Qingfeng Liu
| Faculty | Department of Economics | |||
|---|---|---|---|---|
| Position | Professor | qliu res.otaru-uc.ac.jp | ||
| Birthday | Website | |||
| TEL | (代表)0134-27-5206 | |||
| Message | ||||
Last Updated :2020/04/09
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 - Supplement to “Heteroskedasticity-Robust Cp Model Averaging”
Qingfeng Liu, The Econometrics Journal, The Econometrics Journal, 10 , Refereed, DOI - Heteroskedasticity-Robust Cp Model Averaging
Qingfeng Liu, Ryo Okui, The Econometrics Journal, The 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
- Generalized Least Squares Model Averaging
Qingfeng Liu, Okui Ryo, Arihiro Yoshimura, Kyoto Institute of Economic Research Discussion Paper Series, 2013 03 - Generalized Cp Model Averaging for Heteroskedastic Models
Qingfeng Liu, Discussion paper series, 139, 2011 04 , Refereed - Asymptotic theory for difference-based estimator of partially linear models
Discussion paper series, (121) 1 - 16, 2009 10 - Efficiency Improvement by Local Moments in Grouped Data Analysis
Qingfeng Liu, 21COE Interfaces for Advanced Economic Analysis Discussion Paper, 107, 2006 06
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