五月 07 2020
Name:Peng Xuanhua
Faculty:Big Data & Statistics
Professional Title:Associate professor
Email: pxh@cqu.edu.cn or cnpxh@126.com
Office:50 14
Academic & Professional Qualification
• Ph.D. in Financial econometrics, Chongqing University, 2011
• M.A. in Financial mathematics, Chongqing University, 2007
• B.A. in Mathematics education, Chongqing normal university, 2004
Research Interest
M athematical models in e mpirical finance ;
Wavelet methodology in financial econometrics ;
S tatistical modeling in financial big data analysis ;
Crypto asset risk management
Publications
“Systematic Risk Spillover Analysis of Stock Market Based on DCC-Copula-SV-M-t Model,” Mathematical statistics and management,2019,38(05):929-939.
“Analysis of the linkage characteristics of RMB exchange rate market,” Journal of southwest normal university,2018,43(11):30-35.
" Volatility of Treasury bond futures Price: evidence from Tick-by-Tick data,” (with Li Yongkui et.al.) Advances in Intelligent Systems Research,2017,152: 52-57.
“Wavelet method of Copula function selection,”Journal of southwest university (natural science edition), 2016, 38(08):90-99.
“Time-varying copula-garch-m-t model and combined risk prediction based on MCMC algorithm,” Mathematical statistics and management,2013,32(01):180-190.
“Wavelet local threshold method for multivariate Copula density estimation,” Mathematical statistics and management,2012,31(06):990-1001.
“Multi-scale valuation model of value-at-risk and its convergence analysis of mean square error,” Theory and practice of systems engineering,2011,31(10):1837-1846.
“Multi-scale study of stock index futures on time-varying dependent structure of spot ,” Systems engineering,2011,29(05):14-22.
Filing:yuicpd05001036 Copyright:School of civil and commercial law, Southwest University of political science and law