Jian Chen
(陈健)
I am an Assistant Professor of Finance at the University of Sussex Business School. I received my PhD in Finance from the ICMA, University of Reading in 2022. My research interests include financial econometrics and asset pricing.
Email: jian.chen@sussex.ac.uk
Working Papers
Correlation Dispersion, Asset Homogeneity and Market Returns
(Rewritten as a new paper "Diversification Opportunities and Optimal Portfolio Choice with Estimation Risk", available upon request.)
- Presentations: University of Sussex, 6th Greater China Area Finance Conference, 2026 CICF Conference.
Group Network Multivariate GARCH (with Weidong Ma, Ganggang Xu)
- Presentations: 8th RCEA Time Series Econometrics Workshop, 6th QFFE Conference, CUFE (China), CREST(ENSAE Paris), 11th Conference on
Network Science and Economics^ (poster), 18th SoFiE Conference. Featured in Oxford-Man Institute Research Newsletter.
(*Scheduled, ^Presented by coauthors)
Publications
Journal of Financial Econometrics, Vol 22, 2024, 1588-1615
Limit-Hitting Exciting Effects: Modeling Jump Dependencies in Stock Markets Adhering to Daily Price-Limit Rules (with Shuyuan Qi)
Journal of Banking and Finance, Vol 163, 2024, 107184
Modeling Price and Variance Jump Clustering Using the Marked Hawkes Process (with Michael P. Clements and Andrew Urquhart)
Journal of Financial Econometrics, Vol 22, 2024, 743-772
Work in progress
Corporate News and Stock Return Jumps Around the World (with Yaqin Hu, Ran Tao, Xiaofei Zhao)