Recently, Dr. Jiawen Xu from Boston University has accepted our offer of tenure-track Assistant Professorship at SOE. Dr. Xu is an outstanding young scholar whose research interests include Time Series Econometrics, Forecasting and Financial Econometrics.
Her basic information is as follows:
Homepage: http://blogs.bu.edu/jwxu
Education
Ph.D., Economics, Boston University, Boston MA, May 2013 (expected)
M.A.P.E, Political Economy, Boston University, Boston MA, 2010
B.A., Econometrics (Summa Cum Laude), Shanghai University of Finance & Economics, Shanghai, China, 2008
Fields of Interest
Time Series Econometrics, Forecasting, Financial Econometrics
Working Papers
"A New Approach to Forecasting in the Presence of In and Out-of-Sample Breaks," (Jiawen Xu and Pierre Perron), October 2012.
"Modeling and Forecasting Stock Return Volatility: Level Shift Model with Time Varying Probability and Mean Reversion," (Jiawen Xu and Pierre Perron), September 2012.
"Robust Testing of Time Trend and Mean with Unknown Integration Order Errors," (Jiawen Xu and Pierre Perron), May 2012.
Work in Progress
"Structural Changes in Variance Risk Premia".
"What Can We Learn from In-Sample Estimation Efficiency and Out-of-Sample Forecasting Accuracy?"
"Estimating VaR under Mutivarite Generalized Hyperbolic distribution using quantile regression" (with Shusong Jin and Liangliang Zhang).
"On VaR forecasting using regime switching stochastic volatility models" (with Shusong Jin and Liangliang Zhang)
