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Department of big data & statistics

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Peng Xuanhua

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