 北京大学优秀科研奖