厦门大学数学科学学院概率统计系导师介绍：刘继春

  系别：
  概率统计系
  办公室：B418
  教师：刘继春
  职称：教授
  职务：教师
  Phone：2580657
  Email：
  liujichun65@126.com
  研究方向：
  Nonlinear time series；Financial Econometrics
  刘继春 厦门大学 数学科学学院
  CURRICULUM VITAE of Ji-Chun Liu
  Name: Ji-Chun Liu
  Academic Degrees: BSc in Mathematics, MSc and PhD in Statistics.
  Date of Birth: 11 March 1965.
  Marital Status: Married, one son.
  Current Employment: Professor, School of Mathematical Science, Xiamen University.
  Office Address:
  B418
  School of Mathematical Science
  Xiamen University
  Xiamen
  PR China
  E-mail: liujichun65@126.com
  Tel: (+86)0592-2580657
  Fax: (+86)0592-2580608
  Higher Education
  Sept. 1997----June 2001: PhD in Statistics, Institute of Mathematics, Jilin University, Changchun, China.
  Sept. 1988------June 1991: MSc in Statistics, Department of Mathematics, Northeast Normal University, Changchun, China.
  Sept. 1982---June 1986: BSc in Mathematics, Department of Mathematics, Northeast Normal University, Changchun, China.
  Employment History
  From Aug. 2008--: Professor of Statistics, School of Mathematical Science, Xiamen University, Xiamen, China.
  Jan. 2002--July 2008: Associate Professor of Statistics, School of Mathematical Science, Xiamen University, Xiamen, China.
  January 1999------Dec. 2001: Associate Professor of Statistics, Department of Mathematics, Jilin Normal College, Jilin, China.
  July 1992----Dec. 1998: Lecturer, Department of Mathematics, Jilin Normal College, Jilin, China.
  July 1986----June 1992: Assistant Lecturer, Department of Mathematics, Jilin Normal College, Jilin, China.
  External Duties
  Adjunct Professor at the Wang Yanan Institute for Studies in Economics,   Xiamen University, Xiamen, China, Oct. 2006----.
  MSc Students
  Zhengkai Li, Weijie Yao, Lijin Du and Siying Tang (2001-2004),   Yongjuan Chun, Chongyang Qiu and Shunfa Lin (2003-2006), Zhe Zhong,  Mingzhou Wu, Fenli Huang,  and Zhang Jingyao (2007-2010), and Chuangneng Cai, Yangpei Wang, and Yajie Gu (2009-2012).
  Areas with Publications
  Nonlinear time series; heavy tail time series analysis; multivariate analysis; option price.
  Refereeing
  Statistics & Probability Letters, Statistics, Test, International Review of Economics and Finance,  International J. of Quality, Statistics and Reliability etc.
  Research Grants
  Jan 2011--Dec 2013: The National Natural Science Foundation of China (11071202); Jun 2008--May 2011: The National Natural Science Foundation of Fujian Province, China (2008J0207).
  Selected Publications in English
  1. Liu, J.-C. (2012a)  A Family of Markov-Switching Garch Processes.  Journal of Time Series Analysis 33, 892-902. (SCI)
  2. Liu, J.-C. (2012b). Structure of a Double Autoregressive Process\\Driven by Hidden Markov Chain .  Statistics & Probability Letters 82, 1468-1473. (SCI)
  3. Liu, J.-C. (2009a)  INTEGRATED MARKOV-SWITCHING GARCH PROCESS.  Econometric Theory   25, 1277-1288. (SCI)
  4. Liu, J.-C. (2009b) Stationarity of a Family of GARCH Processes. Econometrics Journal   12, 436–446. (SSCI, SCI)
  5. Liu, J.-C. (2007) Stationarity for a Markov-Switching Box-Cox Transformed Threshold GARCH Process.     Statistics & Probability Letters 77, 1428-1338. (SSCI, SCI)
  6. Liu, J.-C. (2006a) On the Tail Behaviors of a Family of GARCH Processes. Econometric Theory 22,     852-862. (SSCI)
  7. Liu, J.-C.(2006b)Stationarity of a Markov-Switching GARCH Model.Journal of Financial Econometrics     4, 573-593. (SSCI)
  8. Liu, J.-C. (2006c) On the Tail Behaviors of Box-Cox Transformed Threshold GARCH(1,1) Process.     Statistics & Probability Letters 76, 1323-1330. (SCI)
  9. Shi, N., Liu, J.-C. (2001) Multivariate Generalized Autoregressive Conditional Heteroscedastic model.   Northeast Math. J. 17, 323-332.
  Working Papers
  1. Liu, J.-C. (2009) The tail of the stationary distribution of an autoregressive process with ARCH(1) errors driven by hidden Markov-chain
  Publications Cited
  1. Liu, J.-C. (2006b)  is cited by
  [1] Terasvirta, T. An introduction to univariate GARCH models. Handbook of Financial Time Series ed. by T.G. Andersen, R.A. Davis, J.-P. Kreiss and T. Mikosch, New York: Springe, 2009.
  [2] Alexander, C. & Lazar, E. Modelling Regime-Specific Stock Price Volatility. Oxford Bulletin of Economics and Statistics71:761-797, 2009.
  [3] Philippe, C. & Marimoutou, V. Hierarchical Hidden Markov Structure for Dynamic Correlations: The Hierarchical RSDC Model. AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI  http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1283178##
  2. Liu, J.-C. (2006c)  is cited by
  [1] Pan, J., Wang, H., Tong, H. Estimation and tests power transformed and threshold GARCH models. Journal of Econometrics 142: 352-378, 2008.
  [2] Haas, M. The autocorrelation structure of the Markov-switching asymmetric power GARCH process. Statistics & Probability Letters 78:1480-1489, 2008.
  [3] Hwang, S.Y. & Baek, J.S. Asymptotic variance-covariance matrix of sample autocorrelations for threshold asymmetric GARCH processes. Statistics 43:35-51, 2009.
  3. Liu, J.-C. (2006a)  is cited by
  [1] Klivecka, A. and Surgailis, D. Garch(1,1) process can have arbitrarily heavy power tails. Lithuanian Mathematical Journal 47: 164-175, 2007.
  [2] Haas, M. The autocorrelation structure of the Markov-switching asymmetric power GARCH process. Statistics & Probability Letters 78:1480-1489, 2008.
  [3] Ambro?evi?iūt?, D. & Klive?ka, A. On the tvGARCH(1,1) model: Existence, CLT, and tail index.  Lithuanian Mathematical Journal 48: 1-16, 2008.
  4.       Liu, J.-C. (2007)  is cited by
  [1] Alexander, C. & Lazar, E. Modelling Regime-Specific Stock Price Volatility. Oxford Bulletin of Economics and Statistics71:761-797, 2009.
  [2] Haas, M. The autocorrelation structure of the Markov-switching asymmetric power GARCH process. Statistics & Probability Letters 78:1480-1489, 2008.
  [3] Lee, O. & Shin, D. W. Geometric Ergodicity and Moment Conditions for a Seasonal GARCH Model with Periodic Coefficients. Communication in Statistics-Theory and Methods 39: 38-51, 2010.