中国科大
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陈昱，博士，教授，博士生导师。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
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
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
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
毕业博士:
1. 谭轲祺（2022）：外企
2. 胡杰（2022）： 宾夕法尼亚大学大学博后
3. 束磊（2023）: 中科大博后
4. 宋雷（2024）: 中科大博后
5. 孙红芳（2024）：南京师范大学
6. 徐涛(2024)： 福建农林大学
7. 金姝玥(2024)： 国企 (江西引培生)
8. 陈笑（2025）：中科大博后
9.黄世伟(2025): 国家数学与交叉科学中心博后
代表性论文
1. X. Li, L. Shu, Y Chen* (2026) Dynamic Matrix Factor Models: A Covariate-Driven Approach to Varying Factor Loadings, Journal of Business & Economic Statistics. forthcoming
2. S. Huang, Y Chen*, J. Hu, W. Zhang* (2026) Dynamic Panel Data Quantile Regression with Network-linked Fixed Effects, Journal of Econometrics 253:106188 DOI:10.1016/j.jeconom.2026.106188
3. S. Huang, K. Ma, Y Chen*(2025) High-dimensional Quantile Vector Autoregression with Influencers and Communities, Journal of Business & Economic Statistics https://doi.org/10.1080/07350015.2025.2551249
4. C. Zhang, L. Xue*, Y Chen*, H. Lian, A. Qu(2025), Local signal detection on irregular domains with generalized varying coefficient models, Journal of the American Statistical Association, forthcoming, https://doi.org/10.1080/01621459.2024.2423972
5. 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.
6. Z. Shen, Y. Chen*, R Shi (2022) Modeling tail index with autoregressive conditional Pareto model. Journal of Business & Economic Statistics, 458-466
7. Y. Chen, Z.Wang, Z. Zhang(2019), Mark to market value at risk. Journal of Econometrics， 208: 299-321.
8. J. Hu, X. Chen, Y Chen*, W. Zhang（2024). Joint Network Reconstruction and Community Detection from Rich but Noisy Data. Journal of Computational and Graphical Statistics, 33:501-514.
9. J. Hu, Y Chen, C. Leng, C. Tang*（2024). Applied regression analysis of correlations for correlated data, Annals of Applied Statistics, 18(1): 184-198.
Online的论文列表
Y Chen， L. Cheng, X. Chen, J. Hu* (2026) Learning Social Relationships: A Network Embedding-Based approach for Community Detection via Cosine-Similarity, Statistics and Computing, forthcoming
Z. Zheng, W. Zhang, Y. Chen* (2026) Factor augmented CUB model for multivariate ordinal data, Computational Statistics and Data Analysis, forthcoming
C. Xu，L. Shu, Y. Chen*, Q. Yang (2026) A Data-Adaptive Integrated Approach to Covariance Change-Point Detection in High-Dimensional Settings, Statistica Sinica, Accepted.
X. Li， L.Shu. Y Chen*(2025) Factor-driven completion of tensor data with missing entries, Communications in Statistics: Simulation and Computation
https://doi.org/10.1080/03610918.2024.2361134
Song, L., Qian, S. & Chen, Y*. Credit guarantee, and risk contagion in guarantee networks: A supply chain perspective. Math Finan Econ 19, 607–640 (2025). https://doi.org/10.1007/s11579-025-00397-z
S. Jin, Z. Gui, J. Hu, Y. Chen* (2026). Community Detection and Network Reconstruction With Dependent Connectivity From Rich but Noisy Network Data, Australia New Zealand & Journal of Statistics https://doi.org/10.1111/anzs.70026
T. Xu, Y. Chen* & H. Sun. (2026)Tail single-index regression with locally stationary regressors. Communications in Statistics-theory and
Methods. https://www.tandfonline.com/doi/full/10.1080/03610926.2025.2461608
T.Xu， H. Sun & Y. Chen* (2026) Modeling Extreme Risk with Fixed-k Autoregressive Conditional Fréchet Model, Journal of Systems Science & Complexity .
近期论文列表
Y Chen, Z. Hu, J. Hu, L.Shu. (2025) Block structure-based covariance tensor decomposition for group identification in matrix variables, Statistics and Probability Letters, 216, 110251
L. Song, Y Chen*(2025) Does a non-performing assets disposal fund help control systemic risk? Evidence from Chinese interbank financial network. Financial Innovation, 11, 46 (2025). https://doi.org/10.1186/s40854-024-00667-7
L. Shu, Y. Hao, Y Chen*, Q. Yang* (2025). SFQRA: Scaled Factor-augmented Quantile Regression with Aggregation in Conditional Mean Forecasting ,
Journal of Multivariate Analysis, Volume 207, May 2025, 105405X. Chen, J. Hu, Y. Chen*(2024) GBTM: Community detection and network reconstruction for noisy and time-evolving data, Information Sciences, 679,121069
S. Jin， L. Song，L. Shu， Gao，Y Chen*(2024) Systemic risk in Chinese interbank lending networks: insights from short-term and long-term lending data, Empirical Economics, 67: 2359 -2564
Y. Hu, Y Chen*, T. Mao* (2024). An Extreme Worst-Case Risk Measure by Expectile, Advances in Applied Probability, 56:1195-1214
L.Song, Y. Chen, B. Zhang, M. Zhu（2024). Inventory and financing decisions in cross-border e-commerce: The financing and information roles of a bonded warehouse. Expert Systems With Applications,238,121639
J. Xia, Y. Chen*, Xiao Guo(2024). Inference for high-dimensional linear models with locally stationary error processes, Journal of Time Series Analysis, 45:78-102.
X. Zhu, Y. Chen, J. Hu(2024), Estimation of Banded Time-Varying Precision Matrix Based on SCAD And Group Lasso, Computational Statistics and Data Analysis,189:107849.
Hongfang Sun, Yu Chen*(2023). Extreme behaviors of the tail Gini-type variability measures, Probability in the Engineering and Informational Sciences, 37, 928-942
Keqi Tan, Yu Chen*, Dan Chen (2023). A new risk measure MMVaR: properties and empirical research. Journal of Systems Science and Complexity, 36,2026-2045
T. Gong, W. Zhang*, Y. Chen(2023), Uncovering Block Structures in Large Rectangular Matrices, Journal of Multivariate Analysis,198, 105211
L. Shu, F. Lu, Y. Chen*(2023). Robust forecasting with scaled independent component analysis, Finance Research Letters, 51:1.3399
Y Chen, M. Ma, H. Sun*(2023) Statistical inference for extreme extremile in heavy -tailed heteroscedastic regression model, Insurance: Mathematics and Economics, (111): Pages 142-162
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
张伟平，李叶蓁，陈昱*，汤琤咏（2023）时序相依数据的一种基于约束Cholesky 分解方法的简约Gauss copula 建模, 中国科学数学 ，05,777-790 http://engine.scichina.com/doi/10.1007/s11425-022-2040-4
