目录
硕士报考志愿采集    更新日期:2022年7月20日
姓 名 张耀杰 性 别
出生年月 1991年6月 籍贯
民 族 汉族 政治面貌 党员
最后学历 博士研究生毕业 最后学位 管理学博士
技术职称 副教授 导师类别 硕士生导师
导师类型 校内 兼职导师
行政职务 Email yaojie_zhang at 126 dot com
工作单位 经济管理学院 邮政编码 210094
通讯地址 Xiaolingwei 200
单位电话
个人主页 http://sem.njust.edu.cn/40/87/c13365a223350/page.psp; https://sites.google.com/126.com/zhang/home
指导学科
学科专业(主) 0202|应用经济学 招生类别 硕士 所在学院 经济管理学院
研究方向

金融预测,金融工程与风险管理,能源金融,资产定价,行为金融,公司金融,金融计量,机器学习与大数据

获奖、荣誉称号

南京理工大学首批“党员示范岗”

社会、学会及学术兼职

2022-         Bulletin of Economic Research (SSCI), 副主编

2022-         China Finance Review International, 青年编委

2021-         中国能源金融联盟,副秘书长

科研项目
1 国家自然科学基金青年基金项目,经济大数据环境下的股票收益率预测:基于稀疏和载荷的融合视角,2021.01-2023.12,主持
2 教育部产学合作协同育人项目,“基于大数据分析的金融学课程体系建设与改革”,2021.10-2023.09,主持
 
发表论文

截止2022年7月共发表学术论文70余篇,其中累计5篇入选经济与商学的ESI高被引论文。以一作/通讯发表48篇论文,其国内外期刊包括《Journal of Empirical Finance》、《International Journal of Forecasting》、《Quantitative Finance》、《Energy Economics》、《Journal of Forecasting》、《Knowledge-Based Systems》、《International Review of Financial Analysis》、《Pacific-Basin Finance Journal》、《Economic Modelling》、《International Journal of Finance & Economics》和《系统工程理论与实践》、《管理评论》等。担任40余本SSCI/SCI/CSSCI期刊的审稿人。

部分论文清单

· 国际期刊

第一作者

1      Zhang Yaojie, Wahab M. I. M., Wang Yudong. Forecasting crude oil market volatility using variable selection and common factor.[J]. International Journal of Forecasting, 2022, forthcoming

2      Zhang Yaojie, Wang Yudong. Forecasting crude oil futures market returns: A PCA combination approach.[J]. International Journal of Forecasting, 2022, forthcoming.

3      Zhang Yaojie, He Mengxi, Wen Danyan, Wang Yudong. Forecasting Bitcoin volatility: A new insight from the threshold regression model.[J]. Journal of Forecasting, 2022, forthcoming.

4      Zhang Yaojie, Ma Feng, Liang Chao, Zhang Yi. Good variance, bad variance, and stock return predictability.[J]. International Journal of Finance & Economics, 2021, 26 (3): 4410-4423.

5      Zhang Yaojie, Wang Yudong, Ma Feng. Forecasting US stock market volatility: How to use international volatility information.[J]. Journal of Forecasting, 2021, 40 (5): 733-768.

6      Zhang Yaojie, Lei Likun, Wei Yu. Forecasting the Chinese stock market volatility with international market volatilities: The role of regime switching.[J]. The North American Journal of Economics and Finance, 2020, 52: 101145.

7      Zhang Yaojie, Liang Chao, Jin Daxiang. A novel insurance system for associated loans: The realization of reducing bankruptcy cost.[J]. Management Decision, 2020, 58 (1): 146-163.

8      Zhang Yaojie, Ma Feng, Liao Yin. Forecasting global equity market volatilities.[J]. International Journal of Forecasting, 2020, 36 (4): 1454-1475.

9      Zhang Yaojie, Ma Feng, Wang Tianyi, Liu Li. Out-of-sample volatility prediction: A new mixed-frequency approach.[J]. Journal of Forecasting, 2019, 38 (7): 669-680.

10    Zhang Yaojie, Ma Feng, Wang Yudong. Forecasting crude oil prices with a large set of predictors: Can LASSO select powerful predictors?[J]. Journal of Empirical Finance, 2019, 54: 97-117.

11    Zhang Yaojie, Ma Feng, Wei Yu. Out-of-sample prediction of the oil futures market volatility: A comparison of new and traditional combination approaches.[J]. Energy Economics, 2019, 81: 1109-1120.

12    Zhang Yaojie, Ma Feng, Zhu Bo. Intraday momentum and stock return predictability: Evidence from China.[J]. Economic Modelling, 2019, 76: 319-329.

13    Zhang Yaojie, Wei Yu, Liu Li. Improving forecasting performance of realized covariance with extensions of HAR-RCOV model: Statistical significance and economic value.[J]. Quantitative Finance, 2019, 19 (9): 1425-1438.

