Resume

Jiawen Xu (PDF Version)

Education

Ph.D., Economics, Boston University, Boston MA, May 2013 (expected)

Dissertation Title: Econometrics Methods related to parameter instability, long memory and forecasting

Main Advisor: Pierre Perron

Dissertation Committee: Pierre Perron, Zhongjun Qu and Ivan Fernandez-Val

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

Exchange Student, Economics, Orebro University, Orebro, Sweden, 2006-2007

 

Teaching Experience

Teaching Fellow, Microeconomics, Department of Economics, Boston University, Fall 2009

Teaching Assistant, Time Series, Department of Economics (Ph.D. level), Boston University, Fall 2011

Teaching Assistant, Economics of Risk and Finance, Department of Economics, Boston University, Spring 2010

Teaching Assistant, International Finance, Department of Economics, Boston University, Spring 2009

Teaching Assistant, Chinese Economy, Department of Economics, Boston University, Spring 2009, Spring 2010


Work Experience

Research Assistant, Professor Detemple, School of Management, Boston University, 2010-2011

Research Assistant, Professor Perron, Department of Economics, Boston University, 2011

Intern, Analyst for Small and Medium Enterprises Commercial Banking, Citi Group, Shanghai, China, 2008


Fellowships and Awards

Special Research Fellowship, Boston University, Spring 2012, Fall 2012

Research Fellowship, Boston University, Fall 2010, Spring 2011,Fall 2011

Summer Grant, Boston University, Summer 2010

Teaching Scholarship, Boston University, Spring 2010,Spring 2009

Teaching Fellowship, Boston University, Fall 2009

Renmin Scholarship, Shanghai University of Finance & Economics, 2004-2008

Excellent Undergraduate Thesis Award, Shanghai University of Finance & Economics, 2008

Working Papers

“A New Approach to Forecasting in the Presence of In and Out-of-Sample Breaks,” (Job Market Paper) (Jiawen Xu and Pierre Perron), October 2012

“Forecasting Return Volatility: Level Shifts with Varying Jump 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 of 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)

Languages

Fluent in English, Native in Chinese

Computer Skills

MATLAB, Gauss, STATA, Scientific WorkPlace, LyX, Microsoft Office

Citizenship/Visa: China/F1 Student

References

Professor

Pierre Perron

Phone: (617) 353-3026

Email: perron@bu.edu

Assistant Professor

Zhongjun Qu

Phone: (617) 358-3184

Email: qu@bu.edu

Associate Professor

Ivan Fernandez-Val

Phone: (617) 353-9670

Email: ivanf@bu.edu