Qingfeng Liu

Faculty
Department of Economics
PositionProfessorMailqliures.otaru-uc.ac.jp
BirthdayWebsite
TEL(代表)0134-27-5206
Message
Last Updated :2020/06/18

Researcher Profile and Settings

Education

  •   1998 04  - 2002 03 , Niigata University, Faculty of Economics

Degree

  • Doctor of Economics(Kyoto University)
  • 経済学修士(京都大学)
  • 経済学博士(京都大学)

Academic & Professional Experience

  •   2015 10 ,  - 現在, Otaru University of Commerce, Department of Economics, Professor
  •   2018 10 ,  - 2019 09 , Columbia University, USA., Department of Statistics, Visiting Scholar
  •   2015 04 ,  - 2016 03 , Kyoto University, Institute of Economic Research
  •   2009 04 ,  - 2015 09 , Otaru University of Commerce, Department of Economics, Associate Professor
  •   2009 04 ,  - 2015 09 , Otaru University of Commerce, Faculty of Commerce
  •   2012 04 ,  - 2013 03 , Kyoto University, Institute of Economic Research
  •   2008 11 ,  - 2009 03 , Kyoto University, Institute of Economic Research

Research Activities

Research Areas

  • Humanities & social sciences, Economic statistics, Econometrics

Research Interests

    Big Data, Machine Learning, Model Selection, Model Averaging Estimation for Conditional Volatility Models with an Application to Stock Market Volatility Forecast, High-dimensional Data

Published Papers

  • On the Sparsity of Mallows’ Model Averaging Estimator
    Yang Feng, Qingfeng Liu, Ryo Okui, Economics Letters (Available online), Economics Letters (Available online), 12 , Refereed
  • A Combination Method for Averaging OLS and GLS Estimators
    Qingfeng Liu, Andrey L Vasnev, Econometrics, Econometrics, 7, (3) 1 - 12, 09 , Refereed
  • Model Averaging Estimation Method for Nonlinear GARCH Family
    Yao, Q, G. Zhao, Q. LIU, Statistical Research, Statistical Research, 35, (5) 119 - 128, Refereed
  • Model Averaging Estimation for GARCH Family
    Zhao, G, Q. Yao, Q. Liu, The Journal of quantitative and technical economics, The Journal of quantitative and technical economics, 2017, (6) 104 - 118, Refereed
  • Generalized Least Squares Model Averaging
    Liu, Q, R. Okui, A. Yoshimura, Econometric Reviews, Volume 35, 2016 - Issue 8-10, Econometric Reviews, Volume 35, 2016 - Issue 8-10, Refereed, Invited
  • Bootstrap-based Selection for Instrumental Variables Model
    Wenjie Wang, Qingfeng Liu, Economics Bulletin, Economics Bulletin, 35, (3) 1886 - 1896, 09 , Refereed
  • Heteroscedasticity-robust C-p model averaging
    Qingfeng Liu, Ryo Okui, ECONOMETRICS JOURNAL, ECONOMETRICS JOURNAL, 16, (3) 463 - 472, 10 , Refereed, DOI
  • A Comparison of Estimation Methods for Partially Linear Models
    Qingfeng Liu, Guoqing Zhao, International Journal of Innovative Management, Information & Production, International Journal of Innovative Management, Information & Production, 3, (2) 38 - 42, 06 , Refereed
  • Value-at-Risk analysis in Shanghai stock market with mixed models
    Guoqing Zhao, Qingfeng Liu, Journal of financial research, ISSN 1002-7246, Journal of financial research, ISSN 1002-7246, 総第353期, 119 - 128, 11 , Refereed
  • A review on model averaging
    Qingfeng Liu, 經濟論叢, 經濟論叢, 183, (2) 67 - 76, 04 , Invited
  • Efficient Estimation and Model Selection for Grouped Data with Local Moments
    Qingfeng Liu, Journal of the Japan Statistical Society, Journal of the Japan Statistical Society, 38, (1) 131 - 143, 06 , Refereed, DOI
  • Econometric Methods for Market Risk Analysis: GARCH-type Models and Diffusion Models
    Qingfeng Liu, Kyoto University, Kyoto University, 1 - 120, Refereed
  • A modified GARCH model with spells of shocks
    Liu, Q, K. Morimune, Asia-Pacific Financial Markets, Asia-Pacific Financial Markets, 12, (1) 29 - 44, 03 , Refereed, DOI
  • Model Averaging Estimation for Conditional Volatility Models with an Application to Stock Market Volatility Forecast
    Qingfeng Liu, Qingsong Yao, Guoqing Zhao, Journal of Forecasting, Accepted, 2020., Journal of Forecasting, Accepted, 2020., Refereed

