李海奇
姓名:李海奇
职称:教授、博士生导师
办公地点:湖南大学财院校区红楼2号214
研究方向:金融计量经济学、实证资产定价、数字经济
讲授课程:计量经济学、高级计量经济学、金融计量经济学、微观计量经济学
一、个人简介
李海奇,男,湖南邵阳人,厦门大学经济学博士,现为湖南大学金融与统计学院教授、博士生导师,副院长。曾任美国康奈尔大学经济学系访问学者(2014.8-2015.8)。目前研究方向为金融计量经济学、统计学和数字经济,研究成果发表于经济学国际顶尖和权威期刊以及中文重点期刊,如Journal of Econometrics, Econometric Theory, Econometric Reviews, Journal of Futures Markets, International Review of Financial Analysis, Economics Letters,《数量经济技术经济研究》《统计研究》《中国管理科学》《计量经济学报》等。曾主持湖南省自然科学基金杰出青年项目、国家自然科学基金项目、教育部人文社科规划基金项目等多项国家和省部级科研项目。曾获得湖南省优秀硕士论文指导教师、湖南大学科研标兵、湖南大学优秀教师、湖南大学财经教育基金优秀青年教师奖、湖南大学本科毕业论文优秀指导教师等荣誉或奖励。
招生要求:对学术研究具有浓厚的兴趣,经济学、金融学和数理基础良好。联系方式:lihaiqi00 (AT) hnu.edu.cn
二、教育背景
2007.09—2011.06. 厦门大学王亚南经济研究院,获经济学博士学位;
(导师:洪永淼教授、Sung Y. Park教授)
2004.09—2007.06. 湘潭大学商学院,获经济学硕士学位(导师:屠新曙教授);
1999.09—2003.06. 湘潭大学数学与计算科学学院,获理学学士学位.
三、代表性论文
[1] Haiqi Li, Jing Zhang, Xingyi Chen and Yongmiao Hong (2025) “Time-varying complete subset averaging in a data-rich environment”, Econometric Theory, Accepted.
[2] Haiqi Li, Jing Zhang and Chaowen Zheng (2025) “Functional-coefficient quantile cointegrating regression with stationary covariates”, Statistics and Probability Letters, 219, 110344.
[3] Haiqi Li, Jin Zhou and Yongmiao Hong (2024) “Estimating and testing for smooth structural changes in moment condition models ”, Journal of Econometrics, 246,105896. (第二作者为本人博士生)
[4] 张晶、王子健、李海奇(2024)“金融科技发展对我国共同富裕的影响——基于畅通国内大循环的视角”,《计量经济学报》,第四卷第4期,2024年7月,1091-1123.(通讯作者;第一作者为本人博士生,第二作者为本人硕士生)
[5] 钟婉玲,李海奇(2024),“股市互联与尾部风险溢出效应研究”,《计量经济学报》,4(2),467-486. (通讯作者)
[6] Qitong Chen, Yongmiao Hong and Haiqi Li (2024) “Time-varying forecast combination for factor-augmented regressions with smooth structural changes,” Journal of Econometrics, 240, 105693. (通讯作者;第一作者为本人博士生)
[7] Yue Hu, Haiqi Li and Falong Tan (2024) “Testing the parametric form of the conditional variance in regressions based on distance covariance”, Computational Statistics & Data Analysis, 189,107851.(第一作者为本人博士生)
[8] Xingyi Chen, Haiqi Li and Jing Zhang (2023) “Complete subset averaging approach for high-dimensional generalized linear models”, Economics Letters, 226, 111084. (通讯作者;第一作者为本人博士生)
[9] 李海奇,张晶(2022)“金融科技对我国产业结构优化与产业升级的影响”,《统计研究》,39(10), 102-118.(第二作者为本人博士生)
[10] 钟婉玲,李海奇(2022),“国际油价、宏观经济变量与中国股市的尾部风险溢出效应研究”,《中国管理科学》,30(2),27-37. (通讯作者)
[11] Haiqi Li, Xingyi Chen and Jufang Liang (2022) “Shrinkage estimation of panel data models with interactive effects”, Economics Letters, 210, 110228. (第二作者为本人博士生)
[12] Jin Zhou, Haiqi Li and Wanling Zhong (2021) “A modified Diebold–Mariano test for equal forecast accuracy with clustered dependence”, Economics Letters, 207, 110029. (第一作者为本人博士生)
[13] Jinjin Jiang, Haiqi Li(2018) “A new measure for market efficiency and its application,” Finance Research Letters, 34, 101235. (第一作者为本人硕士生)
[14] Haiqi Li, Ying Liu and Sung Y. Park (2018) “Time-varying Investor Herding in Chinese Stock Markets,” International Review of Finance,18(4), 717-726. (第二作者为本人硕士生)
[15] Haiqi Li and Sung Y. Park (2018) “Testing for a unit root in a nonlinear quantile autoregression framework,” Econometric Reviews, 37(8), 867–892. (曾入选ESI全球前1%高被引论文)
[16] Haiqi Li and Chaowen Zheng (2018) “Unit root quantile autoregression testing with smooth structural changes,” Finance Research Letters, 25, 83-89. (第二作者为本人硕士生)
[17] Haiqi Li, Rui Fan and Sung Y. Park (2018) “Generalized empirical likelihood specification test robust to local misspecification,” Economics Letters, 171, 149-153.
[18] Haiqi Li, Yu Guo and Sung Y. Park (2017) “Asymmetric Relationship between investor's sentiment and stock returns: evidence from a quantile non-causality test,” International Review of Finance, 17(4), 617-626.(第二作者为本人硕士生)
[19] Haiqi Li, Wanling Zhong and Sung Y. Park (2016) “Generalized cross-spectral test for nonlinear Granger causality with applications to money–output and price–volume relations,” Economic Modelling, 52, 661-671.
[20] Rui Fan, Haiqi Li and Sung Y. Park (2016) “Estimation and hedging effectiveness of time-varying hedge ratio: nonparametric approaches,” Journal of Futures Markets, 36, 968-991.
[21] Haiqi Li, Myeong J. Kim and Sung Y. Park (2016) “Nonlinear relationship between crude oil price and net futures positions: A dynamic conditional distribution approach,” International Review of Financial Analysis , 44, 217-225.
[22] Haiqi Li, Chaowen Zheng and Yu Guo (2016) “ Estimation and test for quantile nonlinear cointegration,” Economics Letters, 148, 27-32.
[23] Haiqi Li, Hyung-Gun Kim and Sung Y. Park (2015) “The role of financial speculation in the energy future markets: A new time-varying coefficient approach,” Economic Modelling, 51, 112-122.
[24] 李海奇, 洪永淼, 毛尚熠 (2013) “基于广义谱密度方法的线性和非线性格兰杰因果关系检验”, 《数量经济技术经济研究》, 30(5),116-127.
[25] 李海奇, Sung Y. Park (2011) “一个新的稳健ARCH检验和YJ-GARCH模型”, 《统计研究》, 28(7), 104-110.