Dr Yuqian Zhao

EBS - Finance
Dr Yuqian Zhao
  • Email

  • Telephone

    +44 (0) 1206 873086

  • Location

    EBS.3.126H, Colchester Campus

  • Academic support hours

    Wednesday 9:00 - 10:00 Thursday 9:00 - 11:00



I joined EBS in September 2019. Prior to this appointment, I was a Post-doctoral fellow in the Department of Statistics and Actuarial Science at University of Waterloo, Canada. My research interests lie in the areas of Financial Econometrics, Change Point Detection, Intra-day Curve Data Analysis and Empirical Asset Pricing.


  • PhD in Economics University of Birmingham, (2017)


Other academic

  • Post-Doctoral Fellow, University of Waterloo (1/12/2017 - 31/8/2019)

Research and professional activities

Research interests

Financial Econometrics

Intra-day Curve Data Analysis

Change Point Detection

Teaching and supervision

Current teaching responsibilities

  • Quantitative Foundations of Finance (BE312)

  • Data Analytics in Finance (BE367)

  • Finance Research Techniques Using Matlab (BE368)


Journal articles (12)

Horvath, L., Liu, Z., Rice, G. and Zhao, Y., Detecting common breaks in the means of high dimensional cross-dependent panels. The Econometrics Journal

Ji, Q., Zhang, D. and Zhao, Y., (2021). Intra-day co-movements of crude oil futures: China and the international benchmarks. Annals of Operations Research, 1-27

Zhao, Y., (2021). Validating intra-day risk premium in cross-sectional return curves. Finance Research Letters. 43, 102020-102020

Bouri, E., Lau, CKM., Saeed, T., Wang, S. and Zhao, Y., (2021). On the intraday return curves of Bitcoin: Predictability and trading opportunities. International Review of Financial Analysis. 76, 101784-101784

Horváth, L., Rice, G. and Zhao, Y., (2021). Change point analysis of covariance functions: A weighted cumulative sum approach. Journal of Multivariate Analysis, 104877-104877

Rice, G., Wirjanto, T. and Zhao, Y., (2020). Forecasting Value at Risk via Intra-day Return Curves. International Journal of Forecasting. 36 (3), 1023-1038

Rice, G., Wirjanto, T. and Zhao, Y., (2020). Tests for conditional heteroscedasticity of functional data. Journal of Time Series Analysis. 41 (6), 733-758

Ji, Q., Zhang, D. and Zhao, Y., (2020). Searching for safe-haven assets during the COVID-19 pandemic. International Review of Financial Analysis. 71, 101526-101526

Cao, R., Horváth, L., Liu, Z. and Zhao, Y., (2019). A study of data-driven momentum and disposition effects in the Chinese stock market by functional data analysis. Review of Quantitative Finance and Accounting. 54 (1), 335-358

Barassi, M., Horváth, L. and Zhao, Y., (2018). Change‐Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models. Journal of Business and Economic Statistics. 38 (2), 340-349

Barassi, M. and Zhao, Y., (2018). Combination Forecasting of Energy Demand in the UK. The Energy Journal. 39 (01)

Barassi, MR., Spagnolo, N. and Zhao, Y., (2018). Fractional Integration Versus Structural Change: Testing the Convergence of CO2 Emissions. Environmental and Resource Economics. 71 (4), 923-968

+44 (0) 1206 873086


EBS.3.126H, Colchester Campus

Academic support hours:

Wednesday 9:00 - 10:00 Thursday 9:00 - 11:00

More about me