304am永利集团金融工程系

毛秀苹  

讲师

硕士生导师

304am永利集团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.