Research Area
Financial Econometrics, Bayesian Econometrics, Applied Time-series.
Biography
Qiao Yang is a tenured Associate Professor in the School of Entrepreneurship and Management at ShanghaiTech University. He joined ShanghaiTech as an Assistant Professor in September 2016 after earning his Ph.D. in Economics from the University of Toronto. Prior to his doctoral studies, he received his Master’s degree in Economics from the University of Toronto in June 2011 and his Bachelor’s degree from Queen’s University in Kingston in June 2010.
Research Interests
Financial Econometrics, Bayesian Nonparametrics, Time Series Analysis.
Publications
"An Infinite Hidden Markov Model with GARCH for Short-term Interest Rates"
Finance Research Letter (2025), 8. (with Chenxing Li)
“An Infinite Hidden Markov Model with Stochastic Volatility”
Journal of Forecasting (2024), 43, 2187-2211. (with John Maheu and Chenxing Li)
“Infinite Markov Pooling of Predictive Distributions”
Journal of Econometrics (2022), 2, 302-321. (with Xin Jin and John Maheu)
“Does the Choice of Realized Covariance Measures Empirically Matter? A Bayesian Density Prediction Approach”
Econometrics (2021), 9, 45. (with Xin Jin and Jia Liu)
“Oil Price Shocks and Economic Growth: The Volatility Link”
International Journal of Forecasting (2020), 36, 570-587, (With John Maheu and Yong Song)
“Stock Returns and Real Growth: A Bayesian Nonparametric Approach”
Journal of Empirical Finance (2019), 53, 53-69
“Bayesian Parametric and Semiparametric Factor Models for large Realized Covariance Matrices”
Journal of Applied Econometrics(2019), 34, 641-660, (with Xin Jin and John Maheu)
“An Infinite Hidden Markov Model for Short-term Interest Rates”
Journal of Empirical Finance (2016), 38, 202-220, (with John Maheu)
Personal Website
