Department of Economics and Finance | Staff List

Prof. CUI Liyuan (崔麗媛教授)

PhD - Economics (Cornell University)
MPS - Statistics (Cornell University)
BS - Mathematics (Wuhan University)

Associate Professor

Contact Information

E-mail:
Address:	10-284, Lau Ming Wai Academic Building City University of Hong Kong
Phone:	+852 34428450
liyuan.cui@cityu.edu.hk
Personal Web:
https://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=3480523
CV:

Research Areas

Financial Econometrics
Asset Pricing
Macro-finance
Behavioral Finance

Research Grant

PI: "Estimating and Testing Time Variation Modeling Misspecification", GRF - UGC , (2023-2024) , Liyuan Cui
PI: "High Dimensional Time-varying Forecast Combination: A Unified Approach for Abrupt and Smooth Instabilities", GRF - UGC , (2022-2023) , Liyuan Cui
PI: "Estimation and Inference of Large Dimensional Unobservable Dynamic Uncertainties", GRF - UGC , (2021-2022) , Liyuan Cui
PI: "A Mixed Convex Penalized Machine Learning Approach for High-Dimensional Financial Data with its Application on Vast Portfolio Selections", GRF - UGC , (2020-2022) , Liyuan Cui
PI: "适用于非线性、非平稳变量的非参数有效估计方法以及其在资本资产定价理论中的应用", 青年基金项目 - 国家自然科学基金 , (2019-2021) , Yue Ma and Junhui Wang
PI: "A Local Series Estimation Method with its Application in Asset Pricing Models with Time-varying State Variables", ECS - UGC , (2019-2021) , Liyuan Cui
PI: "房地产调控政策效果的空间异质性：理论机制及基于成都市的大数据实证研究", 软科学面上项目 - Chengdu Science and Technology Research Grants , (2019-2020) , Jinming Yan, Huayi Yu and Tao Zhang

Publications

Journal Publications and Reviews
Bei, Zeyun; Cui, Liyuan; Zhou, Yinggang / Liquidity, sentiment, and global spillover across financial markets. February 2026; In: Journal of International Money and Finance. Vol. 161 Cui, Liyuan; Hou, Yujuan; Yu, Huayi / Uncertainty, flight to quality in the real estate market, and intergenerational inequality: Evidence from equal enrollment of public and private schools in Shanghai. December 2025; In: Real Estate Economics. Cui, Liyuan; Hou, Yujuan; Yu, Huayi / Does city-county consolidation lead to regional integration of the housing market? Evidence from China. October 2025; In: Land Use Policy. Vol. 157 Cui, Liyuan; Hong, Yongmiao; Li, Yingxing; Wang, Junhui / A Regularized High-Dimensional Positive Definite Covariance Estimator with High-Frequency Data. October 2024; In: Management Science. Vol. 70, No. 10, pp. 7242–7264 CUI, Liyuan; FENG, Guanhao; HONG, Yongmiao / Regularized GMM for Time-Varying Models with Applications to Asset Pricing. May 2024; In: International Economic Review. Vol. 65, No. 2, pp. 851-883 Cui , Liyuan; Chen, Zeyu; Huang, Yanfen; Yu, Huayi / Window dressing: Changes in atmospheric pollution at boundaries in response to regional environmental policy in China. May 2024; In: Journal of Environmental Economics and Management. Vol. 125 余华义; 谭君琳; 崔丽媛 / 国家级新区对房价的影响机制及其空间溢出效应. February 2023; In: 中国软科学. Vol. 2023, No. 1 (总第 385 期), pp. 94-104 Han, Jun; Cui, Liyuan; Yu, Huayi / Pricing the value of the chance to gain admission to an elite senior high school in Beijing: The effect of the LDHSE policy on resale housing prices. August 2021; In: Cities. Vol. 115 Cui, Liyuan; Hong, Yongmiao; Li, Yingxing / Solving Euler equations via two-stage nonparametric penalized splines. June 2021; In: Journal of Econometrics. Vol. 222, No. 2, pp. 1024-1056 崔丽媛; 洪永淼 / 投资者对经济基本面的认知偏差会影响证券价格吗?: 中美证券市场对比分析. August 2017; In: 经济研究. Vol. 2017年, No. 8, pp. 94-109

Journal Publications and Reviews

Bei, Zeyun; Cui, Liyuan; Zhou, Yinggang / Liquidity, sentiment, and global spillover across financial markets. February 2026; In: Journal of International Money and Finance. Vol. 161
Cui, Liyuan; Hou, Yujuan; Yu, Huayi / Uncertainty, flight to quality in the real estate market, and intergenerational inequality: Evidence from equal enrollment of public and private schools in Shanghai. December 2025; In: Real Estate Economics.
Cui, Liyuan; Hou, Yujuan; Yu, Huayi / Does city-county consolidation lead to regional integration of the housing market? Evidence from China. October 2025; In: Land Use Policy. Vol. 157
Cui, Liyuan; Hong, Yongmiao; Li, Yingxing; Wang, Junhui / A Regularized High-Dimensional Positive Definite Covariance Estimator with High-Frequency Data. October 2024; In: Management Science. Vol. 70, No. 10, pp. 7242–7264
CUI, Liyuan; FENG, Guanhao; HONG, Yongmiao / Regularized GMM for Time-Varying Models with Applications to Asset Pricing. May 2024; In: International Economic Review. Vol. 65, No. 2, pp. 851-883
Cui , Liyuan; Chen, Zeyu; Huang, Yanfen; Yu, Huayi / Window dressing: Changes in atmospheric pollution at boundaries in response to regional environmental policy in China. May 2024; In: Journal of Environmental Economics and Management. Vol. 125
余华义; 谭君琳; 崔丽媛 / 国家级新区对房价的影响机制及其空间溢出效应. February 2023; In: 中国软科学. Vol. 2023, No. 1 (总第 385 期), pp. 94-104
Han, Jun; Cui, Liyuan; Yu, Huayi / Pricing the value of the chance to gain admission to an elite senior high school in Beijing: The effect of the LDHSE policy on resale housing prices. August 2021; In: Cities. Vol. 115
Cui, Liyuan; Hong, Yongmiao; Li, Yingxing / Solving Euler equations via two-stage nonparametric penalized splines. June 2021; In: Journal of Econometrics. Vol. 222, No. 2, pp. 1024-1056
崔丽媛; 洪永淼 / 投资者对经济基本面的认知偏差会影响证券价格吗?: 中美证券市场对比分析. August 2017; In: 经济研究. Vol. 2017年, No. 8, pp. 94-109

Working Papers
Cui, Liyuan; Feng, Guanhao ; Yang, Jiangshan / Heterogeneous Predictability on Mutual Fund Alphas: A Sparse Clustering GMM Approach. September 2025; Cui, Liyuan; Feng, Guanhao; Ma, Jianxin; Su, Yinan / Breaks and Trends in Factor Premia. June 2025; Cui, Liyuan; Feng, Guanhao; Hong, Yongmiao; Yang, Jiangshan / Do asset pricing models change over time?. May 2023;