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報告人：尚玉皇（西南財經(jīng)大學(xué),，教授、博士生導(dǎo)師）

時間：2021年9月9日（周四）上午9點00分

騰訊會議ID：685 735 395

主辦單位：中國礦業(yè)大學(xué)經(jīng)濟(jì)管理學(xué)院

報告題目-1：Macroeconomics and Volatility Forecasts: Evidence from Mixed-Frequency SV Models

      ABSTRACT: This paper develops a stochastic volatility-mixed frequency data sampling (SV-MIDAS) model with low frequency macro variables. We further extend an asymmetric SV-MIDAS model—the ASV-MIDAS model—by including a leverage effect. This paper executes the empirical applications in both Chinese and U.S. stock markets. First, we find that the SV-MIDAS model can identify the macroeconomic volatility source of stock volatility. And this macroeconomic volatility source helps SV-MIDAS model outperforms the traditional SV model for in-sample fitting. Second, we also show that out-of-sample forecast performances of SV-MIDAS model are significantly superior to that of traditional SV model. Moreover, among the macroeconomic variables, the Composite Leading Indicator has the best forecast performance. Finally, the ASV-MIDAS model suggests that there are significant leverage effects in both stock markets. However, the leverage effect is weaker in China. In addition, the ASV-MIDAS model only outperforms the corresponding benchmark model for the in-sample fitting.

報告題目-2：高質(zhì)量期刊論文發(fā)表心得體會與經(jīng)驗交流

報告人簡介：

尚玉皇,，男,， 西南財經(jīng)大學(xué)中國金融中心教授、博士生導(dǎo)師,，金融科技研究所所長,，西南財經(jīng)大學(xué)光華學(xué)者百人計劃。主要從事混頻數(shù)據(jù)方法,、金融計量學(xué),、宏觀金融,、金融科技等領(lǐng)域的研究。尚玉皇教授在混頻數(shù)據(jù)建模,、宏觀經(jīng)濟(jì)預(yù)測,、貨幣政策分析、金融風(fēng)險測度及其應(yīng)用,、利率期限結(jié)構(gòu)研究等領(lǐng)域取得了豐碩研究成果,。以第一作者在《經(jīng)濟(jì)研究》、《世界經(jīng)濟(jì)》,、《金融研究》,、Economic Modeling、Applied Economics等國內(nèi)外高質(zhì)量學(xué)術(shù)期刊發(fā)表論文數(shù)十篇,。主持完成國家自然科學(xué)基金項目,、教育部人文社會基金項目、四川省社科重點項目,、國家社科重大項目《地方政府債務(wù)與金融穩(wěn)定性研究》子課題等縱向科研項目多項,。多次獲得西南財經(jīng)大學(xué)優(yōu)秀科研成果獎、優(yōu)秀論文指導(dǎo)老師等,。