CHEN TONG（童晨）

CHEN TONG Associate Professor of Finance and Econometrics Department of Finance, School of Economics Xiamen University, China Financial Econometrics · Financial Engineering Chinese Homepage  ·  Email “There is only one success — to be able to spend your life in your own way.” — Christopher Morley

About Me

I am an Associate Professor in the Department of Finance at the School of Economics, Xiamen University. I received a B.S. in Chemistry, a B.A. in Economics, and a Ph.D. in Finance from Peking University.

My research focuses on financial econometrics and financial engineering, particularly covariance modeling in high-dimensional setting, high-frequency financial data, multivariate GARCH models, heavy-tailed multivariate distributions, VIX derivatives and option pricing.

I welcome discussions and research collaborations with scholars and students who share related interests.

Research Interests

• Financial Econometrics; Financial Engineering; High-frequency Financial Data; High-dimensional Statistics

Positions

• Associate professor, Department of Finance, School of Economics, Xiamen University, China, August 2024 - present
• Assistant professor, Department of Finance, School of Economics, Xiamen University, China, July 2021 - July 2024
• Guest research fellow, Institute of Digital Finance, Peking University, China, January 2022 - present

Education

• Ph.D. in Finance, National School of Development, Peking University, 2016-2021
  • Advisors: Zhuo Huang (@PKU), Yan Shen (@PKU)
• Visiting Scholar, Economics Department, Duke University, 2019-2020
  • Advisors: Peter Reinhard Hansen (@UNC, Chapel Hill), Jia Li (@SMU)
• B.S. in Chemistry, College of Chemistry and Molecular Engineering, Peking University, 2012-2016
• B.A. in Economics (Double Major), National School of Development, Peking University, 2013-2016

Working Papers

• Tweedie’s Formula and Score-Driven Updating (with Peter Reinhard Hansen).[arXiv]
• Exact Likelihood Inference and Robust Filtering for Gauss-Cauchy Convolution Models (with Peter Reinhard Hansen).[arXiv]
  • Presented at the 2026 SoFiE Conference, University of Macau, Macau.
• Split-Session Cluster GARCH for Overnight and Intraday Returns: The Role of Tail Heterogeneity (with Xinxian Chen, Peter Reinhard Hansen). [arXiv]
• The Parabolic Mellin Transform: Gamma and Zeta Integral Representations (with Peter Reinhard Hansen). [arXiv]
• Principled Identification of Structural Dynamic Models (with Neville Francis, Peter Reinhard Hansen). [arXiv] [NBER]
• A Unifying Integral Representation of the Gamma Function and Its Reciprocal (with Peter Reinhard Hansen). [arXiv]
• Moments by Integrating the Moment-Generating Function (with Peter Reinhard Hansen). [arXiv]
  • Presented at the 2025 SoFiE Conference, ESSEC Business School, Paris.
• Volatility Forecasting with Supervised Macroeconomic Uncertainty (with Man Zhang, Xinxian Chen).

