High-dimensional Data Model Averaging Estimation for Conditional Volatility Models with an Application to Stock Market Volatility Forecast Model Selection Big Data Machine Learning
Research Areas
Humanities & social sciences / Economic statistics / Econometrics
Academic & Professional Experience
2015/10 - Today Otaru University of CommerceDepartment of EconomicsProfessor
2018/10 - 2019/09 Columbia University, USA.Department of StatisticsVisiting Scholar
2015/04 - 2016/03 Kyoto UniversityInstitute of Economic Research非常勤講師
2009/04 - 2015/09 Otaru University of CommerceDepartment of EconomicsAssociate Professor
2009/04 - 2015/09 Otaru University of CommerceFaculty of Commerce
2012/04 - 2013/03 Kyoto UniversityInstitute of Economic Research客員准教授
2008/11 - 2009/03 Kyoto UniversityInstitute of Economic Research
2008/10 - 2009/03 中国人民大学金融信息中心研究員
2007/04 - 2008/10 Postdoctoral Research Associate, Department of Operations Research and Financial Engineering, Princeton University
2006/04 - 2008/03 日本学術振興会特別研究員(PD)研究機関:京都大学
Education
2004/04 - 2007/03 京都大学大学院 経済学研究科 経済システム分析 博士後期課程
2002/04 - 2004/03 京都大学大学院 経済学研究科 修士課程
1998/04 - 2002/03 Niigata University Faculty of Economics Department of Business Administration
Association Memberships
日本統計学会 日本経済学会 The econometric society
Published Papers
Model Averaging for Nonlinear Regression Models
Yang Feng; Qingfeng Liu; Qingsong Yao; Guoqing Zhao
Journal of Business & Economic Statistics (Accepted, Forthcoming) 2020/12 [Reviewed] Scientific journal
MODSIM 2005: INTERNATIONAL CONGRESS ON MODELLING AND SIMULATION: ADVANCES AND APPLICATIONS FOR MANAGEMENT AND DECISION MAKING UNIV WESTERN AUSTRALIA 926 - 932 2005 [Reviewed] International conference proceedings
Econometrics Seminar, Rennin University of China 2016/03
An Adaptive Combination Method for Averaging OLS and GLS Estimators
Qingfeng Liu
2015 ICSA China Statistics Conference 2015/07
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
Bootstrap-based Selection for Instrumental Variables Model
Qingfeng Liu; Wenjie Wang
IMIP 2014 On Big data analysis and Innovational Information 2014/10
Some Methodological Issues in Model Averaging and Semiparametric Models
Qingfeng Liu
Seminar at the University of Gottingen 2014/09
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
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
seminar in School of Economics, Shanghai Jiao Tong University. 2010
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
An Estimation Method for Varying-Coefficient Partially Linear Models
小樽商科大学土曜研究会 2009
Value-at-Risk Analysis with an Application for Shanghai Stock Market
上海理工大学 2009
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
Difference-based Estimation for Semiparametric Varying-Coefficient Partially Linear Models
2009 Far East and South Asia Meeting of the Econometric Society 2009
OGARCH型モデルによる上海株式市場のVaR分析
計量経済学方法講座,中国人民大学 2008
セミパラメトリック変係数部分線形モデルの差分推定法
Symposium of Recent Developments in Statistics and Econometrics,Institute of Economic Research, Kyoto University 2008
Empirical Likelihood Estimation of ARCH-type Model
Qingfeng Liu
Far Eastern Meeting of Econometric Society, Tsuinghua University, Beijing, China. 2006
最適ポートフォリオ:実際リスクの推定及び遺伝的アルゴリズムによる株式銘柄の選択
理論計量経済セミナー、大阪府立大学 2006
条件付特性関数を用いた連続時間モデルの経験尤度推定
2005年度統計関連学会連合大会 2005
経験尤度推定法のファイナンス時系列データ分析への応用
筑波大学大学院システム情報工学研究科、ミクロ経済理論・ゲーム理論セミナー 2005
条件付特性関数を利用した連続時間モデルの経験尤度法による推定
MODSIM 2005 International Congress on Modelling and Simulation 2005