6163银河.net163.am金融工程系
毛秀苹
讲师
硕士生导师
6163银河.net163.am金融工程系数理金融教研室
研究方向:Financial Econometrics,Time series,
Volatility Modelling & EstimationSimulation—based estimation methods
E-mail:xiuping_mao@126.com
个人简历
2011—2015Universidad Carlos III de Madrid, Spain
Ph.D. ,Business Administration & Quantitative Methods
Field: Financial Econometrics
Summer & Fall 2014VU University Amsterdam, Netherlands
Visiting Ph.D. student , Department of Econimetrics
2009—2011Universidad Carlos III de Madrid, Spain
M.S. , Business Administration and Quantitative Methods
2005-2009北京师范大学,中国
B.S.数学与应用数学
个人荣誉
2011至2015 博士全额奖学金, 马德里卡洛斯三世大学
2014夏 Mobility scholarship - 2, 450 欧元, 马德里卡洛斯三世大学
2011 优秀毕业生, 马德里卡洛斯三世大学
2009-2011 硕士全额奖学金, 马德里卡洛斯三世大学
学术成果:论文
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.