Publications

• Option Pricing with Time-Varying Volatility Risk Aversion (with Peter Reinhard Hansen).
  • The Review of Financial Studies, Vol 39(3): 875-924, 2026. [Link]
• Convolution-t Distributions (with Peter Reinhard Hansen).
  • Journal of Econometrics, Vol 254 (Part B): 106212, 2026. [Link]
• Cluster GARCH (with Peter Reinhard Hansen, Ilya Archakov).
  • Journal of Business & Economic Statistics, Vol 44(1): 148-161, 2026. [Link]
• Dynamic Factor Correlations (with Peter Reinhard Hansen).
  • Journal of Applied Econometrics, Vol 41(5): 580-596, 2026. [Link]
• Realized GARCH, CBOE VIX, and the Volatility Risk Premium (with Peter Reinhard Hansen, Zhuo Huang, Tianyi Wang).
  • Journal of Financial Econometrics, Vol 22(1): 187-223, 2024. [Link]
• The Effects of Economic Uncertainty on Financial Volatility: A Comprehensive Investigation (with Zhuo Huang, Tianyi Wang, Cong Zhang).
  • Journal of Empirical Finance, Vol 73: 369-389, 2023. [Link]
• VIX Option Pricing with Detected Jumps (with Zhiyu Guo, Zhuo Huang).
  • Journal of Futures Markets, Vol 46(1): 138-156, 2026. [Link]
• Pricing VIX Futures and Options with Good and Bad Volatility of Volatility (with Zhiyu Guo, Zhuo Huang).
  • Journal of Futures Markets, Vol 44(11): 1832-1847, 2024. [Link]
• Do VIX Futures Contribute to the Valuation of VIX Options? (with Zhuo Huang, Tianyi Wang).
  • Journal of Futures Markets, Vol 42(9): 1644-1664, 2022. [Link]
• Option Pricing with State-Dependent Pricing Kernel (with Peter Reinhard Hansen, Zhuo Huang).
  • Journal of Futures Markets, Vol 42(8): 1409-1433, 2022. [Link]
• Pricing VIX Options with Realized Volatility (with Zhuo Huang).
  • Journal of Futures Markets, Vol 41(8): 1180-1200, 2021. [Link]
• VIX Term Structure and VIX Futures Pricing with Realized Volatility (with Zhuo Huang, Tianyi Wang).
  • Journal of Futures Markets, Vol 39(1): 72-93, 2019. [Link]
• Good Volatility, Bad Volatility, and VIX Futures Pricing: Evidence from the Decomposition of VIX (with Zhuo Huang).
  • Journal of Derivatives, Vol 30(3): 117-143, 2023. [Link]
• Pricing CBOE VIX in Non-Affine GARCH Models with Variance Risk Premium (Sole author).
  • Finance Research Letters, Vol 62, Part A: 105115, 2024. [Link]
• Characterizing Correlation Matrices that Admit a Clustered Factor Representation (with Peter Reinhard Hansen).
  • Economics Letters, Vol 233: 111433, 2023. [Link]
• The Spillover of Macroeconomic Uncertainty between the U.S. and China (with Zhuo Huang, Han Qiu, Yan Shen).
  • Economics Letters, Vol 171, 123-127, 2018. [Link]
• The Predictive Power of Macroeconomic Uncertainty for Commodity Futures Volatility (with Zhuo Huang, Fang Liang).
  • International Review of Finance, Vol 21(3): 989-1012, 2021. [Link]
• Which Model for Option Valuation in China? Evidence from SSE 50 ETF Options (with Zhuo Huang, Tianyi Wang).
  • Applied Economics, Vol 52(17): 1866-1880, 2020. [Link]
• Measuring Financial Uncertainty in China: A Big Data Approach (with Zhuo Huang, Han Qiu, Yan Shen).
  • Journal of Financial Research (in Chinese),《金融研究》, Vol 461(11): 30-46, 2018. [Link]
• Minimum Wage, Rural Migrants’ Unemployment and Crime: Evidence from China (with Dandan Zhang, Lixing Li).
  • China Economic Quarterly (in Chinese),《经济学（季刊）》, Vol 17(3): 1035-1054, 2018. [Link]
• The Impacts of Economic Uncertainty on Financial Markets: A Literature Survey (with Zhuo Huang, Fang Liang).
  • Financial Science (in Chinese),《金融科学》, Vol 2: 30-46, 2017. [Link]
• LAD-LASSO estimation and application of multiple thresholds volatility model (with Muyi Li, Xiaolin Zhang).
  • Journal of Applied Statistics and Management (in Chinese),《数理统计与管理》, Vol 43(3): 559-570, 2024. [Link]

Contact

• 中文名: 童晨
  
• Office: B407, Econ Building, Xiamen University, Fujian 361005, China
  
• Email:   tongchen@xmu.edu.cn
  
• Date:   July 4, 2026