CHEN TONG（童晨）

Welcome to my homepage! [Chinese Version (中文网页)]

• Chen Tong is an associate professor at the Department of Finance, Xiamen University, China. He holds a B.S. in Chemistry, a B.A. in Economics, and a Ph.D. in Finance from Peking University, China.
• He focuses on the modeling of financial volatility/covariance matrix, high-frequency data analysis, and their applications in financial engineering. Some of his main contributions are associated with developing new high-dimensional multivariate GARCH models, high-frequency data based pricing models for VIX derivatives (e.g., VIX futures/options), and proposing coherent frameworks for derivatives pricing with time-varying risk aversion.
• Chen would like to talk/cooperate with all researchers/students who have common research interests.

Research Interests

• Financial Econometrics; Financial Engineering; Volatility/Covariance/Correlation Matrix Modeling

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 Ph.D. student, 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

• Exact Likelihood Inference and Robust Filtering for Gauss-Cauchy Convolution Models. (Peter Reinhard Hansen and Chen Tong*). [arXiv]
• Complex Moments, Gamma and Riemann Zeta Functions unified by the Parabolic Mellin Transform. (Peter Reinhard Hansen* and Chen Tong). [arXiv]
• Principled Identification of Structural Dynamic Models. (Neville Francis, Peter Reinhard Hansen and Chen Tong*) [arXiv] [NBER]
• A Unifying Integral Representation of the Gamma Function and Its Reciprocal. (Peter Reinhard Hansen and Chen Tong*) [arXiv]
• Moments by Integrating the Moment-Generating Function. (Peter Reinhard Hansen and Chen Tong*) [arXiv]
  • Presented at the 2025 SoFiE Conference, ESSEC Business School, Paris.
• Volatility Forecasting with Supervised Macroeconomic Uncertainty. (Man Zhang, Xinxian Chen and Chen Tong*)

Publications

• Option Pricing with Time-Varying Volatility Risk Aversion. (Peter Reinhard Hansen and Chen Tong*).
  • The Review of Financial Studies, Vol 39(3): 875-924, 2026. [Link]
• Convolution-t Distributions. (Peter Reinhard Hansen and Chen Tong*).
  • Journal of Econometrics, Vol 254 (Part B): 106212, 2026. [Link]
• Cluster GARCH. (Chen Tong, Peter Reinhard Hansen* and Ilya Archakov).
  • Journal of Business & Economic Statistics, Vol 44(1): 148-161, 2026. [Link]
• Dynamic Factor Correlations. (Chen Tong and Peter Reinhard Hansen*).
  • Journal of Applied Econometrics, published online. [Link]
• Realized GARCH, CBOE VIX, and the Volatility Risk Premium. (Peter Reinhard Hansen, Zhuo Huang, Chen Tong* and Tianyi Wang)
  • Journal of Financial Econometrics, Vol 22(1): 187-223, 2024. [Link]
• The Effects of Economic Uncertainty on Financial Volatility: A Comprehensive Investigation. (Chen Tong, Zhuo Huang, Tianyi Wang* and Cong Zhang)
  • Journal of Empirical Finance, Vol 73: 369-389, 2023. [Link]
• VIX Option Pricing with Detected Jumps. (Zhiyu Guo, Zhuo Huang and Chen Tong*)
  • Journal of Futures Markets, Vol 46(1): 138-156, 2026. [Link]
• Pricing VIX Futures and Options with Good and Bad Volatility of Volatility. (Zhiyu Guo, Zhuo Huang and Chen Tong*)
  • Journal of Futures Markets, Vol 44(11): 1832-1847, 2024. [Link]
• Do VIX Futures Contribute to the Valuation of VIX Options? (Chen Tong, Zhuo Huang and Tianyi Wang*)
  • Journal of Futures Markets, Vol 42(9): 1644-1664, 2022. [Link]
• Option Pricing with State-Dependent Pricing Kernel. (Chen Tong, Peter Reinhard Hansen* and Zhuo Huang)
  • Journal of Futures Markets, Vol 42(8): 1409-1433, 2022. [Link]
• Pricing VIX Options with Realized Volatility. (Chen Tong* and Zhuo Huang)
  • Journal of Futures Markets, Vol 41(8): 1180-1200, 2021. [Link]
• VIX Term Structure and VIX Futures Pricing with Realized Volatility. (Zhuo Huang, Chen Tong and 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. (Chen Tong* and 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. (Chen Tong and Peter Reinhard Hansen*)
  • Economics Letters, Vol 233: 111433, 2023. [Link]
• The Spillover of Macroeconomic Uncertainty between the U.S. and China. (Zhuo Huang, Chen Tong, Han Qiu* and Yan Shen)
  • Economics Letters, Vol 171, 123-127, 2018. [Link]
• The Predictive Power of Macroeconomic Uncertainty for Commodity Futures Volatility. (Zhuo Huang, Fang Liang and Chen Tong*)
  • International Review of Finance, Vol 21(3): 989-1012, 2021. [Link]
• Which Model for Option Valuation in China? Evidence from SSE 50 ETF Options. (Zhuo Huang, Chen Tong and Tianyi Wang*)
  • Applied Economics, Vol 52(17): 1866-1880, 2020. [Link]
• Measuring Financial Uncertainty in China: A Big Data Approach. (Zhuo Huang, Han Qiu*, Yan Shen and Chen Tong)
  • 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. (Dandan Zhang, Lixing Li* and Chen Tong)
  • 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. (Zhuo Huang, Chen Tong and 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. (Muyi Li, Chen Tong and 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:   May 5, 2026