Professor Genxiang SHEN received his Ph.D. in 2003 from Shanghai University of Finance and Economics. He joined the School of Economics at Shanghai University of Finance & Economics in 2003. His areas of specialization include financial econometrics, quantitative analysis of capital market and mathematical finance.
‘The Interest-Rate Term Structure of Dynamic Nelson-Siegel Model with Conditional Heteroscedasticity and Its Application’, Chinese Journal of Management Science, accepted.
‘Identification and Measurement of Leverage Effects Using Local Correlation and Truncated Distorted Mix Copula Constructing’, Chinese Journal of Management Science, 2020, Issue 7, pp. 68-76.
‘GAS-HEAVY Model for Realized Measures of Volatility and Returns’, Chinese Journal of Management Science, 2019, Issue 1, pp. 1-10.
‘Factor Transformation in Dynamic Interest-Rate Term Structure and Its Application’, Statistical Research, 2017, Issue 1, pp. 119-218.
‘Monetary Policy Conduction Mechanism through Bond Market: Via the Expectation of Interest Rate’, Statistics and Information Forum, Issue 1, pp. 41-49.
‘Nonparametric Estimation for Spot Volatility of Asset Price Using Bipower Variations’, Chinese Journal of Management Science, 2016, Issue 1, pp. 21-29.
‘Nelson-Siegel Dynamic Term Structure Model with Double Slope Factors and Its Applications’，Chinese Journal of Management Science, 2015, Issue 10, pp. 1-10.
‘Model Specification for the Price Processes in China Stock Market’, Chinese Journal of Management Science, 2014, Issue 2, pp. 16-23.
‘Nonparametric Estimation for Spot Volatility of Asset Price with Leverage Effects and Poisson Jumps’, The Journal of Quantitative and Technical Economics, 2012, Issue 12, pp. 82-96.
‘Jump Test on Time Points and Jump Dynamics: Empirical Study on CSI 300’, Chinese Journal of Management Science, 2012, vol. 20, Issue 1, pp. 43-50.
‘The Impact of Monetary Policy on the Interest Rate Term Structure: An Empirical Analysis Based on Dynamic Nelson-Siegel Model’, Contemporary Finance and Economics, 2011, Issue 3.
‘The Latest Research of Interest-Rate Term Structure: The Micro-Finance Model’, Economic Perspectives, 2011, Issue 2.
‘Hausman Test for the Intraday Jumps in Shanghai-Shenzhen 300 Index’, Journal of Applied Statistics and Management, 2010, Issue 7.
‘Test of Expectation Theory of the Term Structure in China Interbank Market’, Shanghai Journal of Economics, 2010, Issue 4.
'A Theoretical and Empirical Study on the Performance of Transparency Reform in China Stock Market', Journal of Finance and Economics, 2008, Issue 6.
‘The Latest in the Research of Market Microstructure and Implications for China Capital Market Reform’, Journal of Finance and Economics, 2007, Issue 6.
‘The Distribution of Limit Order Execution Time and EMH Test’, Economic Survey, 2007, Issue 5.
Econometric Theory and Methods, Shanghai University of Finance and Economics Press, 2006.
‘A Study on the Characteristics of Currency Exchange Rate Fluctuations in Major Regions from 2000 to 2005’, The Journal of World Economy, 2006, Issue 3.
‘The Stochastic Volatility Model for Stock Return’, Chinese Journal of Management Science, 2003, Issue 2.
‘The Price Limit Rule in the Stock Market of China and International Comparison’, Public Finance Research, 2003, Issue 1.
‘The Impact of Price Limit on the Fluctuations of ST Stock Returns’, The Journal of Quantitative and Technical Economics, 2003, Issue 5.