李海奇 - 湖南大学 - 金融与统计学院

个人简介

李海奇，男，湖南邵阳人，现为湖南大学金融与统计学院教授、博士生导师，副院长。美国康奈尔大学经济系访问学者(2014.8-2015.8)，2007年9月至2011年6月就读于厦门大学王亚南经济研究院，师从世界著名计量经济学家洪永淼教授，获经济学博士学位。目前研究方向为金融计量经济学和金融工程，研究成果发表于经济学金融学国际权威期刊和中文重点期刊，如Econometric Reviews, Journal of Futures Markets, International Review of Financial Analysis, Economics Letters,《数量经济技术经济研究》和《统计研究》等。曾主持多项国家级和省部级科研项目，目前主持国家自然科学基金面上项目和教育部人文社科规划基金项目各一项，担任Journal of Economic Development(1976年创刊)副主编(Associate Editor)。曾获得湖南大学科研标兵、湖南大学优秀教师、湖南大学财经教育基金优秀青年教师奖、湖南大学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。

研究领域

金融计量经济学、实证资产定价

近期论文

查看导师新发文章（温馨提示：请注意重名现象，建议点开原文通过作者单位确认）

1、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. (CSSCI源期刊) 2、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. (CSSCI源期刊) 3、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. (SSCI源期刊) 4、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. (SSCI源期刊) 5、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. (SSCI源期刊) 6、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. (SSCI源期刊) 7、Haiqi Li, Chaowen Zheng and Yu Guo (2016) “ Estimation and test for quantile nonlinear cointegration”, Economics Letters, 148, 27-32. (SSCI源期刊) 8、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. (SSCI源期刊) 9、Haiqi Li and Sung Y. Park (2018) “Testing for a unit root in a nonlinear quantile autoregression framework”, Econometric Reviews, 37(8), 867–892. (SSCI源期刊, 曾入选ESI全球前1%高被引论文) 10、Haiqi Li and Chaowen Zheng (2018) “Unit root quantile autoregression testing with smooth structural changes”, Finance Research Letters, 25, 83-89. (SSCI源期刊) 11、Haiqi Li, Rui Fan and Sung Y. Park (2018) “Generalized empirical likelihood specification test robust to local misspecification”, Economics Letters, 171, 149-153 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. (SSCI源期刊)