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Jiawen Xu


Assistant Professor
Time Series Econometrics, Financial Econometrics, Forecasting
(Ph.D., Boston University, 2013)

Office Address
211, Institute for Advanced Research
111 Wuchuan Rd

Contact Information:
Telephone:  +86-21-65902465
Selected Publications
Working Papers

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, v.49, no.26, 2017 June, p.2579(11).

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

Working Papers
  1. Forecasting in the Presence of In and Out-of-Sample Breaks, with Pierre Perron, Submit to International Journal of Forecasting(R&R)

  2. How Well does Economic Uncertainty Forecast Economic Activity, with John Rogers, Submit to Journal of Money & Credit Banking

  3. Forecasting U.S. Yield Curve using Random Level Shifts: a Dynamic Nelson-Siegel Model revisited, with Deqing Luo and Pang Tao, Submit to Economic Modeling (R&R)

  4. Robust Testing of Time Trend and Mean with Unknown Integration Order Errors, with SeongYeon Chang and Pierre Perron, Submit to Studies in Nonlinear Dynamics & Econometrics

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

  6. Forecasting Macroeconomics using Common Factors with Parameter Instability, with Deqing Luo

  7. China's State-Owned-Enterprises: Load-Bearing Walls in Systemic Distress, with Chenye Liu and Dongming Zhu