姓名：毛秀苹 | 性别：女 |
籍贯：四川 | 民族：汉族 |
系：金融工程系 | 是否博导：否 |
教研室：数理金融教研室 | 是否硕导：是 |
E-mail：xiuping_mao@126.com | 职称：讲师 |
现任职务： | |
社会兼职： | |
讲授课程： | |
研究方向： Financial Econometrics,Time series,Volatility Modelling & Estimation Simulation—based estimation methods | |
Universidad Carlos III de Madrid, Spain 2011—2015
Ph.D. ,Business Administration & Quantitative Methods
Field: Financial Econometrics
VU University Amsterdam, Netherlands Summer & Fall 2014
Visiting Ph.D. student , Department of Econimetrics
Universidad Carlos III de Madrid, Spain 2009—2011
M.S. , Business Administration and Quantitative Methods
北京师范大学，中国 2005-2009
B.S.数学与应用数学
博士全额奖学金, 马德里卡洛斯三世大学 2011至2015
Mobility scholarship - 2, 450 欧元, 马德里卡洛斯三世大学 2014夏
优秀毕业生, 马德里卡洛斯三世大学 2011
硕士全额奖学金, 马德里卡洛斯三世大学 2009-2011
Mao, X., E. Ruiz, and H. Veiga (2017). Threshold stochastic volatility: Its ability to guarantee leverage.International Journal of Forecasting. 33(2017) 1105-1123.
Mao, X., and H. Veiga (2016). A two factor long memory stochastic volatility model. Revise and resubmit toJournal of Financial Econometrics.
Mao, X., I. Casas, and H. Veiga (2018). Reexamining financial and economic predictability with new estimators of realized variance. Submitted toJournal of Business & Economic Statistics.
Mao, X., V. Czellar, E. Ruiz, and H. Veiga (2016). Asymmetric Stochastic Volatility Models: Properties and ABC Filter-based Maximum LikelihoodEstimation. Submitted to Econometric Reviews.
Mao, X., S. J. Koopman, and R.er Lit (2015). Common stochastic volatility in mean model for high dimensional returns. Workingpaper.
Mao, X., E. Ruiz, and H. Veiga (2014). Score driven asymmetric stochastic volatility models. Working paper, Statistics and Econometrics Series 18, 14-26, UC3M, Spain.
Working Paper
“ Moments of a Family of Asymmetric Stochastic Volatility Models and the Stochastic News Impact Surface”， (with Esther Ruiz and Helena Veiga)， to be submitted to Journal of Business and Economic Statistics。
“Score Driven Asymmetric Stochastic Volatility Models，(with Esther Ruiz and Helena Veiga), 2014. Working paper, Statistics and Econometrics Series 18, 14-26, UC3M, Spain.
“Threshold Stochastic Volatility: Its Ability to Guarantee Leverage， (with Esther Ruiz and Helena Veiga), 2014
”Common Stochastic Volatility in Mean Model for High Dimensional Returns， (with Siem Jan Koopman and Rutger Lit), in progress.