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Dr H. (Hao) Li

Faculty of Economics and Business
Section Quantitative Economics

Visiting address
  • Roetersstraat 11
Postal address
  • Postbus 15867
    1001 NJ Amsterdam
Contact details
Social media
  • Profile


    PhD in Financial Econometrics, Center for Nonlinear Dynamics in Economics and Finance, Department Quantitative Economics, 2021

    MSc. in Economics, University of Groningen, 2015

    MSc. in Finance, University of Groningen, 2014

    B.A. in Finance (graduated with honor in recognition of thesis, 2%), Nankai Univeristy, 2012

    Research interests ​

    Financial Econometrics, Empirical Asset Pricing, Big Data Analytics, Portfolio Theory, High-Dimensional Time Series Analysis, Nonparametric Statistics,Machine Learning in Asset Pricing, Non-parametric Econometrics, Non-normal Distributions


    The American Economic Association
    The American Finance Association
    The European Economic Association
    The Society for Financial Studies
    The Society for Computational Economics
    The Society for Financial Econometrics


    Programming Languages: Python

    Software: Matlab, R, Octave, EViews, Stata, LaTeX

    Certificates: Machine Learning course certificate (offered by Stanford University through Coursera), English Fluency certificate (offered by UvA Talen), NT2 beginners certificate (offered by UvA Talen), SoFiE Summer School on Machine Learning and Finance (offered by the Univerisity of Chicago and the Society for Financial Econometrics)

    Languages: Chinese (native), English (fluent), Dutch (basic)


    Bao, T., Diks, C., & Li, H. (2017). A generalized CAPM model with asymmetric power distributed errors with an application to portfolio construction. Economic Modelling. DOI: 10.1016/j.econmod.2017.03.035


    CeNDEF Lunch Seminar, University of Amsterdam, June 2016

    International Conference on Applied Financial Economics, Shanghai University, July 2016

    11th International Conference on Computational and Financial Econometrics, University of London, December 2017

    CeNDEF Lunch Seminar, University of Amsterdam, April 2018

    UvA Simulation based Science community workshop, May 2018

    24th International Conference Computing in Economics and Finance, June 2018


  • Teaching
  • Publications



    • Li, H. (2021). Dependence in financial and high-dimensional time series. [details]


    This list of publications is extracted from the UvA-Current Research Information System. Questions? Ask the library or the Pure staff of your faculty / institute. Log in to Pure to edit your publications. Log in to Personal Page Publication Selection tool to manage the visibility of your publications on this list.
  • Ancillary activities
    No known ancillary activities