14    Zhang Yaojie, Wei Yu, Ma Feng, Yi Yongsheng. Economic constraints and stock return predictability: A new approach.[J]. International Review of Financial Analysis, 2019, 63: 1-9.

15    Zhang Yaojie, Wei Yu, Zhang Yi, Jin Daxiang. Forecasting oil price volatility: Forecast combination versus shrinkage method.[J]. Energy Economics, 2019, 80: 423-433.

16    Zhang Yaojie, Zeng Qing, Ma Feng, Shi Benshan. Forecasting stock returns: Do less powerful predictors help?[J]. Economic Modelling, 2019, 78: 32-39.

17    Zhang Yaojie, Ma Feng, Shi Benshan, Huang Dengshi. Forecasting the prices of crude oil: An iterated combination approach.[J]. Energy Economics, 2018, 70: 472-483.

18    Zhang Yaojie, Shi Benshan. Non-tradable shares pricing and optimal default point based on hybrid KMV models: Evidence from China.[J]. Knowledge-Based Systems, 2016, 110: 202-209.

 

通讯作者

1      Wen Danyan, He Mengxi, Zhang Yaojie, Wang Yudong. Forecasting realized volatility of Chinese stock market: A simple but efficient truncated approach.[J]. Journal of Forecasting, 2022, 41 (2): 230-251.

2      Wen Danyan, Liu Li, Wang Yudong, Zhang Yaojie. Forecasting crude oil market returns: Enhanced moving average technical indicators.[J]. Resources Policy, 2022, 76: 102570.

3      He Mengxi, Hao Xianfeng, Zhang Yaojie, Meng Fanyi. Forecasting stock return volatility using a robust regression model.[J]. Journal of Forecasting, 2021, 40 (8): 1463-1478.

4      He Mengxi, Zhang Yaojie, Wen Danyan, Wang Yudong. Forecasting crude oil prices: A scaled PCA approach.[J]. Energy Economics, 2021, 97: 105189.

5      Lei Likun, Zhang Yaojie, Wei Yu, Zhang Yi. Forecasting the volatility of Chinese stock market: An international volatility index.[J]. International Journal of Finance & Economics, 2021, 26 (1): 1336-1350.

6      Wen Danyan, Wang Yudong, Zhang Yaojie. Intraday return predictability in China’s crude oil futures market: New evidence from a unique trading mechanism.[J]. Economic Modelling, 2021, 96: 209-219.

7      Liang Chao, Wei Yu, Zhang Yaojie. Is implied volatility more informative for forecasting realized volatility: An international perspective.[J]. Journal of Forecasting, 2020, 39 (8): 1253-1276.

8      Liu Li, Ma Feng, Zeng Qing, Zhang Yaojie. Forecasting the aggregate stock market volatility in a data-rich world.[J]. Applied Economics, 2020, 52 (32): 3448-3463.

9      Ma Feng, Wahab M. I. M., Zhang Yaojie. Forecasting the U.S. stock volatility: An aligned jump index from G7 stock markets.[J]. Pacific-Basin Finance Journal, 2019, 54: 132-146.

 

· 国内期刊

张耀杰, 史本山, 周圣. 保证贷款的贷款保险定价研究[J]. 保险研究, 2015(7): 49-57.

张耀杰, 郭靖, 史本山. ST“戴帽”能够提高公司价值和经营绩效吗——基于倾向值匹配和双重差分模型的因果推断[J]. 工业工程与管理, 2017, 22(4): 127-133.

张耀杰, 史本山. 基于障碍期权的贷款保险定价研究[J]. 运筹与管理, 2018, 27(6): 148-155.

张耀杰, 史本山, 金大祥, 李楼生. 具有证券背景的独立董事有助于企业并购吗[J]. 上海金融, 2018(9): 29-36.

张耀杰, 史本山, 魏宇, 金大祥. 提前违约的贷款及其贷款保险定价研究 [J]. 系统工程理论与实践, 2019, 39(10): 2502-2511.

张耀杰, 李杰刚, 史本山. 企业与证券公司的股权关联对企业并购的影响[J]. 管理评论, 2020, 32 (8): 29-39.

张耀杰, 李杰刚, 史本山. ST摘帽如何影响公司价值和股价[J]. 运筹与管理, 2020, 29 (4): 212-220..

史本山, 张耀杰. 债务结构、违约点宽容和贷款保险定价的改进[J]. 保险研究, 2016(4): 38-46.

教学活动

讲授课程(2021.06):《固定收益证券》(本科),《投资学》(硕士),《金融研究专题》(硕士)

 

指导学生情况

招生要求:具有家国情怀和民族精神,中共党员优先;品行端正,勤奋好学;数理统计、计算机编程、经管金融、英语等方面能力突出者优先;和我志趣相投(如喜欢我的研究方向;对学术科研感兴趣)者优先;也欢迎具有实践精神和服务社会一线的同学报考我的研究生。