上海财经大学经济学院
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Jiawen XU
Assistant Professor
Time Series Econometrics, Financial Econometrics, Forecasting
(Ph.D., Boston University, 2013)

Office Address
217, School of Economics
111 Wuchuan Rd

Contact Information:
Telephone: +86-21-65902465
Email: xu.jiawen@mail.shufe.edu.cn
Bio
Selected Publications
Working Papers


Bio


Professor JiawenXu received her Ph.D. in May 2013 from Boston University.She joined the School of Economics at Shanghai University of Finance & Economics in July 2013. Her areas of specialization include Time Series Econometrics, Financial Econometrics and Forecasting.

Selected Publications

1. "Comments on In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models," (with Pierre Perron), International Journal of Forecasting 32:891-892.

2. "Modelling Exchange Rate Volatility with Random Level Shifts", (with Ye Li and Pierre Perron), Applied Economics, 2016.11(published online).

3. "Forecasting return volatility: Level shifts with varying jump probability and mean reversion", International Journal of Forecasting 30, 2014, p449-463

Working Papers

1. "Robust Testing of Time Trend and Mean with Unknown Integration Order Errors," with Pierre Perron and SeongYeon Chang , R&R at Journal of Time Series Analysis

2. "Forecasting in the Presence of In and Out-of-Sample Breaks," with Pierre Perron, under review.

3. "Forecasting using common factors with parameter instability"

4. "Functional Dynamic Factor Models," with Tao Chen and Tianfang Ren
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