Yu Chen, Ph.D.
Associate Professor, Department of Statistics and Finance, School of Management
Ph.D. Advisor
Research Interests: Extreme value theory in risk theory, econometric models, network risk analysis, multivariate statistical analysis theory, etc.

Course Homepage: http://staff.ustc.edu.cn/~cyu

Education Background:
1996-2005: Bachelor’s, Master’s, and Ph.D. from the University of Science and Technology of China (USTC)

We warmly welcome students who are interested in topics such as network risk analysis, multi-layer network community detection, and factor models related to time series analysis to join our research group!

Research Projects

• Multivariate Time Series Modeling Methods with Network Structural Information, National Natural Science Foundation of China (General Program), 2024.1-2027.12 

• Research on Dynamic Network Risk Analysis and Risk Contagion Mechanisms Based on Extreme Value Theory, National Social Science Foundation (Annual Project), 2022.6-2026.6 

• Research and Application of Financial Risk Measurement and Backtesting under Network Dependency Structure, National Natural Science Foundation of China (General Program), 2018.1-2021.12 

• Mechanism and Laws of Secondary and Derived Major Disasters and Multi-hazard Coupling, Ministry of Science and Technology, National Key Research Project, 2016.6-2020.6 

• Research on the Application of Extreme Value Theory in Risk Theory, National Natural Science Foundation of China (General Program), 2012.1-2015.12 

• Bankruptcy Risk in Stochastic Financial Risk Models under Heavy Tail Conditions, National Natural Science Foundation of China (General Program), 2009.1-2011.12 

Participant in Projects

• Complex Structured Data Analysis Based on Gaussian Random Fields, National Natural Science Foundation of China (Key Project), 2023.1-2027.12

• New Stochastic Dominance Theory and Its Application in Social Welfare Research, National Natural Science Foundation of China (General Program), 2020.1-2023.12

• Random Comparisons in Survey Sampling and Monte Carlo Methods, National Natural Science Foundation of China (General Program), 2015-2018

• Multivariate Extreme Value Theory and Its Applications in Risk Theory, National Natural Science Foundation of China (General Program), 2014.1-2016.12

• Limit Theorems in Complex Stochastic Structures and Related Fields, National Natural Science Foundation of China (General Program), 2007-2009

• Statistical Analysis with Misclassified or Incomplete Genetic Data, National Natural Science Foundation of China (General Program), 2007-2009

Graduated Ph.D. Students:

1. Keqi Tan (2022): Multinational Company

2. Jie Hu (2022): Postdoctoral Researcher, University of Pennsylvania

3. Lei Shu (2023): Postdoctoral Researcher, USTC

4. Lei Song (2024): Postdoctoral Researcher, USTC

5. Hongfang Sun (2024): Nanjing Normal University

Selected Papers

1. 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.  

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

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

4. 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.

5.  J. Hu,  Y Chen,  C. Leng, C. Tang*（2024）Applied regression analysis of correlations for correlated data, Annals of Applied Statisitcs, 18(1): 184-198. 

Publications：

• X. Chen, J. Hu, Y. Chen*(2024)  GBTM: Community detection and network reconstruction for noisy and time-evolving data,  Information Sciences, 679,121069

• Y. Hu, Y Chen*, T. Mao* (2024).  An Extreme Worst-Case Risk Measure by Expectile, Advances in Applied Probability,  online

• 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

Forthcoming：

1. X. Li， L.Shu. Y Chen*(2024) Factor-driven completion of tensor data with missing entries, Communications in Statistics: Simulation and Computation

2. 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,  doi.org/10.1007/s00181-024-02617-9
   

3.  L. Song, Y Chen*(2024)  Does a non-performing assets disposal fund help control systemic risk? Evidence from Chinese interbank financial network. Financial Innovation, forthcoming

4.  Y Chen, Z. Hu, J. Hu, L.Shu. (2024)  Block structure-based covariance tensor decomposition for group identification in matrix variables, Statistics and Probability Letters, forthcoming. https://authors.elsevier.com/c/1jf-Xc8a~MPwV