个人简介
龚玉婷老师现为经济金融系副教授，非全日制金融专硕项目负责人。主要研究方向为金融计量，包括连接函数、混频数据抽样模型、区制转换模型、债券定价。以第一作者或通讯作者身份在国内外权威期刊发表多篇文章，包括Journal of Financial Econometrics、Transportation Research Part E。主持国家自然科学基金面上项目1项、国家自然科学基金青年项目1项。同时担任Journal of Economic Dynamics and Control、International Review of Economics & Finance、Economic Modelling、Finance Research Letters、经济学（季刊）、系统工程理论与实践等国内外10余种领域权威期刊的匿名审稿人。
教育背景
金融学博士，上海交通大学，2009-2015
经济学硕士，上海财经大学，2007-2009
经济学学士，上海财经大学，2003-2007
工作经历
副教授, 悉尼工商学院, 2018年3月至今
讲师, 悉尼工商学院, 2015年9月-2018年3月
学术/社会兼职
上海市运筹学院青年委员, 2020年至今
金融工程与金融风险管理分会理事会理事, 中国运筹学会, 2020年至今
教学教研
主讲课程：金融计量, 计量经济学, 金融编程与计算, 金融数据分析
代表性论文
[1] Gong Yuting, Wang Xueqin, Zhu Mo, Ge Yingen, Shi Wenming. Maximum utility portfolio construction in the forward freight agreement markets: Evidence from a multivariate skewed t copula. Journal of Futures Markets, 2023, 43, 69-89 (SSCI, IF 2.350, Q3)
[2] Gong Yuting, Li Xiao, Xue Wenjun. The impact of EPU spillovers on the bond market volatility: Global evidence. Finance Research Letters, 2023, 55, 103931 (SSCI, IF 9.848, Q1)
[3] Shi Wenming, Gong Yuting, Wang Likun, Nikolova Natalia. Heterogeneity of inbound tourism driven by exchange rate fluctuations: Implications for tourism business recovery and resilience in Australia. Current Issues in Tourism, 2023, 26, 450-467 (SSCI, IF 7.578, Q1)
[4] Chen Qiang, Gong Yuting, Wang Xunxiao. Empirical process-based specification tests for diffusion models. Canadian Journal of Statistics, 2023, Forthcoming (SCI, IF 0.656, Q4)
[5] Gong Yuting, He Zhongzhi, Xue Wenjun. EPU spillovers and stock return predictability: A cross-country study. Journal of International Financial Markets, Institutions & Money, 2022, 78, 101556 (SSCI, IF 4.211, Q1)
[6] Gong Yuting, Ma Chao, Chen Qiang. Exchange rate dependence and economic fundamentals: A copula-MIDAS approach. Journal of International Money and Finance, 2022, 123, 102597 (SSCI, IF 2.426, Q4)
[7] Shi Wenming, Gong Yuting, Yin Jingbo, Nguyen Son, Liu Qian. Determinants of dynamic dependence between the crude oil and tanker freight markets: A mixed-frequency data sampling copula model. Energy, 2022, 254, 124354 (SCI, IF 9.0, Q1)
[8] Gong Yuting, Bu Ruijun, Chen Qiang. What affects the relationship between oil prices and the U.S. stock market? A mixed-data sampling copula approach. Journal of Financial Econometrics, 2022, 20(2): 253-277 (SSCI, IF 2.523, Q2)
[9] Chen Qiang, Xu Wanzi, Gong Yuting. Jump-robust testing of volatility functions in continuous time models. Canadian Journal of Statistics, 2022, 50(3): 1071-1095 (SCI, IF 0.656, Q4)
[10] Gong Yuting, Li Kevin X, Chen ShuLing, Shi Wenming. Contagion risk between the shipping freight and stock markets: Evidence from the recent US-China trade war. Transportation Research Part E: Logistics and Transportation Review, 2020, 136: 10-19 (SSCI, IF 5.326, Q1)
[11] Chen Qiang, Gong Yuting. The economic source of China’s CSI 300 spot and futures volatilities before and after the 2015 stock market crisis. International Review of Economics & Finance, 2019, 64: 102-121 (SSCI, IF 2.119, Q2)
[12] Gong Yuting, Chen Qiang, Liang Jufang. A mixed data sampling copula model for the return-liquidity dependence in stock index futures markets. Economic Modelling, 2018, 68: 586-598 (SSCI, IF 2.362, Q2)
[13] Gong Yuting, Zheng Xu. Long memory in asymmetric dependence between LME and Chinese aluminum Futures. Journal of Futures Markets, 2016, 36(3): 267-294 (SSCI, IF 1.502, Q3)
[14] Pan Zhiyuan, Xu Zheng, Gong Yuting. A model-free test for contagion between crude oil and stock markets. Economics Letters, 2015, 130: 1-4 (SSCI, IF 1.465, Q2)
[15] 陈强, 龚玉婷, 基于近邻截断的跳跃扩散过程波动模型的设定检验, 中国管理科学, 2020, 28(7): 45-56 (CSSCI)
[16] 陈强, 龚玉婷, 袁超文, 基于MIDAS模型的中国股市对居民消费的影响效应研究, 系统管理学报, 2018, 27(6): 1028-1035 (CSSCI)
[17] 龚玉婷, 陈强, 郑旭, 谁真正影响了股票和债券市场的相关性？——基于混频Copula模型的视角, 经济学(季刊), 2016, 15(3): 1205-1224 (CSSCI)
[18] 陈强, 龚玉婷, 林小强, 信息公开程度、预期精度与金融市场动态机理，管理科学学报, 2016, 19(4): 88-103 (CSSCI)
[19] 龚玉婷, 徐信喆, 杨朝军，证券市场指令流与收益的非线性依赖性研究: 混合连接函数 (Mixed Copula) 在流动性及流动性黑洞问题上的应用, 管理工程学报, 2016, 3: 151-160 (CSSCI)
[20] 龚玉婷. 风格股票指数的随机动态相依性研究, 数理统计与管理, 2015, 34(6): 1089-1101 (CSSCI)
[21] 龚玉婷, 陈强, 郑旭. 基于混频模型的 CPI 短期预测研究, 统计研究, 2014, 31(12): 25-31 (CSSCI)
[22] 龚玉婷, 次贷危机在黄金、原油和外汇市场的风险传染和波动溢出, 经济经纬, 2013, 2(5): 150-154 (CSSCI)
代表性项目
[1] 证券市场流动性风险的度量与预警机制：基于机制转换的高维连接函数模型， 国家自然科学基金面上项目（NO. 71971133），执行期：2020-01-2023-12
[2] 混频连接函数模型及其在金融市场中的应用，国家自然科学基金青年项目（NO. 71601108），执行期：2017-01-2019-12
[3] 基于连接函数的高维变量相依性建模：模型、推断及应用上海高校青年教师培养资助计划（NO. ZZSD15076），执行期：2016-01-2017-12
获奖
上海市第七届数量经济学理论与方法学术研讨会优秀论文三等奖，上海数量经济学会，2020
