基本情况

陈昱（Chen Yu），女，汉族，教授，博士生导师。

学习经历

研究领域

风险管理、网络风险分析 

主持的部分科研项目

1. 带网络结构信息的多维时间序列建模方法，国家自然科学基金面上项目 2024.1-2027.12  项目主持人

2. 基于极值理论的动态网络风险分析及风险传染机制研究， 国家社会科学基金年度项目 2022.6-2026.6  项目主持人

3. 网络相依结构下金融风险度量及回溯检验研究与应用，国家自然科学基金面上项目 2018.1-2021.12   项目主持人

4. 重大事故灾难次生衍生与多灾种耦合致灾机理与规律，科技部国家重点研发专项, 2016.6-2020.6   研究骨干

5. 极值理论在风险理论中的应用研究， 国家自然科学基金项目面上项目，2012.1-2015.12,  项目主持人

6. 重尾场合下随机金融风险模型中的破产风险问题， 国家自然科学基金项目面上项目，2009.1-2011.12,  项目主持人

参与项目

1. 基于高斯随机场的复杂结构数据分析， 国家自然科学基金重点项目，2023.1-2027.12

2. 新随机占优理论及其在社会福利研究中的应用，国家自然科学基金面上项目,2020.1-2023.12

3. 抽样调查和蒙特卡洛方法中的随机比较, 国家自然科学基金面上项目,    2015-2018

4. 多元极值理论及其在风险理论中的应用，国家自然科学基金面上项目，2014.1-2016.12

5. 复杂随机结构及其相关领域中的极限定理,  国家自然科学基金面上项目，2007-2009

6. 有误判或不完全基因数据的统计分析,  国家自然科学基金面上项目， 2007-2009

代表性论文

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. 

近期论文列表

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

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,  67:      2359 -2564

3. Y. Hu, Y      Chen*, T. Mao* (2024).  An Extreme Worst-Case Risk      Measure by Expectile, Advances in Applied      Probability, 56:1195-1214  

4. 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

5. 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.

6. 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. 

7. Hongfang Sun, Yu Chen*(2023).   Extreme      behaviors of the tail Gini-type variability measures,  Probability      in the Engineering and Informational Sciences,  37, 928-942

8. 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

9. T. Gong, W. Zhang*,  Y.      Chen(2023), Uncovering Block Structures in Large Rectangular Matrices,  Journal      of Multivariate Analysis,198, 105211

10. L. Shu, F. Lu, Y. Chen*(2023). Robust      forecasting with scaled independent component analysis, Finance      Research Letters, 51:1.3399

11.  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 

12. 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.

13. Xiao Chen,  Yu      Chen*, Xixu Hu. Network Vector Autoregressive Moving Average      Model,  Statistics and Its Interface,  Volume      16 (2023) 593–615

14. K. Tan, Y. Chen*,      P.  Chen(2022). Modeling maxima with regime switching Frechet      model.  Journal of Risk，25(2), 1-19.

15.  H. Sun, Y. Chen *, T. Hu. (2022)      Statistical inference for tail-based cumulative residual entropy.  Insurance:      Mathematics and  Economics, 103, 66-95

16.  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 

17.  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 

18.  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. 

19. 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 

20.  Y. Chen, J. Hu, W. Zhang（2020）    Too Connected to Fail? Evidence from      Chinese Financial Risk Spillover Network. China & World Economy， 28，78-100 

21. 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

Online的论文列表

1. C. Zhang, L. Xue*, Y      Chen*, H. Lian, A. Qu(2025),  Local signal detection on irregular      domains with generalized varying coefficient models, Journal of the      American Statistical Association, forthcoming,  https://doi.org/10.1080/01621459.2024.2423972

2. L. Shu, Y. Hao, Y      Chen*,  Q. Yang*  (2025). SFQRA: Scaled Factor-augmented      Quantile Regression with Aggregation in Conditional Mean Forecasting      , 

Journal of Multivariate Analysis, forthcoming

3. X. Li， L.Shu. Y Chen*(2025)      Factor-driven completion of tensor data with missing entries, Communications      in Statistics: Simulation and Computation

https://doi.org/10.1080/03610918.2024.2361134

4.  L. Song, Y      Chen*(2025)  Does a non-performing assets disposal fund help      control systemic risk? Evidence from Chinese interbank financial      network. Financial Innovation,   10.1186/s40854-024-00667-7 forthcoming

5.  Y Chen, Z.      Hu, J. Hu, L.Shu. (2025)  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   216,      110251