基本信息
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姓 名:
洪永淼
- 职 务:厦门大学经济学院院长
- 民 族:
- 籍 贯:
- 出生日期:
- 毕业院校:美国加州大学圣地亚哥校区
- 所学专业:
- 最高学历:博士学位
- 所属行业:
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简介:
洪永淼现任美国康奈尔大学经济学系终身教授,厦门大学王亚南经济研究院(WISE)院长,厦门大学经济学院院长,厦门大学“长江学者”讲座教授。 根据国际权威计量经济学期刊Econometric Theory所做的“世界计量经济学家排名:1989-2005”,洪永淼教授在1989-2005期间名列第15位(洪永淼于1993年博士毕业),在1995-2005和2000-2005期间均名列第7位,是华人理论计量经济学家中在2000-2005期间的最高排名。
教育经历
1981-1985 厦门大学物理系,获物理学学士学位。
1986-1987 中国人民大学培训中心,获结业证书。
1987-1988 厦门大学经济学系,获经济学硕士学位。硕士论文题目:《西方经济学非均衡理论和科尔奈“短缺经济学”的比较》。指导教师:黄志贤教授。
1988-1993 美国加州大学圣地亚哥校区经济学系,获经济学博士学位。博士论文题目:《计量经济学模型设定检验》。指导教师:Clive Granger 爵士和Halbert White 教授 (Chair)。
洪永淼研究领域
计量经济学理论、时间序列分析及应用、金融计量经济学、中国经济和金融市场实证研究
1987-1988 厦门大学经济学系,获经济学硕士学位。硕士论文题目:《西方经济学非均衡理论和科尔奈“短缺经济学”的比较》。指导教师:黄志贤教授。
1988-1993 美国加州大学圣地亚哥校区经济学系,获经济学博士学位。博士论文题目:《计量经济学模型设定检验》。指导教师:Clive Granger 爵士和Halbert White 教授 (Chair)。
洪永淼论文与书籍
国际期刊
"Serial Correlation and Serial
Dependence",forthcoming in The New Palgrave Dictionary in Economics, 2nd
Edition.
"Asymmetries in Stock Returns:
Statistical Tests and Economic Evaluation", with J. Tu and G. Zhuo, Review
of Financial Studies 20 (2007), 1547-1581.
"Can the Random Walk Model be Beaten
in Out-of-Sample Density Forecasts: Evidence from Intraday Foreign Exchange
Rates", with H. Li and F. Zhao, Journal of Econometrics 141 (2007),
736-776.
"Model-Free Evaluation of Directional
Predictability in Foreign Exchange Markets", with J. Chung, Journal of
Applied Econometrics 22 (2007), 855-889.
"An improved generalized spectral test
for time series models with conditional heteroskedasticity of unknown
form", with Y. Lee, Econometric Theory 23 (2007), 106-154.
"Validating Forecasts of the Joint
Probability Density of Bond Yields: Can Affine Models Beat Random Walk?",
with A. Egorov and H. Li, Journal of Econometrics 135 (2006), 255-284.
"Asymptotic theory for entropy-based
measure of serial dependence", with H.White, Econometrica 73 (2005),
837-901.
"Generalized spectral testing for
conditional mean models in time series with conditional heteroskedasticity of
unknown form", with Y. Lee, Review of Economic Studies 72 (2005), 499-541.
"Nonparametric specification testing
for continuous-time models with applications to interest rate term
structure", with H. Li, Review of Financial Studies 18 (2005), 37-84.
"Wavelet-based consistent testing for
serial correlation in panel models", with C. Kao, Econometrica 72 (2004),
1519-1563.
"Out-of-sample performance of
discrete-time short-term interest models", with H. Li and F. Zhao, Journal
of Business and Economic Statistics 22 (2004), 457-473.
"Inference on predictability of
foreign exchange rates via generalized spectrum and nonlinear time series
models", with T. H. Lee, Review of Economics and Statistics, 85 (2003),
1048-1062.
"Diagnostic checking for the adequacy
of nonlinear time series models", with T. H. Lee, Econometric Theory 19
(2003), 1065-1121.
"A test for volatility spillover with
application to foreign exchange rates", Journal of Econometrics 103
(2001), 183-224.
"Generalized spectral tests for serial
dependence",Journal of the Royal Statistical Society, Series B(Statistical
Methodology), 62 (2000), 557-574.
"Hypothesis testing in time series via
the empirical characteristic function: a generalized spectral density
approach", Journal of the American Statistical Association 94 (1999),
1201-1220.
"Testing for independence between two
covariance stationary time series", Biometrika 83 (1996), 615-625.
"Consistent testing for serial
correlation of unknown form", Econometrica 64 (1996) 873-864.
"Consistent specification testing via
nonparametric series regressions", with H. White, Econometrica 63 (1995),
1133-1159.
"China’s evolving managerial labor
market", with T. Groves, J. McMillan and B. Naughton, Journal of Political
Economy 103 (1995), 873-892.
"Autonomy and incentives in Chinese
state enterprises",with T. Groves, J. McMillan and B. Naughton,Quarterly
Journal of Economics CIX (1994), 183-209.
国内期刊
“计量经济学的地位、作用和局限”,洪永淼,经济研究,2007年5期, 277-301
“中国市场利率动态研究——基于短期国债回购利率的实证分析”,洪永淼,林海,经济学(季刊)第5卷,2006年第5期,511-532.
“中国股市与世界其他股市之间的大风险溢出效应”,洪永淼,成思危,刘艳辉,汪寿阳,《经济学(季刊)》,第三卷,第三期(2004),603-726.
“中国股市是弱式有效的吗?——基于一种新方法的实证研究”,陈灯塔,洪永淼,《经济学(季刊)》,第三卷,第一期(2003),97-124.
“金融计量的新近发展”,《经济学(季刊)》,第一卷,第二期(2002),249-268.