陈昱，博士，管理学院统计与金融系副教授。研究方向为风险理论中的极限定理, 金融计量模型，网络风险分析，多元统计分析理论等。

课程主页：http://staff.ustc.edu.cn/~cyu

教育经历：1996-2005年，中国科学技术大学本硕博

欢迎有志于研究网络风险分析、多层网络社群发现及时间序列分析相关的因子模型等方向的同学加入课题！ 

科研项目(Research projects)

主持项目   

• 带网络结构信息的多维时间序列建模方法，国家自然科学基金面上项目 2024.1-2027.12 项目主持人
  

• 基于极值理论的动态网络风险分析及风险传染机制研究， 国家社会科学基金年度项目 2022.6-2026.6 项目主持人
  

• 网络相依结构下金融风险度量及回溯检验研究与应用， 国家自然科学基金面上项目 2018.1-2021.12 项目主持人

• 重大事故灾难次生衍生与多灾种耦合致灾机理与规律，科技部 国家重点研发专项, 2016.6-2020.6   研究骨干

• 极值理论在风险理论中的应用研究， 国家自然科学基金项目面上项目，2012.1-2015.12,项目主持人
  

• 重尾场合下随机金融风险模型中的破产风险问题， 国家自然科学基金项目面上项目，2009.1-2011.12,项目主持人

 参与项目

1. 基于高斯随机场的复杂结构数据分析， 国家自然科学基金重点项目，2023.1-2027.12
   

2.  新随机占优理论及其在社会福利研究中的应用，国家自然科学基金面上项目,2020.1-2023.12

3. 抽样调查和蒙特卡洛方法中的随机比较, 国家自然科学基金面上项目,    2015-2018

•  多元极值理论及其在风险理论中的应用，国家自然科学基金面上项目，2014.1-2016.12

•  复杂随机结构及其相关领域中的极限定理,  国家自然科学基金面上项目，2007-2009

• 有误判或不完全基因数据的统计分析,  国家自然科学基金面上项目， 2007-2009

论文发表

• X. Guo, Y. Chen, C. Tang（2023） Information criteria for latent factor models: A study on factor pervasiveness and adaptivity.  Journal of Econometrics，233： 237-250.   

• Z. Shen, Y. Chen*, R Shi (2022) Modeling tail index with autoregressive conditional Pareto model.  Journal of Business  & Economic Statistics, 458-466 

•  Y. Chen, Z.Wang， Z. Zhang(2019), Mark to market value at risk.  Journal of Econometrics， 208: 299-321.  

• L. Shu, F. Lu, Y. Chen*(2023). Robust forecasting with scaled independent component analysis, Finance Research Letters, 51:1.3399

• Y. Chen*, Y. Gao, L. Shu *， X. Zhu (2023). Network effects on risk co-movements: A network quantile autoregression-based analysis. Finance Research Letters, 56:104070.

• Xiao Chen,  Yu Chen*, Xixu Hu. Network Vector Autoregressive Moving Average Model,  Statistics and Its Interface,  Volume 16 (2023) 593–615

• K. Tan, Y. Chen*, P.  Chen(2022). Modeling maxima with regime switching Frechet model.  Journal of Risk，25(2), 1-19.

•  H. Sun, Y. Chen *, T. Hu. (2022) Statistical inference for tail-based cumulative residual entropy.  Insurance: Mathematics and  Economics, 103, 66-95

•  L. Shu, Y. Chen*, W. Zhang, X. Wang (2022 ), Spatial rank-based high dimensional change point detection via random integration. Journal of Multivariate Analysis, 189:1-22 

•  Y Chen , S. Jin, X . Wang（2021). Solvency contagion risk in the Chinese commercial banks' network. Physica A: Statistical Mechanics and Its Applications, 580: 126128 

•  J Hu, Y Chen *, K Tan. (2021) Estimation Of High Conditional Tail Risk Based On Expectile Regression.  ASTIN Bulletin: The Journal of the IAA,  51(2), 539-570. 

• Y. Chen Y. Liao, Q. Zhang, W. Zhang(2021) Ruin probabilities for the phase type dual model perturbed by diffusion. Communications   in  Statistics Theory and Methods,  50(23): 5634 565 

•  Y. Chen, J. Hu, W. Zhang（2020）    Too Connected to Fail? Evidence from Chinese Financial Risk Spillover Network. China & World Economy， 28，78-100 

  
  

即将发表ry and financing decisions in cross-border e-commerce:

The financing and information roles of a bonded warehouseInventory and financing decisions in cross-border e-commerce:
The financing and information roles of a bonded warehouse

1. Jie Hu, Xiao Chen, Yu Chen*, Weiping Zhang.    Joint Network Reconstruction and Community Detection from Rich but Noisy Data. 

   Journal of Computational and Graphical Statistics, forthcoming. 

2.  Lei Song,  Yu Chen, Baofeng Zhang, Mengxiao Zhu.  Inventory and financing decisions in cross-border e-commerce: The financing and information roles of a bonded warehouse.  Expert Systems With Applications.  forthcoming  

3. Xiaonan Zhu, Yu Chen,   Jie Hu, Estimation of Banded Time-Varying Precision Matrix Based on SCAD And Group Lasso, Computational Statistics and Data Analysis, forthcoming

4. Tingnan Gong, Weiping Zhang*,  Yu Chen, Uncovering Block Structures in Large Rectangular Matrices,  Journal of Multivariate Analysis,forthcoming. 

5. Jie Hu, Yu Chen,  Chenglei Leng, Chengyong Tang,  Applied Regression Analysis of Correlations for Correlated Data, Annals of Applied Statistics. forthcoming. 
   

6. Yu Chen, Mengyuan Ma, Hongfang Sun. Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model, Insurance: Mathematics and  Economics, forthcoming

7. Jiaqi Xia, Yu Chen*, Xiao Guo. Inference for high-dimensional linear models with locally stationary error processes,  Journal of Time Series Analysis,   DOI:10.1111/jtsa.12686,  online. 

8.  Keqi Tan, Yu Chen*, Dan Chen. A new risk measure MMVaR: properties and empirical research.   Journal of Systems Science and Complexity, forthcoming.

9. Hongfang Sun, Yu Chen*. Extreme behaviors of the tail Gini-type variability measures,  Probability in the Engineering and Informational Sciences, forthcoming.

10. 时序相依数据的一种基于约束Cholesky 分解的简约Gauss copula 建模方法, 中国科学:数学， http://engine.scichina.com/doi/10.1007/s11425-022-2040-4