Name: Yang Ke
Title:Professor
Office: Room 207, Middle wing of B10 building
Department: Department of Finance
Email: yangkdc@scut.edu.cn
Research Fields: Financial Economics, Financial Econometrics, Stock Investment Theories
Courses Offered: Introduction to Financial Economics, Financial Econometrics, Stock Investment Theories
Educational Background:
Ph.D. SUN Yat-sen University
MA, Guangdong University of Finance ad Economics
Ba, Xiangtan University
Major Publications:
1.Realized volatility forecast: structural breaks, long memory, asymmetry, and day-of-the-week effect. (with Langnan Chen)International Review of Finance. 2014, 14(3): 345-392. SSCI.
2.Realized Volatility Forecast of Stock Index Under Structural Breaks. (with Fengping Tian and Langnan Chen)Journal of Forecasting. 2015, 34(1): 57-82. SSCI.
3.Forecasting Realized Volatility of Agricultural Commodity Futures Using HAR Model with Time-varying Sparsity.(with Langnan Chen and Fengping Tian),International Journal of Forecasting，2017, 33(1): 132-152. SSCI.
4.Realized volatility forecast of agricultural futures using the HAR models with bagging and combination approaches. (with Langnan Chen and Fengping Tian),International Review of Economics and Finance. 2017, 49: 276–291，SSCI.
5.Realized volatility forecasting of agricultural commodity futures using long memory and regime switching (with Langnan Chen and Fengping Tian). Journal of Forecasting, Forthcoming. SSCI.
