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李海奇

时间:2019-10-10

姓名:李海奇

职称:教授、博士生导师

办公地点:9778818威尼斯财院校区红楼2号214

研究方向:金融计量经济学、实证资产定价、数字经济

讲授课程:计量经济学、高级计量经济学、金融计量经济学、微观计量经济学

个人简介

李海奇,男,湖南邵阳人,厦门大学经济学博士,现为9778818威尼斯教授、博士生导师,副院长。曾任美国康奈尔大学经济学系访问学者(2014.8-2015.8)。目前研究方向为金融计量经济学、统计学和数字经济,研究成果发表于经济学国际顶尖和权威期刊以及中文重点期刊,如Journal of Econometrics,Econometric Reviews, Journal of Futures Markets, International Review of Financial Analysis, Economics Letters,《数量经济技术经济研究》《统计研究》《中国管理科学》等。曾主持湖南省自然科学基金杰出青年项目一项、国家自然科学基金项目三项、教育部人文社科规划基金项目两项等多项国家和省部级科研项目。曾获得9778818威尼斯科研标兵、9778818威尼斯优秀教师、9778818威尼斯财经教育基金优秀青年教师奖、9778818威尼斯本科毕业论文优秀指导教师等荣誉或奖励。

招生要求:对学术研究具有浓厚的兴趣,经济学、金融学和数理基础良好。联系方式lihaiqi00@hnu.edu.cn

教育背景

2007.09—2011.06. 厦门大学王亚南经济研究院,获经济学博士学位;

(导师:洪永淼教授、Sung Y. Park教授)

2004.09—2007.06. 湘潭大学商学院,获经济学硕士学位(导师:屠新曙教授);

1999.09—2003.06. 湘潭大学数学与计算科学学院,获理学学士学位.

代表性论文:

[1]Haiqi Li, Jin Zhou and Yongmiao Hong (2024) Estimating and Testing for Smooth Structural Changes in Moment Condition Models, Journal of Econometrics, 246,105896. (第二作者为本人博士生)

[2] 张晶、王子健、李海奇2024)“金融科技发展对我国共同富裕的影响——基于畅通国内大循环的视角”,《计量经济学报》,第四卷第4期,20247月,1091-1123.(通讯作者;第一作者为本人博士生,第二作者为本人硕士生)

[3] 钟婉玲,李海奇2024),“股市互联与尾部风险溢出效应研究”,《计量经济学报》,4(2),467-486. (通讯作者)

[4] Qitong Chen, Yongmiao Hong andHaiqi Li (2024)“Time-varying forecast combination for factor-augmented regressions with structural changes,” Journal of Econometrics, 240, 105693.(通讯作者;第一作者为本人博士生)

[5] Yue Hu, Haiqi Li and Falong Tan (2024)“Testing the parametric form of the conditional variance in regressions based on distance covariance”,Computational Statistics & Data Analysis, 189,107851.(第一作者为本人博士生)

[6] Xingyi Chen,Haiqi Liand Jing Zhang (2023)“Complete subset averaging approach for high-dimensionalgeneralized linear models”,Economics Letters, 226, 111084.(通讯作者;第一作者为本人博士生)

[7] 李海奇,张晶(2022)“金融科技对我国产业结构优化与产业升级的影响”,《统计研究》,39(10), 102-118.(第二作者为本人博士生)

[8] 钟婉玲,李海奇(2022),“国际油价、宏观经济变量与中国股市的尾部风险溢出效应研究”,《中国管理科学》,30(2),27-37. (通讯作者)

[9] Haiqi Li, Xingyi Chen and Jufang Liang (2022)“Shrinkage estimation of panel data models with interactive effects”,Economics Letters, 210, 110228.(第二作者为本人博士生)

[10] Jin Zhou,Haiqi Li and Wanling Zhong (2021)“A modified Diebold–Mariano test for equal forecast accuracy withclustered dependence”,Economics Letters,207, 110029.(第一作者为本人博士生)

[11] Jinjin Jiang,Haiqi Li(2018)“A new measure for market efficiency and its application,” Finance Research Letters, 34,101235.(第一作者为本人硕士生)

[12] Haiqi Li, Ying Liu and Sung Y. Park (2018) “Time-varying Investor Herding in Chinese Stock Markets,”International Review of Finance,18(4), 717-726.(第二作者为本人硕士生)

[13] Haiqi Li and Sung Y. Park (2018) “Testing for a unit root in a nonlinear quantile autoregression framework,” Econometric Reviews, 37(8), 867–892. (曾入选ESI全球前1%高被引论文)

[14] Haiqi Li and Chaowen Zheng (2018) “Unit root quantile autoregression testing with smooth structural changes,”Finance Research Letters, 25, 83-89.(第二作者为本人硕士生)

[15] Haiqi Li, Rui Fan and Sung Y. Park (2018) “Generalized empirical likelihood specification test robust to local misspecification,”Economics Letters, 171, 149-153.

[16] Haiqi Li, Yu Guo and Sung Y. Park (2017) “Asymmetric Relationship between investor's sentiment and stock returns: evidence from a quantile non-causality test,”International Review of Finance, 17(4), 617-626.(第二作者为本人硕士生)

[17] Haiqi Li, Wanling Zhong and Sung Y. Park (2016) “Generalized cross-spectral test for nonlinear Granger causality with applications to money–output and price–volume relations,”Economic Modelling, 52, 661-671.

[18] Rui Fan, Haiqi Li and Sung Y. Park (2016) “Estimation and hedging effectiveness of time-varying hedge ratio: nonparametric approaches,” Journal of Futures Markets, 36, 968-991.

[19] Haiqi Li, Myeong J. Kim and Sung Y. Park (2016) “Nonlinear relationship between crude oil price and net futures positions: A dynamic conditional distribution approach,”International Review of Financial Analysis , 44, 217-225.

[20] Haiqi Li, Chaowen Zheng and Yu Guo (2016) “ Estimation and test for quantile nonlinear cointegration,”Economics Letters, 148, 27-32.

[21] Haiqi Li, Hyung-Gun Kim and Sung Y. Park (2015) “The role of financial speculation in the energy future markets: A new time-varying coefficient approach,”Economic Modelling, 51, 112-122.

[22] 李海奇,洪永淼,毛尚熠(2013) “基于广义谱密度方法的线性和非线性格兰杰因果关系检验”,《数量经济技术经济研究》, 30(5),116-127.

[23] 李海奇, Sung Y. Park (2011) “一个新的稳健ARCH检验和YJ-GARCH模型”,《统计研究》, 28(7), 104-110.