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Yi He

Research Fellow

University of Amsterdam
Research field
Econometric Theory, Econometrics, Financial Econometrics, Risk Management


Yi He is an assistant professor at Amsterdam School of Economics, University of Amsterdam. He received his PhD from Tilburg University and worked at Monash University before joining UvA. His research focuses on high-dimensional econometrics, financial econometrics, extreme value analysis and machine learning. His works have been published on JRSS-b, JBES and AoS.

List of publications

He, Y., Jaidee, S. and Gao, J. (2022). Most powerful test against a sequence of high dimensional local alternatives Journal of Econometrics, :.

He, Y., Hou, Y., Peng, L. and Shen, H. (2020). Inference for Conditional Value-at-Risk of a Predictive Regression The Annals of Statistics, 48(6):3442–3464.