Ye Lu
About Me
I am an economics Ph.D. candidate in the Department of Economics at Indiana University Bloomington. My research fields are Econometrics, Time Series, and Financial Econometrics. My dissertation consists of three essays on continuous time econometrics. I am on the job market and will be available for interviews on January 5-8, 2017 around the ASSA meeting in Chicago.
Job Market Paper
This paper develops the methodology and asymptotic theory of the incremental factor model for high frequency observations with large dimension and long span, allowing factors to be heterogeneous in both magnitude and strength. Moreover, we consider both diffusive and jump factors in our framework. The new methodology is applied to US stock market to extract daily return factors from 748 stocks over 27 year.
Teaching Experience
I am interested in teaching economics, in particular econometrics, in both graduate and undergraduate levels. I received one semester systematic training in teaching undergraduate economics, and have teaching experience in both graduate and undergraduate courses at Indiana University Bloomington. I worked as an associate instructor/teaching assistant for several graduate level econometrics courses, from which I received very good teaching evaluations . I also led collaborative learning sessions of introductory economics courses and assisted teaching for intermediate level undergraduate economics courses.
Curriculum Vitae
Ph.D. Economics
Indiana University, expected 2017
M.A. Finance
Fudan University, 2011
B.S. Statistics
Fudan University, 2008
100 S Woodlawn Ave
Bloomington IN, 47405, USA
+1 (812) 272-9985
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