Misc

Conference Activities & Talks

  • Model averaging estimation for conditional heteroscedasticity model family
    Liu, Q, Q. Yao, G. Zhao, The 2nd International Conference on Econometrics and Statistics,   2018 07 19 , 招待有り
  • Model selection and model averaging for nonlinear regression models
    Liu, Q, Q. Yao, G. Zhao, the European Meeting of Statisticians 2017,   2017 07 15
  • Model selection and model averaging for nonlinear regression models
    Liu, Q, Q. Yao, G. Zhao, The International Symposium on Innovative Management, Information & Production (IMIP2017),   2017 07 02 , 招待有り
  • Model selection and model averaging for nonlinear regression models
    Liu, Q, Q. Yao, G. Zhao, the 4th Conference of the International Association for Applied Econometrics,   2017 06 27
  • Generalized Least Squares Model Averaging
    Qingfeng Liu, Econometrics Seminar, Rennin University of China,   2016 03 18
  • An Adaptive Combination Method for Averaging OLS and GLS Estimators
    Qingfeng Liu, 2015 ICSA China Statistics Conference,   2015 07 , 招待有り
  • Generalized Least Squares Model Averaging
    Liu, Q, R. Okui, A. Yoshimura, IASSL2014, Organized by the Institute of Applied Statistics, Sri Lanka jointly with the Department of Bioinformatics and Biostatistics at the University of Louisville,   2014 12 , 招待有り
  • Bootstrap-based Selection for Instrumental Variables Model
    Qingfeng Liu, Wenjie Wang, IMIP 2014 On Big data analysis and Innovational Information,   2014 10 , 招待有り
  • Some Methodological Issues in Model Averaging and Semiparametric Models
    Qingfeng Liu, Seminar at the University of Gottingen,   2014 09 01 , 招待有り
  • An Adaptive Combination Method for Averaging OLS and GLS Estimators
    Liu, Q, A.L. Vasnev, The 68th European Meeting of the Econometric Society,   2014
  • An Overview of Model Averaging
    Qingfeng Liu, Econometrics Seminar,   2013 03
  • An Overview of Model Averaging
    School of Statistics and Mathematics Seminar,   2013 03
  • Generalized Least Squares Model Averaging
    Qingfeng Liu, Ryo Okui, Arihiro Yoshimura, 琉球大学法文学部経済学専攻研究報告会,   2013 03
  • An overview of model averaging
    京都大学経済研究所計量経済学セミナー,   2013 02
  • Generalized Least Squares Model Averaging
    Qingfeng Liu, Ryo Okui, Arihiro Yoshimura, The 67th European Meeting of the Econometric Society,   2013
  • Generalized Least Squares Model Averaging
    Qingfeng Liu, Ryo Okui, Arihiro Yoshimura, Econometric Society Australasian Meeting 2013,   2013
  • Generalized Cp Model Averaging for Heteroskedastic Models
    The 2nd Institute of Mathematical Statistics Asia Pacific Rim Meeting,   2012 07
  • Efficiency Improvement by Local Moments in Grouped Data Analysis
    Qingfeng Liu, the 5th Inter Conference of Thailand Econometric Society in Chiang Mai,   2012 01 , 招待有り
  • Generalized Least Squares Model Averaging
    Qingfeng Liu, Ryo Okui, Arihiro Yoshimura, Asian Meeting of the Econometric Society,   2012
  • A comparison of estimation methods for partially linear models
    International Symposium on Innovative Management, Information and Production, IMIP2011,   2011 10
  • Generalized Cp Model Averating for Heteroskedastic Models
    Qingfeng Liu, Ryo Okui, 2011 North American Summer Meeting of the Econometric Society,   2011 06
  • Model Averaging for High Dimension Data
    関西計量経済学研究会2010年度研究発表会,   2011 01
  • Generalized Cp Model Averaging for Heteroskedastic Models
    Qingfeng Liu, Hitotsubashi Conference on Econometrics 2010,   2010 11
  • Generalized CV and Generalized Cp Model Averaging
    Summer workshop on economics theory,   2010 08
  • Difference-based Estimation for Semiparametric Varying-Coefficient Partially Linear Models
    Liu, Q, J. Fan, Y. Wu, 3rd Spring Meeting of the Japan Statistical Society,   2009 03 , 招待有り
  • Global Financial Crisis and Risk Management Methods
    Qingfeng Liu, The Third East Asia Triangle Symposium, The Economic Recovery and Business Development for East Asia in the Backgrounds of the Financial Crisis,   2009 , 招待有り
  • Empirical Likelihood Estimation of ARCH-type Model
    Qingfeng Liu, Far Eastern Meeting of Econometric Society, Tsuinghua University, Beijing, China.,   2006

Awards & Honors

  •   2017 06 , International Society of Management Engineers, Best paper award, Model Selection and Model Averaging for Nonlinear Regression Models


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