联系方式

办公室地址: 首都经济贸易大学丰台校区安工楼215室

电话: 15236624056

电子邮箱: cueb_sun@163.com

个人信息

外语：英语

计算机编程语言：MATLAB, STATA, LATEX

研究领域：计量经济学，高频金融数据分析

教育经历

西班牙庞培法布拉大学金融学博士，2017年3月

西南财经大学金融学院经济学学士，2010年6月

工作经历：

首都经济贸易大学国际经济管理学院，助理教授，2017年9月至2018年11月

首都经济贸易大学国际经济管理学院，副教授，2018年12月至今

教学经历： 公司金融(研究生), 计量经济学导论 (本科生)，金融建模与数据分析（本科生）

发表论文：

1. Realized networks (2018), 合作者: Christian Brownlees, Eulalia Nualart. Journal of Applied Econometrics, 33,986-1006

2. Detecting price jumps in the presence of market microstructure noise (2019), Journal of Nonparametric Statistics, 31, 769-793

3. On the estimation of integrated volatility in the presence of jumps and microstructure noise (2020), 合作者: Christian Brownlees, Eulalia Nualart, Econometric Reviews, 39, 991-1013

4. A factor-based estimation of integrated covariance matrix with noisy high-frequency data (2022)，合作者: Wen Xu，Journal of Business and Economic Statistics, 40, 770-784

5. Identifying latent factors based on high-frequency data (2023), 合作者: Wen Xu, Chuanhai Zhang， Journal of Econometrics, 233, 251-270

6. “好”的与”坏”的跳跃溢出：基于相互激励跳跃视角 (2023), 合作者：许文,张传海， 系统工程理论与实践，43(4), 1068-1087

7. Testing for jumps with robust spot volatility estimators, Statistica Neerlandica, accepted

科研项目

主持国家自科青年基金项目，“对中国金融资产波动的稳健性估计及其应用“，2022-2024

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Personal information

Language: Chinese (native), English (fluent)

Programming skill: MATLAB, STATA, LATEX

Research interests: Econometrics, High-frequency data

Email: cueb_sun@163.com

Educational background

Ph.D. in Finance, Universitat Pompeu Fabra, 2017

Bachelor in Economics, Southwestern University of Finance and Economics, 2010

Working experience

2017.9-2018.11, Capital University of Economics and Business, Assistant Professor

2018.12-present, Capital University of Economics and Business, Associate Professor

Teaching experience

Corporate Finance (for Master students), Econometrics (for undergraduates), Financial modelling and data analysis (for undergraduates)

Publications

1.Christian Brownlees, Eulalia Nualart, Yucheng Sun, 2018, Realized networks, Journal of Applied Econometrics, 33(7), 986-1006

2.Yucheng Sun, 2019, Detecting price jumps in the presence of market microstructure noise, Journal of Nonparametric Statistics, 31(3), 769-793

3.Christian Brownlees, Eulalia Nualart, Yucheng Sun, 2020, On the estimation of integrated volatility in the presence of jumps and microstructure noise, Econometric Reviews, 39(10), 991-1013

4.Yucheng Sun, Wen Xu, 2022, A factor-based estimation of integrated covariance matrix with noisy high-frequency data, Journal of Business & Economic Statistics, 40(2), 770-784

5.Yucheng Sun, Wen Xu, Chuanhai Zhang, 2023, Identifying latent factors based on high-frequency data, Journal of Econometrics, 233(1), 251-270

6.Chuanhai Zhang, Yucheng Sun, Wen Xu, 2023, Good and bad jump spillovers: A perspective of mutually exciting jumps[J]. Systems Engineering — Theory & Practice, 43(4): 1068–1087

7.Yucheng Sun, 2023, Testing for jumps with robust spot volatility estimators, Statistica Neerlandica, accepted

Research grant:

Jan. 2022-Dec. 2024, 主持 “对中国金融资产波动的稳健性估计及其应用", National Natural Science Foundation of China