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About Me

About Me

I describe my research goal as to develop novel econometric and machine learning methods to solve empirical problems of finance and economics.

The methods I proposed during my Ph.D. research aimed to solve two challenges, namely high dimension and the approximation of the unknown functions. For high-dimensional problems, we proposed a method called Specification-Lasso, which can achieve variable-selection and model-selection at the same time. We also extended the power enhanced test in a group manner to strengthen the power of the conventional Wald test when the number of coefficients is diverging. In terms...

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Research

Publications

• When Will the Covid-19 Pandemic Peak? (with Oliver Linton)
Journal of Econometrics, Volume 220, Issue 1, September 2020, Pages 130-157

– We carry out some...

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Teaching

Teaching Experience

Teaching Assistant for F500 Empirical Finance —————— Feb 2021 (Scheduled)
– The optional course for Mphil in Finance and Economics

Teaching Assistant for...

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Others

Others

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ABOUT ME

About Me
Hello! I'm Shaoran Li, a fifth year Ph.D. student in Economics at the University of Cambridge. My research interests are Econometrics, Asset Pricing and Portfolio Management.
Address:
892 King's College, Cambridge CB2 1ST
Email:
sl736@cam.ac.uk

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