Econometrics Theory and Application - PDF by tkv74755


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									                                           Shin-Huei Wang

Department of Economics                                             Cell: (626) 731-9677
University of Southern California                                   Fax: (213) 740-8543
Los Angeles, California 90089-0253                                  E-mail:
USA___________________________________                              Gender: Female________________


   Econometrics Theory, Applied Econometrics, Empirical International Finance, Financial


   Ph.D., Economics, University of Southern California                          Expected May 2007

          “Approximating Stationary Long Memory Processes by AR models , with Application to
          Practical Econometrics issues and Foreign Exchange rate Studies”
          Advisor: Professor Cheng Hsiao

   M.S., Mathematical Finance, USC                                                             2004
   M.S., Econometrics and Statistics, NCNU, Taiwan                                             2000


  Job Market Paper

       An easy test for independence between two stationary long memory processes via
       AR approximation, with application to foreign exchange rate studies.

  Published Papers

       Mean variance portfolio allocation, (with Cheng Hsiao), Encyclopedia of Finance,
       edited by Cheng Few Lee, Kluwer, Chapter 19, 457-469.

       Jump diffusion model, Encyclopedia of Finance, edited by Cheng Few Lee, Kluwer,
       Chapter 43, 676-688.

  Resubmitted Paper

       Prediction of the multivariate long memory process via a vector autoregressive model,
       (with W.J., Tsay), 3rd Revision Requested, Econometric Theory.

  Papers Under Review By Journals

         Testing for Purchasing Power Parity by end of sample cointegration breakdown tests,
         submitted to Economics Letters..
       Estimating autocorrelations in the presence of deterministic trends,
       submitted to Statistics and Probability Letters

       Estimating fractional unit root distribution with fully modified principle, (with W.J. Tsay),
       Submitted to Econometric Reviews

 Working papers

       Forecast of long memory time series using AR approximation, (with H.R. Moon & B.

       Recursive predictive tests for multiple break-points of long memory processes, with an
       empirical investigation of the forward discount, (with Cheng Hsiao)

      Generalized Method of Moments: empirical analysis of the behavior of investors across
      international stock markets

      A simple estimator for long memory processes, (with W.J. Tsay)

 Papers in Progress

      Panel data in affine term structure models

      The new estimation of dynamic panel models with correlated errors, (with Cheng Hsiao)


  Doctoral Dissertation Fellowship, Chiang Ching-Kuo Foundation for International Scholarly
  Exchange (CCKF), Mclean, Virginia                                             2006-2007
  Teaching Assistantship, Department of Economics, USC                                       2002-2006
  Academia Award, Econometrics and Statistics, NCNU, Taiwan                                  1998-1999


    Journal of Econometrics, IMS Lecture Notes-Monograph Series-Advanced in Time Series
    and Statistical Application, Economic Bulletin, Review of Quantitative Finance and

  Teaching Assistant, Department of Economics, USC                                  Spring 2002 – Present
  Graduate : Econometrics Theory , Applied Econometrics, Economics and Financial Time
  Series I , Statistics and Probability for Economist, Economics and Financial Markets II
  Undergraduate: Mathematics for Economist

  Lecturer, Department of Business Administration, National Taipei Business University, Taipei
  Taiwan                                                                          Fall 2000-Spring2001
  Undergraduate: Introduction to Statistics, Business Statistics, Introduction to SAS

  Teaching Assistant, Department of Mathematical Statistics, Tamkang University, Taipei
  Taiwan                                                                      Fall 1999-Spring2000
  Undergraduate: Mathematical Statistics I & II, Stochastic Processes,
                  Time series Analysis


   Blooming Financial Team, Consultant in International Finance Department (Internship),
   LA, USA                                                                              Summer 2006
   Bacera Investment Firm, Consultant in International Finance Department (Internship),
   Pasadena, USA                                                                        Summer 2005
   CitiBank Group, Statistician (Internship), Taipei, Taiwan                  Jan 1999- August 1999


   Actuary , Level 2 (1999) , Taipei , Taiwan


  Programming Languages: Gauss, Fortran, Matlab
  Statistical Package: SAS


  International Conference on Probability and Statistics, Academia Sinica, Taipei           April 2002


  Professor Cheng Hsiao, Economics, USC, Los Angeles, CA 90089-0253
     Phone (213) 740-2103, email:
  Professor Roger Moon, Economics USC, Los Angeles, CA 90089-0253
     Phone (213) 740-2108, email:
  Professor Robert Dekle, Economics, USC, Los Angeles, CA 90089-0253
     Phone (213) 740-3528, email:

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